Consider the daily simple returns of IBM stock from 1962 to 2002 in the file d-ibmvwew6202.txt. Compute

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Consider the daily simple returns of IBM stock from 1962 to 2002 in the file d-ibmvwew6202.txt. Compute the first 100 lags of the ACF of the absolute daily simple returns of IBM stock. Is there evidence of long-range dependence? Why?

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:03 AM

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Consider the daily simple returns of IBM stock from 1962 to 2002 in the file d-ibmvwew6202.txt. Compute

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Analysis Of Financial Time Series

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