Consider the monthly log returns of CRSP equal-weighted index from January 1962 to December 1999 for 456
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Consider the monthly log returns of CRSP equal-weighted index from January 1962 to December 1999 for 456 observations.
You may obtain the data from CRSP directly or from the file mew6299.txt on the Web.
(a)Build an AR model for the series and check the fitted model.
(b) Build an MA model for the series and check the fitted model.
(c) Compute 1-step and 2-step ahead forecasts of the AR and MA models built in the previous two questions.
(d) Compare the fitted AR and MA models.
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