Focus on the monthly log returns in percentages of GE stock and the S&P 500 index. Build

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Focus on the monthly log returns in percentages of GE stock and the S&P 500 index. Build a time-varying correlation GARCH model for the bivariate series using the Cholesky decomposition.

Check the adequacy of the fitted model, and obtain the 1-step ahead forecast of the covariance matrix at the forecast origin December 1999. Compare the model with the other two models built in the previous exercises.

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