Column 3 of the file d-hwp3dx8099.dat contains the daily log returns of the CRSP equal-weighted index from
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Column 3 of the file "d-hwp3dx8099.dat" contains the daily log returns of the CRSP equal-weighted index from January 1980 to December 1999.
- Build an AR model for the series and check the fitted model.
- Build an ARMA model for the series and check the fitted model.
- Use the fitted AR model to compute 1-step to 7-step ahead forecasts at the forecast origin December 27, 1999 (i.e., \(h=5052\) ). Note that for this particular instance the lag- 5 coefficient is statistically significant. This might be due to the weekend effects.
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