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

Question:

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 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 questions.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: