2. Run a regression using RP instead of the squared returns as proxies for observed variance; that...

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2. Run a regression using RP instead of the squared returns as proxies for observed variance;

that is, regress RPtC1 D b0 Cb12t C1 CetC1, where RPtC1 D 1

4ln.2/

D2t C1 Is the constant term significantly different from zero? Is the coefficient on the forecast significantly different from one? What is the fit of the regression as measured by the R2? Compare your answer with the R2 from exercise 1.

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

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Question Posted: Oct 19, 2024 12:00 PM

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2. Run a regression using RP instead of the squared returns as proxies for observed variance; that...

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Elements Of Financial Risk Management

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