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10. What is the prediction for the variance of the returns random variable for the next week in the future? Enter your answer to the
10.
What is the prediction for the variance of the returns random variable for the next week in the future? Enter your answer to the nearest thousandths place.
Below is the bottom of a JMP data table showing Rockwell Automation weekly prices and returns. Also shown is a regression squared returns on the lag of squared returns: Date 237 03/09/2020 238 03/16/2020 239 03/23/2020 240 03/30/2020 241 04/06/2020 Price Returns 164.572052 -0.073475945 125.563187 -0.270539366 149.994476 0.1777893528 145.359756 -0.031386721 166.017929 0.1328840431 = Linear Fit Returns^2 = 0.001125 + 0.3338715*Returns^2 - 1 Summary of Fit RSquare 0.107628 RSquare Adj 0.103863 Root Mean Square Error 0.005276 Mean of Response 0.001652 Observations (or Sum Wgts) 239 Parameter Estimates Term Estimate Std Error t Ratio Prob>[t| Intercept 0.001125 0.000355 3.17 0.0017* Returns^2 -1 0.3338715 0.062448 5.35 <.0001 below is the bottom of a jmp data table showing rockwell automation weekly prices and returns. also shown regression squared returns on lag returns: date price linear fit summary rsquare adj root mean square error response observations sum wgts parameter estimates term estimate std t ratio prob>[t| Intercept 0.001125 0.000355 3.17 0.0017* Returns^2 -1 0.3338715 0.062448 5.35 <.0001>Step by Step Solution
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