Question
2. Obtain the VIX index from 2015-01-01 to 2020-02-01. Focus on the series of the daily closing index. Compute the monthly log return rt
2. Obtain the VIX index from 2015-01-01 to 2020-02-01. Focus on the series of the daily closing index. Compute the monthly log return rt of the VIX index. (you can use the function monthly Return). getSymbols ("^VIX",from='2015-01-01', to='2020-02-01',src="yahoo") (1) Using the command ar to identify an AR mdoel for rt. Perform estimation and write down the fitted model, including residual standard deviation. (2) Make an ACF plot. Propose and fit an MA model based on the ACF plot. Perform estimation and write down the fitted model, including residual standard deviation. Are all the MA coefficient significant?
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Finance Applications and Theory
Authors: Marcia Cornett, Troy Adair
3rd edition
1259252221, 007786168X, 9781259252228, 978-0077861681
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