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3 (15 pts). Suppose that the daily log return of a security follows the model rt = 0.01 +0.2rt-2 + at, where {at} is a

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3 (15 pts). Suppose that the daily log return of a security follows the model rt = 0.01 +0.2rt-2 + at, where {at} is a Gaussian white noise series with mean zero and variance 0.02. What are the mean and variance of the return series rt? Calculte all the autocorrelations of rt

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