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3. Suppose that you have collected monthly returns over the last 5 years on a U.S. small stock index and have calculated the standard deviation
3. Suppose that you have collected monthly returns over the last 5 years on a U.S. small stock index and have calculated the standard deviation to be 14.20%. You want to determine if this standard deviation is statistically different from 12%. You assume the population is normally distributed with unknown variance. Using this sample of 60 months, calculate the test statistic that you will use to compare against the critical value.
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