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30) Consider the quarterly sales data: data1 = {10, 31, 43, 16, 11, 33, 45, 17, 14, 46, 50, 21, 19, 41, 55, 25}. Forecast
30) Consider the quarterly sales data:
data1 = {10, 31, 43, 16, 11, 33, 45, 17, 14, 46, 50, 21, 19, 41, 55, 25}.
Forecast the volatility for the next quarter a) using EWMA with = 0:9N (where N is the last digit of your student number) b) using GARCH(1,1) with ! = 0:000002 , = 0:04 and = 0:9N:
c) comment on your results by comparing a) and B) Proportional change will be taken as return , that is (An+1 An)=An:
N= 1
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