(30 points) Suppose that the daily log return of a security follows the model rt = 0.02 +0.5rt-2 + et where {e} is a Gaussian white noise series with mean zero and variance0.02. What are the mean and variance of the return series rt? Compute the lag-1 and lag-2 autocorrelations of rt. -0.01, and r99 = 0.02. Compute the 1- and 2-step-ahead forecasts of the return series at the forecast origin t = 100. What are the associated standard deviation of the forecast errors? Assume that r100 = (30 points) Suppose that the daily log return of a security follows the model rt = 0.02 +0.5rt-2 + et where {e} is a Gaussian white noise series with mean zero and variance0.02. What are the mean and variance of the return series rt? Compute the lag-1 and lag-2 autocorrelations of rt. -0.01, and r99 = 0.02. Compute the 1- and 2-step-ahead forecasts of the return series at the forecast origin t = 100. What are the associated standard deviation of the forecast errors? Assume that r100 =