d) Write the forecasted values for one-step ahead and two-step ahead for a stationary AR(1) and a MA(1) processes.

c) Comment on the results reported in Table 4. Explain in detail the estimated models for the mean and for the variance. Why do we report z-statistic instead of t-statistic? Do you think it is a good model for the series Zt? (25 points) Dependent Variable: ZT Sample: 2 2610 Included observations: 2609 Convergence achieved after 7 iterations Variable Coefficient Sid. ETUI 2-Slalistic ProL. KT 2.985484 0.398468 0.033637 0.001578 88.75579 252.4882 0.0000 0.0000 Variance Equation RESID(-1)^2 1.185540 -0.012932 0.038280 0.015718 30.97047 -0.822728 0.0000 0.4107 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.961374 Mean dependent var 0.961360 S.D. dependent var 1.082284 Akaike info criterion 3053.682 Schwarz criterion -3907.037 Hannan-Quinn criter. 2.088492 -3.437449 5.505798 2.998112 3.007106 3.001370 c) Comment on the results reported in Table 4. Explain in detail the estimated models for the mean and for the variance. Why do we report z-statistic instead of t-statistic? Do you think it is a good model for the series Zt? (25 points) Dependent Variable: ZT Sample: 2 2610 Included observations: 2609 Convergence achieved after 7 iterations Variable Coefficient Sid. ETUI 2-Slalistic ProL. KT 2.985484 0.398468 0.033637 0.001578 88.75579 252.4882 0.0000 0.0000 Variance Equation RESID(-1)^2 1.185540 -0.012932 0.038280 0.015718 30.97047 -0.822728 0.0000 0.4107 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.961374 Mean dependent var 0.961360 S.D. dependent var 1.082284 Akaike info criterion 3053.682 Schwarz criterion -3907.037 Hannan-Quinn criter. 2.088492 -3.437449 5.505798 2.998112 3.007106 3.001370