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In the following linear AR(1) model, rt is the log price of a security at time t. Image, here at is a random process obeying
In the following linear AR(1) model, rt is the log price of a security at time t. Image, here at is a random process obeying normal distribution N(, 2) with mean and variance 2, such as the following Image iid N(0, 0.36), Assume further that r100 = 3.865. Compute the 95% interval forecast for r101 at the forecast origin t = 100.
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