Question
Stock name: CSCO Cisco Systems, Inc. download the stock from Nasdaq Composite Index (^IXIC)s and CBOE Volatility Index (^VIX)s last 5 years daily data from
Stock name:
CSCO | Cisco Systems, Inc. |
download the stock from Nasdaq Composite Index (^IXIC)s and CBOE Volatility Index (^VIX)s last 5 years daily data from Yahoo finance. Then answer these. WITH NUMBERS AND TABLES
1. Look at the correlogram of the squared residuals of the estimated model and check the requirement of variance modelling and the necessary lags in the variance modelling framework.
2. Apply the ARCH LM test and check whether there is heteroscedasticity problem or not. Decide on the requirement of the variance modelling application.
3. Estimate an ARCH model by incorporating the necessary lags of the error term in the variance equation. Check the mean equation and variance equation variables in terms of statistical significance and interpret the variables. Check the correlogram of the residuals and the squared residuals of the model. Apply ARCH-LM test and see whether there is heteroscedasticity problem or not after ARCH modelling.
4. Estimate a GARCH model by incorporating the necessary lags of the error term and the necessary lags of the variance itself in the variance equation. Check the mean equation and variance equation variables in terms of statistical significance and interpret the variables (especially reaction and persistence coefficients). Check the correlogram of the residuals and the squared residuals of the model. Apply ARCH-LM test and see whether there is heteroscedasticity problem or not after GARCH modelling.
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