Suppose that simple return of a monthly bond index follows an MA(2) model, Rt = 0.1 + vt + 0.6V+-2, (1) where vt N(0, 2). = (a) What is the mean of the simple return of this monthly bond? (b) What is the variance of the simple return of this monthly bond? (c) Consider the forecast origin h = 100 with V100 0, 199 -0.6 and V98 = 0.5. Compute the 1-step-ahead forecast of the simple return at the forecast origin h = 100 and the variance of your forecast error. (d) Based on part (c), compute the 2-step-ahead forecast of the simple return at the forecast origin h = 100 and the variance of your forecast error. (e) Based on part (C), how long do you expect the forecast value converge to its mean level? Explain it briefly. Suppose that simple return of a monthly bond index follows an MA(2) model, Rt = 0.1 + vt + 0.6V+-2, (1) where vt N(0, 2). = (a) What is the mean of the simple return of this monthly bond? (b) What is the variance of the simple return of this monthly bond? (c) Consider the forecast origin h = 100 with V100 0, 199 -0.6 and V98 = 0.5. Compute the 1-step-ahead forecast of the simple return at the forecast origin h = 100 and the variance of your forecast error. (d) Based on part (c), compute the 2-step-ahead forecast of the simple return at the forecast origin h = 100 and the variance of your forecast error. (e) Based on part (C), how long do you expect the forecast value converge to its mean level? Explain it briefly