Suppose you have estimated the following top 5 ARMA models ranked on the lowest AIC values for each of the two assets. Model No.

Asset 1 Asset 2

Cond. Exp. Uncond. Exp. Cond. Var. Uncond. Var. Cond. Exp. Uncond. Exp. Cond. Var. Uncond. Var. 10

1 0.14 0.10 0.11 0.08 0.24 0.05 0.11 0.10 2 0.12 0.11 0.10 0.09 0.12 -0.02 0.10 0.15 3 0.13 0.11 0.10 0.09 0.28 0.10 0.11 0.18 4 0.13 0.11 0.11 0.09 0.27 0.12 0.11 0.16 5 0.12 0.10 0.10 0.08 0.15 0.17 0.10 -0.09 (a) What are the major issues with the conditional and unconditional expectations of both the assets? (b) What are the major problems you can identify in the conditional and unconditional variances of both the assets? (c) On which of the estimated model, for each asset, you can rely upon and WHY? (d) Which of the two assets seems to be forecasted better than the other asset?