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use R to solve this problem 5. Obtain the VIX index from 2012-01-01 to 2017-02-01. Focus on the series of the daily closing index. Compute
use R to solve this problem
5. Obtain the VIX index from 2012-01-01 to 2017-02-01. Focus on the series of the daily closing index. Compute the monthly log return re of the VIX index. (you can use the function monthlyReturn). getSymbols ("Vix", from. 2012-01-01 , , to-, 2017-02-01 , , src="yahoo") (1) Using the command ar to identify an AR mdoel for rt. Perform estimation and write down the fitted model, including residual standard deviation. (2) Make an ACF plot. Propose and fit an MA model based on the ACF plot. Perform estimation and write down the fitted model, including residual standard deviation. Are all the MA coefficient significant? Is the fitted model invertible? (check the roots of the MA polynomial) Make a tsdiag plot for the model. Judging from the plots, is the fitted model adequate? 5. Obtain the VIX index from 2012-01-01 to 2017-02-01. Focus on the series of the daily closing index. Compute the monthly log return re of the VIX index. (you can use the function monthlyReturn). getSymbols ("Vix", from. 2012-01-01 , , to-, 2017-02-01 , , src="yahoo") (1) Using the command ar to identify an AR mdoel for rt. Perform estimation and write down the fitted model, including residual standard deviation. (2) Make an ACF plot. Propose and fit an MA model based on the ACF plot. Perform estimation and write down the fitted model, including residual standard deviation. Are all the MA coefficient significant? Is the fitted model invertible? (check the roots of the MA polynomial) Make a tsdiag plot for the model. Judging from the plots, is the fitted model adequate
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