Consider the daily log returns of the exchange-traded fund for the S&P 500 index with tick symbol

Question:

Consider the daily log returns of the exchange-traded fund for the S&P 500 index with tick symbol SPY from January 3, 2007 to June 30, 2017. Daily log returns denote the first difference of log daily closing prices. The first column of the file SPY0717.txt contains the log return. Is the return series nonlinear? Perform some tests, including the BDS test to draw a conclusion.

Step by Step Answer:

Related Book For  book-img-for-question

Nonlinear Time Series Analysis

ISBN: 9781119264057

1st Edition

Authors: Ruey S. Tsay, Rong Chen

Question Posted: