Again, consider the daily simple returns of GM stock in the file d-gmsp9908.txt. (a) Find an adequate

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Again, consider the daily simple returns of GM stock in the file d-gmsp9908.txt.

(a) Find an adequate GARCH-M model for the series. Write down the fitted model.

(b) Find an adequate EGARCH model for the series. Is the "leverage" effect significant at the \(5 \%\) level?

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Analysis Of Financial Time Series

ISBN: 9780470414354

3rd Edition

Authors: Ruey S. Tsay

Question Posted: May 07, 2024 12:00 PM

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Again, consider the daily simple returns of GM stock in the file d-gmsp9908.txt. (a) Find an adequate

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Analysis Of Financial Time Series

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