Question: Again, consider the monthly log returns of GE, IBM, and S&P composite index from January 1926 to December 2008. Build a dynamic correlation model for

Again, consider the monthly log returns of GE, IBM, and S&P composite index from January 1926 to December 2008. Build a dynamic correlation model for the three-dimensional series. For simplicity, use the sample correlation matrix for $ho$ in Eq. (10.32).

0 = (1 01 02 tai +201 (10.32) 1-

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