Build a bivariate stochastic volatility model for the monthly log returns of Ford Motors stock and the
Question:
Build a bivariate stochastic volatility model for the monthly log returns of Ford Motors stock and the S&P composite index for the sample period from January 1965 to December 2008. Discuss the relationship between the two volatility processes and compute the time-varying beta for the Ford stock.
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Building a bivariate stochastic volatility SV model involves modeling the volatility of two assets simultaneously The SV model assumes that the volati...View the full answer
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