Question: Consider the monthly log returns of Procter & Gamble stock and the valueweighted index from January 1965 to December 2008. The simple returns are given

Consider the monthly log returns of Procter & Gamble stock and the valueweighted index from January 1965 to December 2008. The simple returns are given in the file m-pgvw6508.txt. Transform the data into log returns in percentages.

(a) Build a bivariate stochastic volatility model for the two return series.

(b) Build a $\operatorname{BEKK}(1,1)$ model for the two series.

(c) Compare and discuss the two models.

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