Consider the monthly log returns of Procter & Gamble stock and the valueweighted index from January 1965
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 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.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answered By
Bhartendu Goyal
Professional, Experienced, and Expert tutor who will provide speedy and to-the-point solutions. I have been teaching students for 5 years now in different subjects and it's truly been one of the most rewarding experiences of my life. I have also done one-to-one tutoring with 100+ students and help them achieve great subject knowledge. I have expertise in computer subjects like C++, C, Java, and Python programming and other computer Science related fields. Many of my student's parents message me that your lessons improved their children's grades and this is the best only thing you want as a tea...
2+ Reviews
10+ Question Solved
Related Book For 
Question Posted:
