A researcher is interested in finding out how the past average daily values of the stock prices of a firm A determine the current average daily value of its stock price. Let py (measured in dollars) denote the average daily value of the stock price of firm A at time. The researcher collects data on the average daily values of the stock prices of the last quarter of 2017, Let-1, 2., 90 and estimates the following autoregressive model wit lag of py A-2.12 1.12P-1.²-0.512, SER-13.14. (1.14) (0.64)
A researcher is interested in finding out how the past average daily values of the stock prices of a firm A determine the current average daily value of its stock price. Let py (measured in dollars) denote the average daily value of the stock price of firm A at time. The researcher collects data on the average daily values of the stock prices of the last quarter of 2017, Let-1, 2., 90 and estimates the following autoregressive model wit lag of py A-2.12 1.12P-1.²-0.512, SER-13.14. (1.14) (0.64)
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Ma3.
Transcribed Image Text:Given the information below:
A researcher is interested in finding out how the past average daily values of the stock prices of a firm A determine the current average daily value of its stock price. Let p, (measured in dollars) denote the average daily
value of the stock price of firm A at time t. The researcher collects data on the average daily values of the stock prices of the last quarter of 2017, i.e., -1, 2., 90 and estimates the following autoregressive model with 1
lag of p
P-2.12+1.12p-1, R²-0.512, SER=13.14.
(1.14) (0.64)
If the current stock price is is $693 and the pseudo out-of-sample estimated MSFE is 174. The upper bound of the 95% forecast interval for the stock price
tomorrow is $___?
Hint: Answer to three decimal places.
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