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 dal 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, Le, f1, 2., 90 and estimates the following autoregressive model wi lag of p -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 p, (measured in dollars) denote the average dal 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, Le, f1, 2., 90 and estimates the following autoregressive model wi lag of p -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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Y2
![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.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F6bef6f49-3bd4-41c6-9ca0-edbe503e8685%2F7a25ad5c-1c8e-4a1b-8188-d558a4d672f6%2F96tflh_processed.png&w=3840&q=75)
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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