D2 Economics Using the monthly squared returns of a stock market index (T = 250 observations) you have obtained the following first 6 sample autocorrelations: ˆρ1 = 0.25 , ˆρ2 = 0.15, ˆρ3 = 0.08, ˆρ4 = 0.02, ˆρ5 = −0.09, ˆρ6 = 0.01. Using a suitable test argue whether the return series is characterised by volatility clustering patterns.

D2 Economics Using the monthly squared returns of a stock market index (T = 250 observations) you have obtained the following first 6 sample autocorrelations: ˆρ1 = 0.25 , ˆρ2 = 0.15, ˆρ3 = 0.08, ˆρ4 = 0.02, ˆρ5 = −0.09, ˆρ6 = 0.01. Using a suitable test argue whether the return series is characterised by volatility clustering patterns.

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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