Suppose a time series of returns r, follows the following recursive formula: = (1 — αL)(1 — BL³) at where a, is a normal white noise series with variance 6₂. The integer constant S>3 models the seasonal effect. What type of model is r, and what is its order? Calculate the mean and variance of r,. Calculate the covariance of r, and r₁-, as well as the covariance of r, and r₁-2. Calculate the lag s-1, s and s + 1 autocorrelation of r,.

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