I need help with solution of this problem.Subject is Time Series and question is based on IGARCH. Suppose that the monthly log returns of GE stock, measured in percentages,follow a smooth threshold IGARCH(1,1) model. For the sampling period fromJanuary 1926 to December 2008, the fitted model isr; = 1.14 + a,,af = 0;E;1of = 0.119a-1 + 0.881o, +(4.276 – 0.0840²1),1+ exp(—10а,-1)where all of the estimates are highly significant, the coefficient 10 in theexponent is fixed a priori to simplify the estimation, and {;} are iid N (0, 1).Assume that ag96 = -5.06 and o96 = 50.5. What is the 1-step-ahead volatilityforecast ô996 (1)? Suppose instead that ag96 = 5.06. What is the 1-step-aheadvolatility forecast og96(1)?

Given a996=-5.06 and σ9962=50.5

Suppose that the monthly log returns of GE stock, measured in percentages, follow a smooth threshold IGARCH(1,1) model. For the sampling period from January 1926 to December 2008, the fitted model is r; = 1.14 + a;, a; = 0;€; 1 of = 0.119a-1 + 0.881o1+ -(4.276 – 0.08401), 1+ exp(-10a,-1) where all of the estimates are highly significant, the coefficient 10 in the exponent is fixed a priori to simplify the estimation, and {e;} are iid N(0, 1). Assume that a996 = -5.06 and o6 = 50.5. What is the 1-step-ahead volatility forecast ô996 (1)? Suppose instead that a996 = 5.06. What is the 1-step-ahead volatility forecast ô996(1)?

Suppose that the monthly log returns of GE stock, measured in percentages, follow a smooth threshold IGARCH(1,1) model. For the sampling period from January 1926 to December 2008, the fitted model is r; = 1.14 + a;, a; = 0;€; 1 of = 0.119a-1 + 0.881o1+ -(4.276 – 0.08401), 1+ exp(-10a,-1) where all of the estimates are highly significant, the coefficient 10 in the exponent is fixed a priori to simplify the estimation, and {e;} are iid N(0, 1). Assume that a996 = -5.06 and o6 = 50.5. What is the 1-step-ahead volatility forecast ô996 (1)? Suppose instead that a996 = 5.06. What is the 1-step-ahead volatility forecast ô996(1)?

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

See similar textbooks

Related questions

Q: Suppose you wanted to poll citizens of the U.S. and Canada to estimate the number of people who…

Q: 3. Discuss the following characteristics of the curve representing wolf population (6A,1C) a.…

A: Hi thank you for posting this question As per policy we have solved question 3 with 4 sub parts for…

Q: 1. A study considered the question, "Are you a registered voter?" Accuracy of confirmed by a check…

A: Given Information: Let subscript 1 be the number of voters in face to face interview and subscript…

Q: 10 1¹ e. Equation of the axis f. Period g. State a possible sine or cosine function to model the…

A: Equation of the axisPeriodState a possible sine or cosine function to model the wolf population:

Q: Need help ONLY with part d of this Intro to probability and statistics homework problem. Below is…

A: Given information (a) P(A1)=0.7150 (b) P(A1|S1)=0.6193 (c) P(A1|S2)=0.7886

Q: Modelling with Indices 10. A person offers you one of two prizes: Prize (A) $1000 right now. Prize…

Q: The table below shows the number of deaths in the U.S. in a year due to a variety of causes. For…

A: We have to find we can support claim or not.

Q: Researchers counted the number of times drivers honked when the car in front failed to move within 5…

A: It is given that the researcher conducted an experiment were he observed the number of time a car…

Q: THE INFORMATION REFERS TO QUESTIONS 1 - 3: A researcher wanted to test whether being in a humorous…

A: Hi! Thank you for the question, As per the honor code, we are allowed to answer one question at a…

Q: 1. Construct two tables (having the required GPA and Not having the required GPA) such that…

A: P(GPA) = 0.401 P(Scholarship | GPA ) = 0.7756 P(Scholarship | No GPA) = 0.0651 P(On time | GPA and…

Q: 5. A medical journal stated that most injury-causing accidents at home occur in the living room or…

A: A medical journal stated that most injury-causing accidents at home occur in the living room or…

Q: how can I enter this data in spss?

A: The frequencies are 6, 14, 9 and 7 and the proportions are 0.30, 0.25, 0.25 and 0.20.

Q: Find its length over the given interval. (Round your answer to four decimal places.)

A: Length of a plane curve: The length of a plane curve or the arc length of a curve r(t)=f(t) i^…

Q: Picture Attached

A: To calculate the percentage of clinical failure in each group, we divide the number of clinical…

Q: How many times must a jogger run around circular 1/4 - mile track in order to have run 3 1/2 miles ?

A: To find the number of times that a jogger must run

Q: A nationwide award for high school students is given to outstanding students who are sophomores,…

A: Solution

Q: Which of the following is the resulting 95% confidence interval? (25.0, 29.2) (26.0, 28.2)…

A: Answer:-

Q: A ping pong ball is drawn at random from an urn consisting of balls numbered 4 through 9. A player…

A: a) An urn consists balls numbered 4 through 9. That is there are 6 balls in the urn. The probability…

Q: Suppose you have traveled back in time to March 2020 and we are interested in finding out how many…

A: *Answer:

Q: Time can be expressed on different levels of scale, including days, weeks, months, and years. Can…

A: We want to find the 95% confidence interval for the difference in population means

Q: Calculate the standard error for the independent-samples t-statistic. Assume the pooled variance to…

A: The question is about two independent sample t test Given : Pooled var. ( sp2 ) = 2.5 Sample size of…

Q: 7. A survey of the white and nonwhite population in a local area reveals the following annual trip…

A: Given,

Q: A and B

A: Given information: The boxplots for city-A and city-B are given.

Q: QUESTION 18 Use your knowledge of proportion to solve this problem. A student in the COBU260 course…

A: Given: The total score in first half is N=110. The scores obtained in first half is X=80. The total…

Q: 6. What is one of the distinctions between a population parameter and a sample statistic? a) A…

A: Here we have to find distribution between population parameter and a sample statistics.

Q: Many graduate school programs in the United States require applicants to take the Graduate Record…

A: Given, Intended major Below 700 700 to 800 Total Economics 2143 6775 Political science…

Concept explainers

Counting Principles

In statistics, the counting principle can be said to be the concept in which the quantity of an item is determined. There can be a single item, or a group of items, or items that are related to each other. In every possible set of items, the quantity of the possible item groups or their sorting measures can be determined with counting principles.

Question

I need help with solution of this problem.Subject is Time Series and question is based on IGARCH.

Suppose that the monthly log returns of GE stock, measured in percentages,
follow a smooth threshold IGARCH(1,1) model. For the sampling period from
January 1926 to December 2008, the fitted model is
r; = 1.14 + a,,
af = 0;E;
1
of = 0.119a-1 + 0.881o, +
(4.276 – 0.0840²1),
1+ exp(—10а,-1)
where all of the estimates are highly significant, the coefficient 10 in the
exponent is fixed a priori to simplify the estimation, and {;} are iid N (0, 1).
Assume that ag96 = -5.06 and o96 = 50.5. What is the 1-step-ahead volatility
forecast ô996 (1)? Suppose instead that ag96 = 5.06. What is the 1-step-ahead
volatility forecast og96(1)?

Expert Solution

This question has been solved!

Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.

This is a popular solution!

SEE SOLUTION Check out a sample Q&A here

Step 1

Step 2

Step 3

Step 4

Trending now

This is a popular solution!

Step by step

Solved in 4 steps

SEE SOLUTION Check out a sample Q&A here

Knowledge Booster

$Fundamental Counting Principle$

Learn more about

Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, statistics and related others by exploring similar questions and additional content below.

Similar questions

Question 4) Steve and Sue, both being relatively short, have always felt they and their shorter than average friends were getting shorted in pay. They hire you to do some analysis. You divide the population into shorter than average (Shorts) and taller than average (Talls). (Probably don’t refer to your friends in these terms, this is only to help you quickly talk about the samples) Your Shorts sample of 10 people earns on average $22 per hour with a standard deviation of $5. The Talls sample of 12 shows an average earned $18 per hour with a standard deviation of $4. Set up a null hypothesis and an alternative hypothesis Using an alpha of .05 test your hypothesis. (If you get stuck write down what you know.) What did you determine based on your test? Refer to your null and alternative hypotheses. (If you are stuck on part b, make up a result and answer parts c and d based on the result. Make sure to explicitly state what result you are making up so I…
There are 9 million enrollees in the Department of Veterans Affairs health care system. It wants doctors and nurses to treat pain as a “fifth vital sign” to be recorded along with blood pressure, pulse, temperature, and breathing rate. If you were to aid the VA in this situation, how would you measure a patient’s pain? How could this “fifth vital sign” be a potentially invalid measure? Answer each question with at least one paragraph of three complete sentences.
Question 10 10 pts Mr. Cawvey spends $35 on 2 new toys and 3 bones for the dog. Ms. Cawvey spend $20 on 1 new toy and 2 bones for the dog. How much did each toy and bone cost? (Give answers as decimals or whole numbers, NOT fractions) Toy-$ Bone-$ No new data to save. Last checked at 12:14pm Submit Quiz
Please show me the answer of question 3 and 4
It is week 1 and there are currently 84 Apple Watches Series 6 in stock. We need 431 Apple Watches at the start of week 6. Apple Watch has a lead time of 2 week, in which week should an order be placed to meet the requirement of Apple Watches? Input should be an exact number le 5 or 10)
Question 17 You travel by train to a city and back. The outbound journey took 2.5 hours on an fast train, but the return journey on the same route took 4 hours. If the train averaged 80 mph for the return journey, what was the average speed of the outbound journey? 50 mph 98 mph 100 mph 128 mph
Please answer question 19 based on the chart shown in question 18. Thank you
(a) In one or two sentences, describe how your experiment went; for example, mention any difficulties that you faced along the way. Then present a table of your collected data, similar in layout to Table 3 of Unit 10 (Subsection 3.4). Indicate clearly the units in which you made your measurements (for example, millimetres) and the measurements that correspond to seedlings whose stems were cut during their growth. Then proceed to part (b) of the question. If, however, you were unable to collect data of your own, then state this and explain why. Instead of presenting results in a table, draw stemplots for each of the two samples of data given in Table 1, including only measurements from seedlings whose stems were cut during growth. Also, give the main reason for producing such stemplots in the context of a t-test, and comment on the shape of the stemplots relative to this reason. Table 1 Lengths of roots (in mm) obtained in a mustard seedlings experiment Seedlings grown in light…
The below graph plots the daily prices of Gold over time. a) Examine the plot and describe the issues that may arise when trying to forecast future Gold prices given this time series data. Offer solutions to these issues b) Offer a suitable forecasting method for this data.