Need help with this question based on time series.I need numerical solution. 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)?

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Description: Need help with this question based on time series.I need numerical solution. 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 2

Given a996=-5.06 and σ9962=50.5

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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;€; of = 0.119a-1 + 0.881o,+ 1 1+ eхxp(—10a,-1) (4.276 – 0.084o1), 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 ag96 = -5.06 and og6 = 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 ôg96 (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;€; of = 0.119a-1 + 0.881o,+ 1 1+ eхxp(—10a,-1) (4.276 – 0.084o1), 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 ag96 = -5.06 and og6 = 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 ôg96 (1)?

MATLAB: An Introduction with Applications

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ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

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Need help with this question based on time series.I need numerical solution.

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)?

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