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)?
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter2: Exponential, Logarithmic, And Trigonometric Functions
Section2.CR: Chapter 2 Review
Problem 111CR: Respiratory Rate Researchers have found that the 95 th percentile the value at which 95% of the data...
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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)?](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F7496ab18-168b-47a9-a675-df36f42169b4%2F819c33ea-f3dc-4ba5-abb5-5741b22e5ccb%2Ffew8ojj_processed.png&w=3840&q=75)
Transcribed Image Text: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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