OPENINTRO:STATISTICS
OPENINTRO:STATISTICS
4th Edition
ISBN: 9781943450077
Author: OPENINTRO
Publisher: amazon.com
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Chapter 1, Problem 44CE

a.

To determine

Identify the variables collected to create the given summary table.

b.

To determine

Identify the type of variables.

c.

To determine

Identify the response and explanatory variables in the given analysis.

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6 (Model Selection, Estimation and Prediction of GARCH) Consider the daily returns rt of General Electric Company stock (ticker: "GE") from "2021-01-01" to "2024-03-31", comprising a total of 813 daily returns. Using the "fGarch" package of R, outputs of fitting three GARCH models to the returns are given at the end of this question. Model 1 ARCH (1) with standard normal innovations; Model 2 Model 3 GARCH (1, 1) with Student-t innovations; GARCH (2, 2) with Student-t innovations; Based on the outputs, answer the following questions. (a) What can be inferred from the Standardized Residual Tests conducted on Model 1? (b) Which model do you recommend for prediction between Model 2 and Model 3? Why? (c) Write down the fitted model for the model that you recommended in Part (b). (d) Using the model recommended in Part (b), predict the conditional volatility in the next trading day, specifically trading day 814.
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