Numerical Methods
4th Edition
ISBN: 9780495114765
Author: J. Douglas Faires, BURDEN
Publisher: Cengage Learning
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Chapter 1.2, Problem 12E
a.
To determine
Using Tayler series to calculate the
b.
To determine
Calculate the error for Tayler series.
c.
To determine
Using Maclaurin series to calculate the integration of the given function.
d.
To determine
Calculate the error for Maclaurin series.
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Students have asked these similar questions
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.
4 (MLE of ARCH) Suppose rt follows ARCH(2) with E(rt) = 0,
rt = ut, ut =
στει, σε
where {+} is a sequence of independent and identically distributed (iid) standard normal
random variables.
With observations r₁,...,, write down the log-likelihood function for the model esti-
mation.
5 (Moments of GARCH) For the GARCH(2,2) model rt =
0.2+0.25u1+0.05u-2 +0.30% / -1 +0.20% -2, find cov(rt).
0.0035 ut, ut =
στει,στ
=
Chapter 1 Solutions
Numerical Methods
Ch. 1.2 - Prob. 1ECh. 1.2 - Find intervals containing solutions to the...Ch. 1.2 - Prob. 3ECh. 1.2 - Find maxaxbf(x) for the following functions and...Ch. 1.2 - Let f(x)=x3. Find the second Taylor polynomial...Ch. 1.2 - Prob. 6ECh. 1.2 - Find the second Taylor polynomial P2(x) for the...Ch. 1.2 - Prob. 8ECh. 1.2 - Prob. 9ECh. 1.2 - Use a Taylor polynomial about /4 to approximate...
Ch. 1.2 - Prob. 11ECh. 1.2 - Prob. 12ECh. 1.2 - Prob. 13ECh. 1.2 - The nth Taylor polynomial for a function f at x0...Ch. 1.2 - Prob. 15ECh. 1.2 - Prob. 16ECh. 1.3 - Compute the absolute error and relative error in...Ch. 1.3 - Prob. 2ECh. 1.3 - Use three-digit rounding arithmetic to perform the...Ch. 1.3 - Prob. 4ECh. 1.3 - Prob. 5ECh. 1.3 - Prob. 6ECh. 1.3 - Prob. 7ECh. 1.3 - Prob. 8ECh. 1.3 - Prob. 9ECh. 1.3 - Prob. 10ECh. 1.3 - Prob. 11ECh. 1.3 - Prob. 12ECh. 1.3 - Prob. 13ECh. 1.4 - Prob. 1ECh. 1.4 - Prob. 2ECh. 1.4 - Prob. 3ECh. 1.4 - Prob. 4ECh. 1.4 - Prob. 5ECh. 1.4 - Prob. 6ECh. 1.4 - Use three-digit chopping arithmetic to compute the...Ch. 1.4 - Prob. 8ECh. 1.4 - Prob. 9ECh. 1.4 - Prob. 10ECh. 1.4 - Prob. 11ECh. 1.4 - Prob. 12ECh. 1.4 - Prob. 13E
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