Introduction to Probability and Statistics
14th Edition
ISBN: 9781133103752
Author: Mendenhall, William
Publisher: Cengage Learning
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Chapter 8.9, Problem 8.80E
To determine
To find
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Consider the ceocomp dataset of compensation information for the CEO’s of 100 U.S. companies. We wish to fit aregression model to assess the relationship between CEO compensation in thousands of dollars (includes salary andbonus, but not stock gains) and the following variates:AGE: The CEOs age, in yearsEDUCATN: The CEO’s education level (1 = no college degree; 2 = college/undergrad. degree; 3 = grad. degree)BACKGRD: Background type(1= banking/financial; 2 = sales/marketing; 3 = technical; 4 = legal; 5 = other)TENURE: Number of years employed by the firmEXPER: Number of years as the firm CEOSALES: Sales revenues, in millions of dollarsVAL: Market value of the CEO's stock, in natural logarithm unitsPCNTOWN: Percentage of firm's market value owned by the CEOPROF: Profits of the firm, before taxes, in millions of dollars1) Create a scatterplot matrix for this dataset. Briefly comment on the observed relationships between compensationand the other variates.Note that companies with negative…
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.
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Chapter 8 Solutions
Introduction to Probability and Statistics
Ch. 8.4 - Prob. 8.3ECh. 8.4 - Prob. 8.4ECh. 8.4 - Prob. 8.5ECh. 8.4 - Prob. 8.6ECh. 8.4 - Prob. 8.7ECh. 8.4 - Prob. 8.8ECh. 8.4 - Prob. 8.9ECh. 8.4 - Prob. 8.10ECh. 8.4 - Prob. 8.11ECh. 8.4 - Prob. 8.12E
Ch. 8.4 - Prob. 8.13ECh. 8.4 - Prob. 8.14ECh. 8.4 - Prob. 8.15ECh. 8.4 - Prob. 8.16ECh. 8.4 - Prob. 8.18ECh. 8.4 - Prob. 8.19ECh. 8.4 - Hotel Costs Even within a particular chain of...Ch. 8.4 - Prob. 8.21ECh. 8.5 - Find and interpret a 95% confidence interval for a...Ch. 8.5 - Find a 90% confidence interval for a population...Ch. 8.5 - Prob. 8.26ECh. 8.5 - Prob. 8.27ECh. 8.5 - Prob. 8.28ECh. 8.5 - Prob. 8.29ECh. 8.5 - Compare the confidence intervals in Exercise 8.29....Ch. 8.5 - Prob. 8.31ECh. 8.5 - Prob. 8.32ECh. 8.5 - Prob. 8.33ECh. 8.5 - Prob. 8.34ECh. 8.5 - Prob. 8.35ECh. 8.5 - Prob. 8.36ECh. 8.5 - Prob. 8.38ECh. 8.5 - What’s Normal? What is normal, when it comes to...Ch. 8.5 - Prob. 8.40ECh. 8.6 - Independent random samples were selected from...Ch. 8.6 - Prob. 8.42ECh. 8.6 - Prob. 8.43ECh. 8.6 - Prob. 8.44ECh. 8.6 - Prob. 8.45ECh. 8.6 - Prob. 8.46ECh. 8.6 - Prob. 8.47ECh. 8.6 - Prob. 8.48ECh. 8.6 - Prob. 8.49ECh. 8.6 - Prob. 8.50ECh. 8.6 - Hotel Costs Refer to Exercise 8.20. The means and...Ch. 8.6 - Noise and Stress To compare the effect of stress...Ch. 8.6 - Prob. 8.53ECh. 8.7 - Prob. 8.54ECh. 8.7 - Prob. 8.55ECh. 8.7 - Prob. 8.56ECh. 8.7 - Prob. 8.58ECh. 8.7 - Prob. 8.61ECh. 8.7 - Prob. 8.64ECh. 8.7 - Prob. 8.65ECh. 8.7 - Prob. 8.66ECh. 8.9 - Prob. 8.67ECh. 8.9 - Prob. 8.68ECh. 8.9 - Prob. 8.69ECh. 8.9 - Prob. 8.70ECh. 8.9 - Prob. 8.71ECh. 8.9 - Prob. 8.72ECh. 8.9 - Prob. 8.73ECh. 8.9 - Prob. 8.75ECh. 8.9 - Prob. 8.77ECh. 8.9 - Prob. 8.78ECh. 8.9 - Prob. 8.80ECh. 8.9 - Prob. 8.81ECh. 8.9 - Prob. 8.83ECh. 8 - Prob. 8.86SECh. 8 - Prob. 8.87SECh. 8 - Prob. 8.88SECh. 8 - Prob. 8.89SECh. 8 - Prob. 8.90SECh. 8 - Prob. 8.91SECh. 8 - Prob. 8.92SECh. 8 - Prob. 8.93SECh. 8 - Prob. 8.94SECh. 8 - Prob. 8.95SECh. 8 - Prob. 8.96SECh. 8 - Prob. 8.98SECh. 8 - Prob. 8.99SECh. 8 - Prob. 8.100SECh. 8 - Prob. 8.101SECh. 8 - Prob. 8.103SECh. 8 - Prob. 8.107SECh. 8 - Prob. 8.108SECh. 8 - Prob. 8.109SECh. 8 - Prob. 8.110SECh. 8 - Prob. 8.111SECh. 8 - Prob. 8.112SECh. 8 - Prob. 8.113SECh. 8 - Prob. 8.114SECh. 8 - Prob. 8.115SECh. 8 - Prob. 8.116SECh. 8 - Prob. 8.117SE
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