Statistics - Unlocking The Power Of Data - Second Edition
2nd Edition
ISBN: 9781119444268
Author: Lock, Robin H.; Lock, Patti Frazer; Morgan, Kari Lock
Publisher: John Wiley & Sons
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Chapter B, Problem 77RE
To determine
Generate the randomization distribution.
Find the p-value.
State whether the results are significant.
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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.
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 B Solutions
Statistics - Unlocking The Power Of Data - Second Edition
Ch. B - Prob. 1ECh. B - Prob. 2ECh. B - Prob. 3ECh. B - Prob. 4ECh. B - Prob. 5ECh. B - Husbands Older Than Wives? A sample of marriage...Ch. B - Correlation between Ages of Husbands and Wives...Ch. B - Prob. 8RECh. B - Prob. 9RECh. B - Prob. 10RE
Ch. B - Prob. 11RECh. B - Prob. 12RECh. B - Prob. 13RECh. B - Prob. 14RECh. B - Prob. 15RECh. B - Prob. 16RECh. B - Prob. 17RECh. B - Prob. 18RECh. B - Prob. 19RECh. B - Prob. 20RECh. B - Prob. 21RECh. B - Prob. 22RECh. B - Prob. 23RECh. B - Prob. 24RECh. B - Prob. 25RECh. B - Prob. 26RECh. B - Prob. 27RECh. B - Prob. 28RECh. B - Standard Deviation of Penalty Minutes in the NHL...Ch. B - Prob. 30RECh. B - Prob. 31RECh. B - Prob. 32RECh. B - Prob. 33RECh. B - Prob. 34RECh. B - Prob. 35RECh. B - Taxes on Soda: Interpreting P-values Exercises...Ch. B - Prob. 37RECh. B - Prob. 38RECh. B - Prob. 39RECh. B - Prob. 40RECh. B -
Paul the Octopus In the 2010 World Cup, Paul the...Ch. B -
How Unlikely Is Paul the Octopus’s Success? For...Ch. B - Prob. 43RECh. B - Prob. 44RECh. B - Prob. 45RECh. B - A Possible Fast-Acting Antidepressant Traditional...Ch. B - Prob. 47RECh. B - Prob. 48RECh. B - Prob. 49RECh. B - Prob. 50RECh. B - Prob. 51RECh. B - Prob. 52RECh. B - Prob. 53RECh. B - Prob. 54RECh. B - Prob. 55RECh. B - Prob. 56RECh. B - Prob. 57RECh. B - Prob. 58RECh. B - Prob. 59RECh. B - Prob. 60RECh. B - Prob. 61RECh. B - Correlation between Distance and Time for Atlanta...Ch. B - Prob. 63RECh. B - Prob. 64RECh. B - Prob. 65RECh. B - Prob. 66RECh. B - Prob. 67RECh. B - Prob. 68RECh. B - Prob. 69RECh. B - Prob. 70RECh. B - Prob. 71RECh. B - Prob. 72RECh. B - Prob. 73RECh. B - Prob. 74RECh. B - Prob. 75RECh. B - Prob. 76RECh. B - Prob. 77RECh. B - Prob. 78RECh. B - Prob. 79RECh. B - RANDOMIZATION SAMPLES
In Exercises B.78 to B.82, a...Ch. B - Prob. 81RECh. B - Prob. 82RE
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