Following with Exercise 8 of Chapter 13: you have downloaded a stock index at different frequencies, daily,
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For the SP500 index at daily weekly and monthly frequencies we compute the 1stepahead volatility forecasts For the daily frequency MA 1GARCH 2 1 is the best specification for weekly and monthly a GARC...View the full answer
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Related Book For 
Forecasting for Economics and Business
ISBN: 978-0131474932
1st edition
Authors: Gloria Gonzalez Rivera
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