Replicate the GARCH (1,1) estimation in Example 24.2, using daily returns from on IBM from January 1999

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Replicate the GARCH (1,1) estimation in Example 24.2, using daily returns from on IBM from January 1999 to December 2003. Compare your estimates with and without the four largest returns.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:18 AM

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Estimate a GARCH(1,1) for the S&P 500 index, using data from January 1999 to December 2003.
Estimate a GARCH (1,1) for the S&P 500 index, using data from January 1999 to December 2003.
Replicate the GARCH(1,1) estimation in Example 24.2, using daily returns from on IBM from January 1999 to December 2003. Compare your estimates with and without the four largest returns.
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Replicate the GARCH (1,1) estimation in Example 24.2, using daily returns from on IBM from January 1999

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Derivatives Markets

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