Consider the daily range (daily high-daily low) of Apple stock from January 2, 2007 to December 23,

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Consider the daily range (daily high-daily low) of Apple stock from January 2, 2007 to December 23, 2011. One can obtain the data by the package quantmod from Yahoo. Compute the first 100 lags of ACF of the series. Is there evidence of long-range dependence? Why? If the range series has long memory, build an AFRIMA model for the data.

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Ali Khawaja

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