Use the quantmod package to obtain the daily prices of Apple stock from January 2, 2007, to

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Use the quantmod package to obtain the daily prices of Apple stock from January 2, 2007, to November 30, 2011.

(a) Consider the log prices. Use Yang and Zhang method with window sizes 63 and 32 to obtain the daily volatility of the stock.

(b) Use an ARMA-GARCH model to obtain the daily volatility of the stock. Compare the three volatility series.

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An Introduction To Analysis Of Financial Data With R

ISBN: 9780470890813

1st Edition

Authors: Ruey S Tsay

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Question Posted: Apr 30, 2024 09:00 AM

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Use the quantmod package to obtain the daily prices of Apple stock from January 2, 2007, to

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An Introduction To Analysis Of Financial Data With R

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