Assume today is March 5th. The stock price of firm A today is $33. Also assume...
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Assume today is March 5th. The stock price of firm A today is $33. Also assume that stock price of firm A is a daily time series {y} following an AR(1) model y = 15+ 0.6yt-1+ut, where u, is a normally distributed white noise series with a mean of 0 and a variance of 9. Please calculate the point forecast and the 95% interval forecast for the stock price of firm A tomorrow (March 6th). Assume today is March 5th. The stock price of firm A today is $33. Also assume that stock price of firm A is a daily time series {y} following an AR(1) model y = 15+ 0.6yt-1+ut, where u, is a normally distributed white noise series with a mean of 0 and a variance of 9. Please calculate the point forecast and the 95% interval forecast for the stock price of firm A tomorrow (March 6th).
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Given that the stock price of firm A follows an AR1 model yt 15 06yt1 ut where ut is a white no... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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