Consider the daily log returns of EXXON-Mobil, S&P composite index, and Apple stock used in Example 7.6.
Question:
Consider the daily log returns of EXXON-Mobil, S\&P composite index, and Apple stock used in Example 7.6. Fit a dynamically orthogonal component (DOC) model to the series. Write down the fitted model. Is the model adequate? Why?
Data from Example 7.6
Figure 7.17
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