Consider the monthly log returns of GM stock in m-gmsp5008.txt. Build an adequate TGARCH model for the

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Consider the monthly log returns of GM stock in m-gmsp5008.txt. Build an adequate TGARCH model for the series. Write down the fitted model and test for the significance of the leverage effect. Obtain 1-step- to 6-steps-ahead volatility forecasts.

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Analysis Of Financial Time Series

ISBN: 9780470414354

3rd Edition

Authors: Ruey S. Tsay

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Question Posted: May 10, 2024 05:00 AM

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Consider the monthly log returns of GM stock in m-gmsp5008.txt. Build an adequate TGARCH model for the

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Analysis Of Financial Time Series

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