Question

Table 14.4.7 shows basic computer results from a Box– Jenkins analysis of the daily percentage changes in the Dow Jones Industrial stock market index from July 31 to October 9, 1987, prior to the crash of 1987.
a. What kind of process has been estimated?
b. Write the model in a way that shows how the next observation is determined from the previous one. Use the actual estimated coefficients.
c. Which estimated coefficients are statistically significant?
d. Using 0 in place of all estimated coefficients that are not statistically significant, write down the model that shows how the next observation is determined from the previous one. What kind of process is this?
e. Write a brief paragraph summarizing your results as support for the randomwalk theory of market behavior.


$1.99
Sales0
Views27
Comments0
  • CreatedNovember 11, 2015
  • Files Included
Post your question
5000