Question: Based on the forecasts from Exercise 3, construct a 95% interval forecast for the returns of each of the three series. Assume that the 1-step-ahead

Based on the forecasts from Exercise 3, construct a 95% interval forecast for the returns of each of the three series. Assume that the 1-step-ahead forecast of the return is zero and that the returns are conditionally normal distributed.

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In Figures 7 8 and 9 we plot the 95 interval forecast for the returns of each of the three series ... View full answer

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