Based on the forecasts from Exercise 3, construct a 95% interval forecast for the returns of each

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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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Forecasting for Economics and Business

ISBN: 978-0131474932

1st edition

Authors: Gloria Gonzalez Rivera

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Question Posted: Feb 25, 2016 06:20 AM

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Based on the forecasts from Exercise 3, construct a 95% interval forecast for the returns of each

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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 the full answer

Forecasting for Economics and Business

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