Question: For the inflation rate and GDP growth from Exercise 5, find the best ARMA model for the conditional mean, is the ARMA that you have

For the inflation rate and GDP growth from Exercise 5, find the best ARMA model for the conditional mean, is the ARMA that you have found. Then, the conditional variance is

Given this expression, retrieve the residuals 1 and construct the 1-step-ahead volatility forecast by implementing MA and EWMA. Construct the corresponding 95% interval forecast for inflation and GDP growth, and compare these intervals with those from Exercise 5.

E(Y,

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