In Exercise 5 of Chapter 13, you downloaded the time series of US CPI and GDP and

Question:

In Exercise 5 of Chapter 13, you downloaded the time series of US CPI and GDP and constructed the inflation rate and GDP growth. For each, calculate the unconditional mean, and compute the 1-step-ahead volatility forecast by implementing the best (G) ARCH model, and construct the corresponding 95% interval forecast?