In Exercise 6 of Chapter 13, you found the best ARMA models for the conditional mean of the inflation rate and GDP growth For each series, let us write this model as Y1 t t1 (1 where t t1, the conditional mean, is the ARMA that you have found The, the conditional variance is the residual t and cons...

We continue with the same time series The estimation sample goes from 1947Q1 to 2008Q4 and the forecast sample from 2009Q1 to 2013Q1 We estimated an AR3 for the conditional mean of inflation and GDP N ...

In Exercise 6 of Chapter 13, you found the best ARMA models for the conditional mean of

Question:

In Exercise 6 of Chapter 13, you found the best ARMA models for the conditional mean of the inflation rate and GDP growth. For each series, let us write this model as Y1 = μt|t–1 + (1 where μt|t–1, the conditional mean, is the ARMA that you have found. The, the conditional variance is the residual t and construct the 1-step ahead volatility forecast by implementing the best (G) ARCH model. Construct the corresponding 95% intermeeting the best (G) ARCH model. Construct the corresponding 95% val forecast for inflation and GDP growth, and compare these intervals with those from Exercise 5.