Question: Testing for ARCH in Equity Returns Gauss file(s) garch_test.g, equity.xlsx Matlab file(s) garch_test.m, equity.mat Use the same data as in Exercise 1. (a) Compute the

Testing for ARCH in Equity Returns Gauss file(s) garch_test.g, equity.xlsx Matlab file(s) garch_test.m, equity.mat Use the same data as in Exercise 1.

(a) Compute the daily percentage return on the FTSE index, yt .

(b) Test yt for ARCH(1), ARCH(2) and ARCH(3) using the LM test and compare the results with those presented in Table 20.1.

(c) Repeat parts

(a) and

(b) for the DOW and the NIKKEI.

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