The estimates for the five models in Table 14.1 were obtained using monthly observations on returns to U.S. Nasdaq stock prices from 1985M1 to 2015M12. Use each of the models to estimate the mean and variance of returns for 2016M1.

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TABLE 14.1 Estimates from ARCH Models for U.S. Nasdaq Returns Mean function Constant h, 1.4567 1.1789 1.098 1.078 0.931 0.006 Variance function Constant 23.35 19.35 2.076 2.351 2.172 e 0.4694 0.3429 0.1329 0.124 0.136 7-1 e-2 0.1973 h-1 de 0.8147 0.8006 0.8089 0.0293 End-of-sample estimates 2015M12 2015M11 2015M12 -3.4388 -3.1610 -3.0803 -3.0605 -3.0760 -0.3700 -0.0922 -0.0115 0.0083 -0.0296 23.42 32.64 27.10 27.39 27.27