26 15 Suppose we model continuously compounded monthly stock returns as a GWN process (with nonzero mean of course). Then the quarterly (3-month) returns can be modeled as process. a DO ARMA(2,2) GWN MA(2) AR(2) 27 1 Why do we model stock returns as an ergodic process? We think stock returns have a linear trend. -D We don't think stock returns in any particular time period have long-term influence. We don't think mean, variance, and correlations of stock returns change with time. We think stock returns follow a normal distribution. O O O O