Question: (a.)Download the DJIA data from Yahoo! Finance using quantmod (the index ticker is ^DJI) from 1991-01-01 to 2019-06-30 and calculate the daily return time series.

(a.)Download the DJIA data from Yahoo! Finance using quantmod (the index ticker is ^DJI) from 1991-01-01 to 2019-06-30 and calculate the daily return time series.

(b.) Write down the AR model for the series. Remove insignificant coefficient estimates (based

on t-ratio in absolute value of 1.645). Provide model checking to confirm that the model is adequate.

(c.) Use the fitted model to obtain 1-step to 4-step ahead predictions series (forecast origin is the last data point). Also, compute the corresponding 95% interval forecasts.

(d.). Does the series exhibit GARCH effects? If yes, why?

(e.) Provide the volatility equation and perform model checking. Consider both a normal innovation and a Student-t innovation.

(f.) Write the full model for the series.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Economics Questions!

1. Provide a short description for the concepts addressed in the... 1. Provide a short description for the concepts addressed in the following questions: (a.) Why study an asset return and not its...

1. Provide a short description for the concepts addressed in the following questions: (a.) Why study an asset return and not its price? (b.) Let denote the daily log return of an asset. Describe a...

Consider the return time series for the DJIA index. (a.) Download the DJIA data from Yahoo! Finance using quantmod (the index ticker is ^DJI) from 1991-01-01 to 2019-06-30 and calculate the daily...

2. Consider the return time series for the DJIA index. (a.) Download the DJIA data from Yahoo! Finance using quantmod (the index ticker is ^DJI) from2000-01-01 to 2019-06-30 and calculate the daily...

1. You will be assigned twenty (20) stocks from the current S&P 500 index. You must use these 20 stocks (or, more precisely, the ticker symbols) to download data from yahoo.com. Go to yahoo.com, then...

Ticker Symbol is MAT. TBill rates 2013-2018 -------------------------- This project is designed to illustrate the process of estimating the CAPM market risk factor, beta. The technique uses a simple...

Question 2: Explanation of Statistical Calculations Question 3: Compare the calculated Beta with the reported Beta on Yahoo! Finance. Question 4: Regression Statistics Ticker Start ^GSPC 9/30/1994...

Exam 3-Scaling Up with VBA Learning Objective: In this assignment, you will use your recently acquired knowledge of Excel VBA coding to scale up the analysis from the previous exercise. You should be...

What alternatives are available to the auditor when a population contains a few items with negative balances, such as credit balances in accounts receivable, and the auditor wishes to utilize PPS...

The scandal on backdating stock options introduced new terminology to describe these controversial practices. Describe what you think each of these terms means. a. Backdating b. Repricing c....

44. Calculating Loan Payments (LO2) You need a 30-year, fixed-rate mortgage to buy a new home for $290,000. Your mortgage bank will lend you the money at a 5.85 percent APR (semiannual) for this...

Compute the Federal income tax liability for the Valerio Trust. The entity reports the following transactions for the 2017 tax year. The trustee accumulates all accounting income for the year....

The adjusted trial balance for Kokomo Furniture Company on November 30, the end of its first month of operation, is as follows: The general ledger reveals the following additional data: a. There were...

Delta Catfish Company has taken a position in its tax return to claim a tax credit of $10 million (direct reduction in taxes payable) and has determined that its sustainability is more likely than...

The Cecil-Booker Vending Company changed its method of valuing inventory from the average cost method to the FIFO cost method at the beginning of 2011. At December 31, 2010, inventories were $120,000...

FIFO Method Refer to the information in problem 6-46. In problem 6-46. Sosna Company has a department that manufactures wood trusses (wood frames used in the construction industry). The following...

Share any experience you have with a database accessed for work or pleasure. What database management system was used for the database? Did you like the database? Why or why not? Or, share a link to...

18. In the statements below, put a cross for the statement you feel characterizes yourself best when you communicate with others. Its not necessarily the way you know you should communicate, but the...

10. What activities in your life best express the value you want others to associate with you?

7. Also complete the following sentence: This core value is important to me when I ________________________. This is the situation this core value is important to you we are looking for here.