Question: Compute continuously compounded returns and estimate these models: Appropriate ARIMA model by using Box-Jenkins methodology [10 Marks] Appropriate ARCH model [20 Marks] GARCH (1,1) model

Compute continuously compounded returns and estimate these models:

  1. Appropriate ARIMA model by using Box-Jenkins methodology [10 Marks]
  2. Appropriate ARCH model [20 Marks]
  3. GARCH (1,1) model [20 Marks]

Also, do one-step ahead forecasting for all these models.

COMPANY: BAJAJ AUTO LTD

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