Question: Please submit in groups. If R programming is used, please attach the R commands. Note on online submission: Any file format is accepted as

Please submit in groups. If R programming is used, please attach the

Please submit in groups. If R programming is used, please attach the R commands. Note on online submission: Any file format is accepted as long as it is clear to read. PDF and Word file format are preferred. You could scan, take photos, or type. 1. Suppose that the simple return of a monthly bond index follows the MA(1) model R = a+ + 0.2a+-1; where at is a white noise series with mean zero and standard deviation = 0.025. Assume that a100 = 0.01. Compute the 1-step- and 2-step-ahead forecasts of the return at the fore- cast origin 100. What are the standard deviations of the associated forecast errors? Also compute the lag-1 and lag-2 autocorrelations of the return series. =

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