Build a constant-correlation volatility model for the three monthly (log) returns of IBM stock, HPQ stock, and

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Build a constant-correlation volatility model for the three monthly \(\log\) returns of IBM stock, HPQ stock, and S&P composite index. Write down the fitted model. Is the model adequate? Why?

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Analysis Of Financial Time Series

ISBN: 9780470414354

3rd Edition

Authors: Ruey S. Tsay

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Question Posted: May 07, 2024 12:00 PM

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Build a constant-correlation volatility model for the three monthly (log) returns of IBM stock, HPQ stock, and

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Analysis Of Financial Time Series

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