Obtain the weekly log returns of the S&P 500 index for the period January 1, 1978 through

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Obtain the weekly log returns of the S\&P 500 index for the period January 1, 1978 through December 31, 2017, and compute the weekly $\log$ returns.

(a) Test for an ARCH effect in this time series.

(b) Fit an ARIMA $(1,1,1)+\operatorname{GARCH}(1,1)$ model to the weekly log returns of the S\&P 500 index for the period January 1, 1978 through December 31, 2017.

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Statistical Analysis Of Financial Data

ISBN: 9781032173467

1st Edition

Authors: James Gentle

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Question Posted: Apr 29, 2024 08:01 AM

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Obtain the weekly log returns of the S&P 500 index for the period January 1, 1978 through

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Statistical Analysis Of Financial Data

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