Consider the monthly log returns of CRSP equal-weighted index from January 1962 to December 1999 for 456 observations. Y

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answerhappygod
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Consider the monthly log returns of CRSP equal-weighted index from January 1962 to December 1999 for 456 observations. Y

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Consider the monthly log returns of CRSP equal-weighted indexfrom January 1962 to December 1999 for 456 observations. You mayobtain the data from CRSP directly or from the file m-ew6299.txt onthe Web.
(a) Build an AR model for the series and check the fittedmodel.
(b) Build an MA model for the series and check the fittedmodel.
(c) Compute 1- and 2-step-ahead forecasts of the AR and MAmodels built in the previous two questions.
(d) Compare the fitted AR and MA models.
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