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3. (14 points) Suppose that the monthly log return of a security rą follows the GARCH(1,1) model Tt = 0.1 + at, at = Ote
Posted: Wed May 11, 2022 6:11 am
by answerhappygod
- 3 14 Points Suppose That The Monthly Log Return Of A Security Ra Follows The Garch 1 1 Model Tt 0 1 At At Ote 1 (34.62 KiB) Viewed 30 times
3. (14 points) Suppose that the monthly log return of a security rą follows the GARCH(1,1) model Tt = 0.1 + at, at = Otet) of = 0.01 + 0.2a-1 +0.30-1, where {Et} is a Gaussian white noise series with mean zero and variance 1. (a) Compute the mean and variance of the return series rt. (6 points) (b) Compute the 1-step- and all the multistep-ahead forecasts of conditional variance of at the forecast origin t = h. (8 points)