Consider the monthly log returns of CRSP equal-weighted index from January 1962 to December 1999 for 456 observations. Y
Posted: Wed Jul 06, 2022 12:28 pm
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.
(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.