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1. (30 points) Suppose that the daily log return of a security follows the ARMA(1, 1) model rt = 0 + 01rt-1 +et+0₁et-1 w
Posted: Mon Jul 11, 2022 11:17 am
by answerhappygod
- 1 30 Points Suppose That The Daily Log Return Of A Security Follows The Arma 1 1 Model Rt 0 01rt 1 Et 0 Et 1 W 1 (36.86 KiB) Viewed 29 times
1. (30 points) Suppose that the daily log return of a security follows the ARMA(1, 1) model rt = 0 + 01rt-1 +et+0₁et-1 where [et] is a Gaussian white noise series with mean zero and variance one. What are the mean and variance of the return series rt? Compute the lag-1 and lag-2 autocovariances of the return series.