I need help with solution of this problem.Subject is Time Series and question is based on IGARCH. Suppose that the monthly log returns of GE stock, measured in percentages,follow a smooth threshold IGARCH(1,1) model. For the sampling period fromJanuary 1926 to December 2008, the fitted model isr; = 1.14 + a,,af = 0;E;1of = 0.119a-1 + 0.881o, +(4.276 – 0.0840²1),1+ exp(—10а,-1)where all of the estimates are highly significant, the coefficient 10 in theexponent is fixed a priori to simplify the estimation, and {;} are iid N (0, 1).Assume that ag96 = -5.06 and o96 = 50.5. What is the 1-step-ahead volatilityforecast ô996 (1)? Suppose instead that ag96 = 5.06. What is the 1-step-aheadvolatility forecast og96(1)?

Suppose that the monthly log returns of GE stock, measured in percentages, follow a smooth threshold IGARCH(1,1) model. For the sampling period from January 1926 to December 2008, the fitted model is r; = 1.14 + a;, a; = 0;€; 1 of = 0.119a-1 + 0.881o1+ -(4.276 – 0.08401), 1+ exp(-10a,-1) where all of the estimates are highly significant, the coefficient 10 in the exponent is fixed a priori to simplify the estimation, and {e;} are iid N(0, 1). Assume that a996 = -5.06 and o6 = 50.5. What is the 1-step-ahead volatility forecast ô996 (1)? Suppose instead that a996 = 5.06. What is the 1-step-ahead volatility forecast ô996(1)?

Suppose that the monthly log returns of GE stock, measured in percentages, follow a smooth threshold IGARCH(1,1) model. For the sampling period from January 1926 to December 2008, the fitted model is r; = 1.14 + a;, a; = 0;€; 1 of = 0.119a-1 + 0.881o1+ -(4.276 – 0.08401), 1+ exp(-10a,-1) where all of the estimates are highly significant, the coefficient 10 in the exponent is fixed a priori to simplify the estimation, and {e;} are iid N(0, 1). Assume that a996 = -5.06 and o6 = 50.5. What is the 1-step-ahead volatility forecast ô996 (1)? Suppose instead that a996 = 5.06. What is the 1-step-ahead volatility forecast ô996(1)?

Calculus For The Life Sciences

2nd Edition

ISBN:9780321964038

Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.

Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.

Chapter2: Exponential, Logarithmic, And Trigonometric Functions

Section2.CR: Chapter 2 Review

Problem 111CR: Respiratory Rate Researchers have found that the 95 th percentile the value at which 95% of the data...

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