HW10.pdf - Homework 10(Due date Nov 25th Monday 1 Let\u2019s finish analyzing the daily closing prices of SP500 we used for in-lab assignment 10(a Repeat

# HW10.pdf - Homework 10(Due date Nov 25th Monday 1 Let’s...

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Homework 10 (Due date: Nov 25th, Monday) 1. Let’s finish analyzing the daily closing prices of SP500 we used for in-lab assignment 10. (a) Repeat 1–5 in In-lab assignment 10. (b) Since the ACF and PACF of the squared return data do not have clear patterns, we should try to fit a GARCH model to the return data. Find the best GARCH model for the data set. Justify your answer. (c) Compare the GARCH model you chose in (b) and the ARCH model you chose in in-lab assignment 10. (d) Find the best model and write its model equation. 2. Download most recent three years of daily closing stock prices of a company and answer the following questions. (a) Choose a company you like. (b) Download most recent three years of daily closing stock prices of the company through “Yahoo Finance” and email your data set to the GA, [email protected]

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