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Unformatted text preview: stock returns. Use the sample periods 1831:01 through 2010:02, 1926:01 through 2010:02, and 1953:01 through 2010:02. (c) Also, model the conditional heteroskedasticity of the risk premium (difference between stock returns and the short-term interest rate) from 1926:01 through 2010:02. Are the results different from looking at raw stock returns? Why or why not? (d) Explain the different models and/or methods you use to represent conditional heteroskedasticity and how you interpret the results of your analysis. For example, which method works “best,” and what do you learn about the behavior of the data from this analysis? Is volatility unusually high now? You should write a short, concise report that includes a minimum of computer output. Show only what is necessary. You may use any computer program that you know how to use....
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This note was uploaded on 03/04/2010 for the course FIN 532 taught by Professor Schwert during the Spring '10 term at Rochester.
- Spring '10