ams316_hw4 - diagnostic checks on the Ftted model. 4....

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AMS316 HW4 Due Dec 7, 2009 Consider the weekly log returns of Yahoo! stock from the week of April 12, 1996 to the week of June 25, 2007 in the Fle http://www.ams.sunysb.edu/˜xing/statFnbook/ BookData/Chap05/w logret yahoo.txt. 1. Are there seasonal e±ects in the series? 2. Are there serial correlations in the series? Plot the AC² to make your conclusion. 3. ²it an ARMA model to the data from April 12, 1996 to April 30, 2007, and perform
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Unformatted text preview: diagnostic checks on the Ftted model. 4. Compute k-weeks-ahead forecasts ( k = 1 , 2 , . . . , 8) based on the Ftted model, using April 30, 2007 as the forecast origin. Give the standard errors of your forecasts and compare them with the forecast errors, which are the dierences between the predicted and actual log returns....
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This note was uploaded on 08/08/2010 for the course AMS 316 taught by Professor Xing during the Fall '09 term at SUNY Stony Brook.

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