Assignment_4_S07

# Assignment_4_S07 - Bonus Homework 4(optional STAT 443...

This preview shows pages 1–4. Sign up to view the full content.

Bonus Homework 4 (optional) STAT 443 Spring 2007 1. Consider an ARCH(1) model 2 1 1 0 2 , + = = t t t t t X b c e X σ where et is i.i.d. N(0,1), c0 > 0\$ and 0< b1 <1. Show that Xt is leptocurtic and larger values of b1 imply larger values of kurtosis. 2. DESCRIPTIVE ABSTRACT: Stock Returns of the company G (SRG) in US dollars over the period from July 10, 1998 through December 31, 1999. (Only business days are shown.) YOUR TASK: a) Plot SRG. b) Produce a histogram of returns of SRG and superimpose a normal curve. c) Interpret your results in a) and b). d) Fit GARCH(1,1) model to the SRG data and provide a model diagnostics (Jarque-Bera test, Ljung-Box test, scatter plots, QQ plots and histograms of returns and residuals and acf of squared returns and squared residuals). Interpret your result. Date SRG 1 19980710 0.148437500 2 19980713 -0.027210884 3 19980714 0.020979021 4 19980715 -0.003397260 5 19980716 -0.085935782 6 19980717 0.060150376 7 19980720 -0.053163121 8 19980721 -0.104865772 9 19980722 0.020886330 10 19980723 -0.127016393

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
11 19980724 -0.032900173 12 19980727 -0.111611650 13 19980728 -0.131141808 14 19980729 0.000000000 15 19980730 0.009358020 16 19980731 -0.009271259 17 19980803 -0.069229221 18 19980804 0.060864865 19 19980805 -0.006420055 20 19980806 0.006461538 21 19980807 -0.006420055 22 19980810 -0.012820513 23 19980811 -0.116883117 24 19980812 0.183882353 25 19980813 -0.006260558 26 19980814 -0.012500000 27 19980817 -0.075949367 28 19980818 -0.047890411 29 19980819 0.021523941 30 19980820 -0.070422535 31 19980821 -0.045454545 32 19980824 -0.118984127 33 19980825 -0.009080427 34 19980826 0.009163636 35 19980827 -0.045113866 36 19980828 -0.056603774 37 19980831 -0.169920000 38 19980901 0.228797224 39 19980902 0.088313725 40 19980903 -0.054050159 41 19980904 -0.066737772 42 19980908 0.000000000 43 19980909 -0.102040816 44 19980910 -0.124909091 45 19980911 -0.013089549 46 19980914 0.013263158 47 19980915 0.025971328 48 19980916 0.000000000 49 19980917 -0.012758202 50 19980918 0.038564103 51 19980921 -0.111198894 52 19980922 -0.013777778 53 19980923 0.056331681 54 19980924 -0.040102389 55 19980925 0.000000000 56 19980928 0.027777778 57 19980929 -0.135135135 58 19980930 0.031250000 59 19981001 -0.030303030 60 19981002 0.109500000 61 19981005 0.028165840 62 19981006 0.068376068 63 19981007 -0.038358974 64 19981008 -0.013438567 65 19981009 0.027027027 66 19981012 0.052631579 67 19981013 -0.037400000
68 19981014 0.032412217 69 19981015 0.006238680 70 19981016 -0.056200000 71 19981019 0.059546514 72 19981020 -0.025000000

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

## This note was uploaded on 01/12/2012 for the course STAT 443 taught by Professor Yuliagel during the Spring '09 term at Waterloo.

### Page1 / 8

Assignment_4_S07 - Bonus Homework 4(optional STAT 443...

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online