hw5-2012 - CORNELL UNIVERSITY STSCI 4550 / ILRST 4550 /...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
CORNELL UNIVERSITY STSCI 4550 / ILRST 4550 / ORIE 5550 Applied Time Series Analysis, Spring 2012 Professor David S. Matteson Assignment #5 Due: Wednesday, March 14 1. Consider the monthly simple return of CRSP Decile 1 portfolio from January 1988 to December 2007. The data are in m-dec1n10.txt (date, Decile-1 return, and Decile-10 return) (a) Plot the time series, ACF, PACF and comment. (b) Fit an MA(1) model to the series. Write down the fitted model. (c) Compute 1-step to 4-step ahead forecasts of the fitted MA(1) model using the last observation as the forecast origin. Write down the forecasts and their standard errors. Why are the 2-step to 4-step forecasts the same? (d) Fit an AR(1) model to the series. Write down the fitted model. (e) Compute 1-step to 4-step ahead forecasts of the fitted AR(1) model again using the last observation as the forecast origin. Write down the forecasts and their standard errors.
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 04/01/2012 for the course ORIE 5550 taught by Professor Matteson during the Spring '12 term at Cornell University (Engineering School).

Ask a homework question - tutors are online