Fill This Form To Receive Instant Help
Fill This Form To Receive Instant Help
Homework answers / question archive / Choose one stock market index of your interest
Choose one stock market index of your interest. Fit at least two models to the returns in the in-sample period. Restrict the mean equation to the constant conditional mean, i.e., use rt = µ + εt, εt = σtzt, and choose your specification for the conditional variance σ 2 t and the distribution for the shocks zt. For example, you may choose ARCH(1) and GARCH(1,1). Alternatively, you may choose GARCH(1,1) and TARCH(1,1)-t(ν) model. Describe the models you choose, state your reasons for choosing these models, present the model estimates, and compare the in-sample fit of your models.
