Focus on the monthly log returns in percentages of GE stock and the S&P 500 index. Build a time-varying correlation GARCH model for the bivariate series using the Cholesky decomposition. Check the adequacy of the fitted model, and obtain the 1-step ahead forecast of the covariance matrix at the forecast origin December 1999. Compare the model with the other two models built in the previous exercises.
Focus on the monthly log returns in percentages of GE stock and the S&P 500 index. Build a…
August 8th, 2017 admin