AMAIZING OFFER GET 25% OFF YOUR FIRST ORDER CODE FIRST25
Assignment 3 Consider the market closing daily prices on IBM in file IBMclose.dat. Estimate the ARCH(1) and ARCH(2) models using the code in file Assgn3.sas. Write the two models. Discuss the statistical significance of the estimated parameters. Are the squared returns on IBM serially correlated? Is therefore IBM volatility predictable? If yes, compute the out-of –sample value of volatility at time T+1. Does your finding contradict the former conclusion that returns on IBM are white noise?