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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 EViews专版
1461 2
2011-01-29
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先说一下。只要做出来这题。50元肯定打到您给我的账户上。决不食言。我都要被这题折磨傻了。  先说一下。老师的数据是三个股票的数据。我不知道怎么在这里传。。但题目如下。如果你觉得题目会做。加我QQ:1310717622.。数据扣扣传给你。。========================================================================================  1) Calculate and plot the rate of returns;2) After having estimated the conditional variance with a GARCH(1,1)model:a) calculate the long run variance,b) plot the conditional variance,c) comment on the persistency of the conditional variance,d) use Ljung-Box Q-statistics to determine how good the model is,e) using the information available at the end of the day n-1, forecastthe expected volatility on day n+k (k=10, 20, 50) for each of thethree stock indices.3) Test whether the conditional volatility has any statistically significantimpact on its own stock market returns.4) Test whether the S&P500 squared returns have any statistical significanteffect on the other two markets’ conditional variances.

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2011-1-29 21:14:22
什么都没有阿?
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2011-1-29 23:54:06
没发出来!不好意思。。如下:

先说一下。只要做出来这题。50元肯定打到您给我的账户上。决不食言。我都要被这题折磨傻了。  先说一下。老师的数据是三个股票的数据。我不知道怎么在这里传。。但题目如下。如果你觉得题目会做。加我QQ:1310717622.。数据扣扣传给你。。========================================================================================  1) Calculate and plot the rate of returns;2) After having estimated the conditional variance with a GARCH(1,1)model:a) calculate the long run variance,b) plot the conditional variance,c) comment on the persistency of the conditional variance,d) use Ljung-Box Q-statistics to determine how good the model is,e) using the information available at the end of the day n-1, forecastthe expected volatility on day n+k (k=10, 20, 50) for each of thethree stock indices.3) Test whether the conditional volatility has any statistically significantimpact on its own stock market returns.4) Test whether the S&P500 squared returns have any statistical significanteffect on the other two markets’ conditional variances.
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