Sep 25, 2017 term paper 2

CONSIDER THE MONTHLY LOG RETURNS OF THE S&P COMPOSITE INDEX, IBM STOCK, AND HEWLETT-PACKARD…

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Consider the monthly log returns of the S&P composite index, IBM stock, and Hewlett-Packard (HPQ) stock from January 1962 to December 2003 for 504 observations. The log returns are in the file m-spibmhpq6203.txt. Use the exponentially weighted moving-average method to obtain a multivariate volatility series for the three return series. What is the estimated λ? Plot the three volatility series.


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