Sep 25, 2017 term paper 2

THE FILE M-SPIBMGE.TXT CONTAINS THE MONTHLY LOG RETURNS IN PERCENTAGES OF THE S&P 500 INDEX, IBM…

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The file m-spibmge.txt contains the monthly log returns in percentages of the S&P 500 index, IBM stock, and General Electric stock from January 1926 to December 1999. The returns include dividends. Focus on the monthly log returns in percentages of GE stock and the S&P 500 index. Build a constant correlation GARCH model for the bivariate series. Check the adequacy of the fitted model, and obtain the 1-step ahead forecast of the covariance matrix at the forecast origin December 1999.


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