Stochastic Analysis question

Please solve the question that is in the pdf file and make sure to write a comment of at least one line for each result. Please use MATLAB or R programming language.

Use GARCH6.txt that is contained in File #4(ZIP) aka garch data

Use Data6.txt that is contained in File #2(ZIP) aka arma data

File #2 and #3 are the same, I'm not sure how to delete a file so just ignore File #3

  • 1. The D2L file is missing. 2. This questions involves knowledge of time series and programming. I believe the bounty should be much higher.

  • I totally agree with Mathe. Offer is way too low for the level of the question.

  • Bounty has been increased. As a broke uni student I really can't afford any higher than this amount. I apologize and really hope you consider answering the question despite the low bounty.

  • There are 10 files in the garch zip and 10 in the arma zip, but it's not clear how to use the files. Are those files supposed to be concatenated to form a single time series, or are they 10 different time series that need to be fit?

  • Use GARCH6.txt (contained in garch zip) and Data6.txt (contained in arma zip). Correct, you are supposed to concatenate them to form a single time series.

  • So we concatenate GARCH6.txt and Data6.txt to from a single time series?

  • Which one goes first? Please be more detailed on how to concatenate the files.

  • Looking at the data, it looks like each dataset should be modelled separately

  • I understand now. There is a series of prices for questions a)-d) and a second series of log-returns for questions e)-g)


Answers can be viewed only if
  1. The questioner was satisfied and accepted the answer, or
  2. The answer was disputed, but the judge evaluated it as 100% correct.
View the answer

1 Attachment

The answer is accepted.