time series

Consider the monthly simple returns of CRSP Decile 1, 2, 5,

9 and 10 portfolios

based on the market capitalization of NYSE/AMEX/NASDAQ. The data s

pan is from

January 1961 to September 2011. (a) For the return series of D

ecile 2 and Decile 10,

test the null hypothesis that the first 12 lags of autocorrela

tions are zero at the 5%

level. Draw your conclusion. (b) Build an ARMA model for the re

turn series of Decile

2. Perform model checking and write down the fitted model. (c)

Use the fitted ARMA

model to produce 1 to 12-step ahead forecasts of the series an

d the associated standard

errors of forecasts

Habilidades: Modelado 3D, Programación en C, Programación en C#, Programación en C++, Lenguaje de Programación R

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- Use R to do Ljung-Box Test - Use R to fit ARMA model I will provide you write-up answers in Word Document. Thanks.

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