Consider the monthly log returns of crsp equal-weighted, Ask an Expert

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Consider the monthly log returns of CRSP equal-weighted index from January 1962 to December 1999 for 456 observations. You may obtain the data from CRSP directly or from the file m-ew6299.txt on the Web.

(a) Build an AR model for the series and check the fitted model.

(b) Build an MA model for the series and check the fitted model.

(d) Compare the fitted AR and MA models.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91980615

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