Consider the monthly log returns of the sampp composite, Ask an Expert

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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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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91980887

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