5) (20 marks) Consider the stationary GARCH(1.1) model X στ = Εισι Ει N(0.1) 0.1+0.38?…., +0.150,7-\. a) (5 marks) Express X as an ARMA model. b) (6 marks) Find E(X) and E(0). c) (5 marks) Find Cov(X, σ). d) (4 marks) Given a data set {X1, X2, X3, X4} = {1.1.3.1,-2.2.1.4}. find the log-likelihood for the GARCH model.

5) (20 marks) Consider the stationary GARCH(1.1) model X στ = Εισι Ει N(0.1) 0.1+0.38?…., +0.150,7-\. a) (5 marks) Express X as an ARMA model. b) (6 marks) Find E(X) and E(0). c) (5 marks) Find Cov(X, σ). d) (4 marks) Given a data set {X1, X2, X3, X4} = {1.1.3.1,-2.2.1.4}. find the log-likelihood for the GARCH model.

Algebra & Trigonometry with Analytic Geometry

13th Edition

ISBN:9781133382119

Author:Swokowski

Publisher:Swokowski

Chapter11: Topics From Analytic Geometry

Section11.5: Polar Coordinates

Problem 98E

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