Build a time varying correlation garch model

Reference no: EM131224945

Focus on the monthly log returns in percentages of GE stock and the S&P 500 index.

Build a time-varying correlation GARCH model for the bivariate series using a logistic function for the correlation coefficient.

Check the adequacy of the fitted model, and obtain the 1-step ahead forecast of the covariance matrix at the forecast origin December 1999.

Reference no: EM131224945

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