Compute the log returns, he file m-pgspabt-6211.txt

Compute the log returns

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Reference no: EM131441360

Question: The file m-pgspabt-6211.txt contains the monthly simple returns of Procter & Gamble stock, S&P composite index, and Abbot Laboratories stock from January 1962, to December 2011. Compute the log returns. Is there conditional heteroscedasticity in the log return series? Fit a Go-GARCH model with ICA estimation method to the log return series. Write down the fitted model. Is the model adequate? Why?

Reference no: EM131441360

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