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Question: Focus on the daily log returns, in percentages, of EXXON-Mobil stock and the S&P composite index used in Example. Fit a BEKK(1,1) model to the innovations of log returns. Write down the fitted model and obtain mean, standard error, minimum, and maximum of the correlations.
Example: As a second example, we consider the daily log returns, in percentages, of EXXON-Mobil stock, S&P composite index, and Apple stock from September 4, 2007 to September 28, 2012 for 1280 observations. The simple returns are from CRSP. The left panel of Figure 7.16 shows the time plots of the daily log return series. As expected, the volatilities of the three assets were high during the 2008 financial crisis and the variability of the Apple stock returns appears to be higher than those of the other two series. Let zt denote the daily log returns, in percentages. Analysis of individual series indicates some minor serial correlations in the Apple stock returns. However, for simplicity, we continue to assume that the mean equation of zt is just a constant. This provides an estimate of the
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