Question

he previous problem points to the need for an ARCH-type model. Let's opt for the ndOARCH(1,1 ) setup, where the variance of#2 in the ARO) is specified as 2. The e widely Here are the estimates a) Write the estimated values in the blanks, and circle each value that is statistically distingaishable from zero. สา Now, does the AR(O)-GARCH(1,1) setup seemm appropriate foe these data? The followimg present tests of the standardized residuals b) The AR(O) part seems OK /NOT OK ba then circle the relevant p-values in the output) c) The GARCH(1.1) part seems OK/NOT OK based on which p-values? (Circle OK or NOT OK, and then put a box around the relevant p-values in the output.)

Answer 1

Given Data: 2) The tast in the pmevaus pmob-lem poirls to the nad fa an-ARCH-tyre modd. let'', opt fo7' the moew'd used GARCH (,seup, whene the vapjarte nee whene the vaarof et t ere ane the estimates → Given estimates as follo : Estimat O 00D14655 Mu 0 001514 O 00000 51 b-003千6チ09 Omega .00000 5 :Alpha l 10. D154529 Beta 9969127 (A) :-φοラ0.00014655 →一0.00000751 0.015:529 ,8→ O. 97969127 ラ α1 Hee, s value is statiscly distinquishable Prom Zeno (b) :-Noo) we Saw tat sign cane level Calpha) -)Hence, İn (b) and (c) Paat, if p-value is less than the significance inleyal Co57529) Then the parts wit be ok and if p-value <%,then t s not ok. So

valhue Jaque-Bona test Shapiho- wilk test L-Tung Box test O 0000 1090206 0, 406 5:3 06535928 0.80.37:338 0, 8254 29 0 , 86チ745 0.9048026 0 859338 ok Utok -Jung Box test L-Jun Bon test L-dung Bon test L-Tung Box test L-Jung Bo test M Anch test Nat ok Not ok Not ok Notok Not ok Not ok 廾ge, we saw orly Jalque-beat ast and Şhafino-Wilk test has p-value less -tan alpha Hence ok iable Pon the GARCH (I, poot in which aque bep tast and ahogino-uwilk -test wil be Considenel ok on basis of p-valueh fame tale be appliable son the GARCH C) arn