Mathematics, 04.10.2020 14:01, obliviousho2018

Suppose that the daily value of a financial time series follows the model X t = 0.01 + 0.2 X t − 2 + a t where is a Gaussian white noise series with mean zero and variance 0.02. What are the mean and variance of the return series ? Compute the lag-1 and lag-2 autocorrelations of . Assume that , and . Compute the 1- and 2-step-ahead forecasts of the return series at the forecast origin .

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