Consider the observations for Realised Volatility (RV, square root of realized variance) for years 2000 to 2015 (i.e. leave years 2016-2017 observations for out-of-sample forecasting) and build an appropriate ARMA model for the RV series. Explain how you arrived at your chosen model.

Consider the observations for Realised Volatility (RV, square root of realized variance) for years 2000 to 2015 (i.e. leave years 2016-2017 observations for out-of-sample forecasting) and build an appropriate ARMA model for the RV series. Explain how you arrived at your chosen model.


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