STAT443 Study Guide - Quiz Guide: S&P 500 Index, Dot-Com Bubble, Nokia Phone Series

• School: University of Waterloo
• Department: Statistics
• Course: STAT443
• Professor: Diana Skrzydlo

Document Summary

1. (a) plot the entire history of the s&p stock index over time and comment. How can they be explained by market events? library(tseries) 1 s n r u t e r g o l. Does the information in these plots suggest an arch/garch model would be appropriate? par(mfcol=c(1,2)) acf(as. numeric(logreturns)) acf(as. numeric(logreturns^2)) We see very little correlation in the series itself (just a couple of random ones outside the lines), but signi cant correlation in the squares. ## 3. 792052e-02 5. 048436e-09 9. 095171e-01 omega mu arch1res