The following table gives 5 daily closing prices of a stock in Dec 2021.The 2-day simple gross return of holding the stock Dec 12 from Dec 12 to Dec 14 is: () Date Price(S) Dec 11 Dec 13 190.70 Dec 14 Dec 15 188.84 191.23 192.28 190.80 A -0.0077 B 1.0078 0.0078 0.9923 I 7. Consider the following MA(1) model: X,=1+u, +0.5u,, where (u, is a white noise with mean 0 and variance 0.4. The mean E(X,) is 输入答案 and the variance Var(X,) is 输入答案 | 8.: MA model is always weakly stationary. ()
The following table gives 5 daily closing prices of a stock in Dec 2021.The 2-day simple gross return of holding the stock Dec 12 from Dec 12 to Dec 14 is: () Date Price(S) Dec 11 Dec 13 190.70 Dec 14 Dec 15 188.84 191.23 192.28 190.80 A -0.0077 B 1.0078 0.0078 0.9923 I 7. Consider the following MA(1) model: X,=1+u, +0.5u,, where (u, is a white noise with mean 0 and variance 0.4. The mean E(X,) is 输入答案 and the variance Var(X,) is 输入答案 | 8.: MA model is always weakly stationary. ()
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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