Build an ar model for the series and check the fitted model, Financial Management

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Build an ar model for the series and check the fitted model

Consider the monthly log returns of CRSP equal-weighted index from January 1962 to December 1999 for 456 observations. You may obtain the data from CRSP directly or from the file m-ew6299.txt on the Web.

(a) Build an AR model for the series and check the fitted model.

(b) Build an MA model for the series and check the fitted model.

(d) Compare the fitted AR and MA models.

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Financial Management: Build an ar model for the series and check the fitted model

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Financial Management: Build an ar model for the series and check the fitted model

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