Consider the monthly log returns of the S&P composite index, IBM stock, and Hewlett-Packard (HPQ) stock from January 1962 to December 2003 for 504 observations.
The log returns are in the file m-spibmhpq6203.txt.
Use the exponentially weighted moving-average method to obtain a multivariate volatility series for the three return series. What is the estimated λ? Plot the three volatility series.