Use the model to obtain a predictive distribution for


Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 1991 to December 1999. You may download the data from the CRSP database or the file d-csco9199.txt.

Use the model to obtain a predictive distribution for 1-step ahead volatility forecast at the forecast origin December 1999.

Finally, use the predictive distribution to compute the value at risk of a long position worth $1 million with probability 0.01 for the next trading day.

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Financial Management: Use the model to obtain a predictive distribution for
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