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Published byJoel Maxwell Modified over 9 years ago
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Standard and Poor index (S&P500)
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Standard and Poor index (S&P500) : Returns (first difference)
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Standard and Poor index (S&P500): Log transform
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Standard and Poor index (S&P500): Log returns
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Autocorrelation function: S&P500
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Autocorrelation function: (log 10 (S&P500))
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Autocorrelation function: [ (log 10 (S&P500))] 2
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ARIMA(2,1,1) for log 10 (S&P500): ACF of squared residuals
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ARCH(1) for ARIMA residuals: ACF of squared residuals
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ARCH(9) for ARIMA residuals: ACF of squared residuals
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GARCH(1,1) for ARIMA residuals: ACF of squared residuals
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