source("ftse100.r")The data run from the beginning of 1990 up to the close of business on 4 October2011 and exclude all dates (weekends, holidays etc.) when the exchange was closed.
Define X(t) as the value of the index at the close of business on trading day t, and
let δ(t) = log(X(t)/X(t-1))be the corresponding daily log return.
Let the dates of observation in the dataset be t = 1,....,T.
If you use simulation to answer any of the questions that follow, please state the
number of independent sample paths that you have generated.
Please answer all four questions.
1. Identify an appropriate model for forecasting (T + 1).
Your answer should give an appropriate range of diagnostic and other tests
to convince the reader that your choice of model is an appropriate one that
explains the observed patterns in the historical data well.
You are not expected to give an analysis of extremes in this question.
source 在附录
请问下这题目应该用什么方法做，应该怎么做？
谢谢各位