TOPIC Financial Time SeriesStatistics a State in an algorith

(a) State, in an algorithmic style, the basic (e.g., Box-Jenkins) strategy that we use, in time domain modeling, for determining the final estimated ARMA and ARCH/GARCH model for the data. (b) State, in an algorithmic style, the frequency domain strategy for finding possible important periodicities in the data. [We do not want a lot of words! Here, the more words you have to use, the indication is that you are not confident in your understanding.]

Solution

a) We will be using volatility forecasting

b)The idea is very simple: just take the autocorrelation and find the peak (that\'s not at 0).