Chapter 1, Exercise 1 Comment:

Plot gspc.
Plot log(gspc). Look at the Correlogram, perform DF-test.
Plot daily return r = dlog(gspc) = log(gspc)- log(gspc(-1)). Look at Correlogram, Histogram (kurtosis). 
Plot r^2. Look at Correlogram.

Estimate an AR(5) for r (choose order via AIC). Look at the Correlogram, Histogram of the residuals. 
   Look at the Correlogram of squared/moduls residuals.

Estimate AR(5)-GARCH(1,1). Look at Correlogram, histogram of standardized residuals (\xi_t on slide 14). 
   Compare with GARCH(1,1).
Estimate AR(5)-GARCH-M, AR(5)-t-GARCH(1,1), AR(5)-asym GARCH, AR(5)-EGARCH.


Document in your handed in assignment 3 issues which you think are interesting.