Suppose that the daily log return of a security follows the model rt = 0.01 0.2rt−2 at, where at is a white noise series with mean zero and variance σ^2a = 0.02. What are the mean and variance of the return series rt? (6 points) Compute the lag-1 and lag-2 autocorrelations of rt. (6 points) Assume that r100 = -0.01, and r99 = 0.02. Compute the 1- and 2-step-ahead forecasts of the return series at the forecast origin t = 100. (6 points) What are the associated standard deviations of the fo
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