PublisherThe University of Arizona.
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AbstractThere are three primary goals of this paper. The first is to create an efficient portfolio of 29 stocks from the Dow Jones Industrial Average. The second, is to manually code a GARCH(1,1) maximum likelihood estimation procedure in order to create a GARCH(1,1) model that estimates future volatility changes of the efficient portfolio. The final goal is to explain the mathematics behind the entire process.