Abstract

The article considers an autoregressive process AR(1) with finance application. The solution of many control problems comes down to autoregressive process. We study the first-order autoregressive process AR(1) with application to the S&P500 and NASDAQ indices for 01/01/2017-01/08/2021. The main purpose of the study is to investigate the effects of the Covid-19 pandemic on stock indices. For statistical computing and visualization, R language and environment are used.

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