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The Sharpe Ratio and the T-Statistic for the hypothesis that returns are equal to the risk free rate, are closely related (occasionally some people mistakenly think they are the same). In fact: "The t-statistic will equal the Sharpe Ratio times the square root of N (the number of returns used for the calculation)." 1 So it makes sense to show both. Then, ...


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This should walk you through what you are looking for: https://www.quantstart.com/articles/Generalised-Autoregressive-Conditional-Heteroskedasticity-GARCH-p-q-Models-for-Time-Series-Analysis https://www.quantstart.com/articles/ARIMA-GARCH-Trading-Strategy-on-the-SP500-Stock-Market-Index-Using-R



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