Modify the UMT Code 6.4 to use 1 ˆσ t− in place of ˆσ t in the test statistic and evaluate the improvement in detecting initial outlier returns (unusual price movements). Do you think the modified...

Modify the UMT Code 6.4 to use 1 ˆσ t− in place of ˆσ t in the test statistic

and evaluate the improvement in detecting initial outlier returns (unusual

price movements). Do you think the modified method is adequate for

detecting a returns outlier that occurs shortly after another returns outlier?