A Chow test

A regression of HDFC Bank daily returns on ICICI Bank returns (constant and slope, $k=2$) on $n = 500$ days, split at a date fixed in advance, gives $\text{SSR}_R = 520.0$, $\text{SSR}_1 = 250.0$, $\text{SSR}_2 = 255.0$ (illustrative units). (a) Compute $F$, its 5% critical value and the $p$-value. (b) Suppose instead $\text{SSR}_R = 514.0$ and the date was chosen as the one maximising $F$ over the middle 70% of the sample. Compute $F$ and decide, using a 5% $\sup F$ critical value of about 5.9. (c) Name two assumptions of the Chow test likely to fail for daily stock returns and say how to repair each.