[url removed, login to view],EVIEWS,MINITAB, GRETL

T he A ssignment

You will be allocated a country to analyse.

(a) Create a log return series from the stock price index (the log return is the change in the logarithm of the stock price). Estimate an appropriate pure AR(p) model and an appropriate pure MA(q) model and compare these to a mixed ARMA(1,1) model. Carefully explain how your models were selected.

(40 % )

(b) Using your preferred model from (a), test for the presence of any ARCH

effects in the residuals and estimate an appropriate GARCH model. (30 % )

(c) By selecting an appropriate model in the GARCH family, test for whether there is any evidence of:

(i) a link between risk (conditional volatility) and the log return (15 % )

(ii) an asymmetric response to positive and negative volatility shocks. (15 % )

Compétences : Matlab and Mathematica, Rédaction scientifique, Rédaction Technique

en voir plus : minitab eviews, spss gretl, gretl spss, minitab spss eviews, eviews minitab, minitab matlab, matlab minitab, minitab gretl, gretl eviews, explain technical writing, mathematica price, writing matlab, spss writing, Risk model, minitab, matlab test, matlab for, matlab c#, eviews, arch, spss analyse, spss mixed model, test matlab, minitab using, matlab stock price

Concernant l'employeur :
( 116 commentaires ) UK, United Kingdom

Nº du projet : #1643152

4 freelance font une offre moyenne de £263 pour ce travail


hi there, what country will be allocated? I could do this job.

%bids___i_sum_sub_35% %project_currencyDetails_sign_sub_36% GBP en 10 jours
(32 Commentaires)


%bids___i_sum_sub_35% %project_currencyDetails_sign_sub_36% GBP en 7 jours
(25 Commentaires)

An experienced Statistician with sound experience in SPSS, Stata, Eviews and MS Excel with Masters from University of California, Santa Barbara, USA.

%bids___i_sum_sub_35% %project_currencyDetails_sign_sub_36% GBP en 4 jours
(4 Commentaires)

I have understood the task and am ready to begin. I am an SPSS specialist in data analysis and programming.

%bids___i_sum_sub_35% %project_currencyDetails_sign_sub_36% GBP en 3 jours
(2 Commentaires)