Anakyse data. Calculate Granger Causality and R squared for multiple regression model

I have run a sentiment anlysis to get the average daily sentiment for tweets regarding Volkswagen from 2015-2018. I also have the excess return of Volkswagen over the DAX for each of these days. Now I want to see if the sentiment has an effect on the return during the next day. So I want to have the Granger Causality with a lag of 1 and 2 days. I also want to see whats the R squared if you use a multiple regression model. I uploaded a screenshot of the data frame I already have. timestamp is the day. Sentiment the avg sentiment of the day and excessreturn the excess return of this day. sentiment mean is important for days where there is no trading (weekends). I calculated the means over these days so that the mean sentiment from Firday until sunday can be used for the monday returns.

Compétences : Mathématiques, Langage de programmation R, Statistiques SPSS, Analyses statistiques, Statistiques

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Concernant l'employeur :
( 0 commentaires ) Münster, Germany

Nº du projet : #19278416

6 freelance font une offre moyenne de €149 pour ce travail


I am a statistician having more than 2 years of experience in the same field. I can help you in calculating r square as well as any kind of statistical models.

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