Fermé

Technical Writing-----------GRETL/SPSS/MATLAB/EVIEWS/MINITAB

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 % )

2000words

Compétences : Rédaction scientifique, Rédaction Technique

Voir plus : eviews gretl, matlab gretl, writing in response, writing a compare, explain technical writing, academic writing price, academic writing model, technical writing matlab, academic and technical writing, writing matlab, spss writing, Risk model, minitab, matlab test, matlab for, matlab c#, eviews, arch, writing academic response, spss analyse, spss mixed model, test matlab, minitab using, matlab stock price, 2000words test

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

N° du projet : #1644929

4 freelancers are bidding on average $186 for this job

silverhorse73

Hello I am Julia. Please check PM

120 $ USD en 7 jours
(144 Commentaires)
6.4
raiseq

To help you

375 $ USD en 10 jours
(26 Commentaires)
5.6
dgoyal

An experienced Statistician with Masters in Economics with advanced courses in Econometrics from University of California, Santa barbara.

200 $ USD en 3 jours
(30 Commentaires)
5.5
sharkzino

give me the change for as to work in the future. this is what i do

50 $ USD en 2 jours
(0 Commentaires)
0.0