Đã Hủy

[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 % )

Kỹ năng: Matlab and Mathematica, Research Writing, Viết kĩ thuật

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Về Bên Thuê:
( 116 nhận xét ) UK, United Kingdom

Mã Dự Án: #1643152

4 freelancer đang chào giá trung bình £263 cho công việc này


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

£300 GBP trong 10 ngày
(32 Đánh Giá)


£350 GBP trong 7 ngày
(25 Đánh Giá)

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

£200 GBP trong 4 ngày
(4 Đánh Giá)

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

£200 GBP trong 3 ngày
(2 Đánh Giá)