Analyse whether the natural logarithm of gbpusd

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Reference no: EM133745803

Question 1. Pick one of the stocks from data set 1 and compute the natural logarithm of the price series for this stock. Use the Box-Jenkins methodology to estimate an appropriate time series model for the log-price series and investigate the forecasting ability of the model.

Question 2.

(a) Using appropriate hypothesis tests, analyse whether the natural logarithm of GBPUSD spot exchange rate from data set 3 is consistent with the random walk model.
(b) Using the natural logarithm of the GBPUSD spot and forward exchange rates from data set 3, test the forward rate unbiasedness (FRU) hypothesis.

Question 3. Using data set 2 and assuming a one-year investment horizon, no borrowing, and no short sales, investigate the optimal portfolio weights for a portfolio of the four stocks and a single risk-free asset (use any sensible values for the coefficient of risk aversion and risk-free rate).

Question 4. Using data set 1:

(a) Use the RiskMetrics or Historical Simulation approach to compute the one-day ahead return-VaR for one of the stocks over the period
(b) Use the RiskMetrics or Historical Simulation approach to compute the one-day ahead return-VaR for an equally weighted portfolio of the four stocks over the period 03/01/22-30/12/22 and conduct backtesting.

Reference no: EM133745803

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