Calculate the autocorrelation of the absolute returns

Reference no: EM131088625

1) Download a long set of daily S&P500 price data. Plot the data. What do you see?

2) Calculate daily net returns and plot them. What do you see? Hint : Net return is given by r(t) = p(t) - p(t-1) p(t-1)

3) Calculate the mean, standard deviation, skewness and kurtosis of returns.

4) Calculate the autocorrelation of the returns. What do you get and what does it tell you?

5) Calculate the autocorrelation of the absolute returns. What do you get and what does it tell you? Hint: Absolute return is given by | r(t) | = absolute value of net return

6) Calculate the 20-day returns. Calculate the mean, standard deviation, skewness and kurtosis of 20-day returns. What do you find? How does this compare to the results for the daily returns? Hint : 20-day returns are given by p(t) - p(t-20) p(t-20)

Reference no: EM131088625

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