Reference no: EM132338036

Assignment -

Instructions: Need the assignment to replicate the process of another paper in terms of analysis. The data might need a little of Excel work but mostly is E-views. Need just the tables and a brief line to describe the meaning of each E-views output.

Find the attached data (excel file) and the paper it needs to replicate in terms of analysis. Just need the quantitative analysis to be carried out.

Guidelines - Here are some instructions to give you a more comprehensive understanding of the work that needs to be done.

The title is something along the line of "Forecasting Volatility in the US stock Market with GARCH family models"

Please make sure that you run the following tests alongside the ones present in the paper on New Zealand: ARCH-GARCH-TGARCH-EGARCH and ARCH LM Test

The work needs to resemble the research carried out in the New Zealand paper using ONLY the data present in the Excel file called S&P Returns 1018.

Also enclosed another excel file called forecasting vol test that is just a reference of the little excel work that needs to be done on S&P Returns 1018. Make sure you do not use the data in the forecasting vol test document. Please use only the S&P Returns 1018 file.

Once you are done please send me the EVIEWS file, the updated Excel file and the word file with table and comments.

Note - Don't need much writing, just please put a brief comment under each E-views table where you explain the meaning of the results.

Attachment:- Assignment Files.rar