Econometric techniques analyse daily prices, Econometrics

Assignment Help:

Choose a share from a market such as LSE, NYSE, NASDAQ, etc. [Data sources could be Datastream, Google Finance or others]. Prepare a report which involves the following aspects:

a) Using appropriate econometric techniques analyse daily prices, returns and volatility of your chosen share.

b) As a result of your analysis using the first three-quarters of the sample, forecast the returns of your stock share for the forecasting horizon of the last quarter of the sample. Analyse the precision of your forecasts. Forecast your volatility risk as well, using the same sample.

c) Choose some other series (no more than 3) which could be cointegrated with the series of prices of your chosen stock share. Identify the cointegrated relationships by appropriate tests, and estimate their long run relationships.

NB Before you begin preparing your report ensure that you seek approval for the share you have chosen using the procedure outlined under Important Notes below.

What I have covered during the lectures are
1. Dummy variables
2. Limited Dependent variables
3. Large Sample Theory
4. IV and GMM
5. Univariate Time Series, ARIMA
6. Nonstationarity - Unit root tests
7. Cointegration, Engle-Granger
8. VAR Models
9. Cointegration in System
10. Volatility Models


Related Discussions:- Econometric techniques analyse daily prices

Matrix., how do l get a co factor of a matrix

how do l get a co factor of a matrix

Calculate minimal expected amount, A store is known for is bargains. The st...

A store is known for is bargains. The store has the habit of lowering the price of its bargains each day, to ensure that articles are sold fast. Assume that you spot an item on Wed

Heteroscedasticity, How to calculate the presence of Heteroscedasticity usi...

How to calculate the presence of Heteroscedasticity using the Goldfeld-Quandt test

Firm''s profit function, A  firm manufactures  and  sells  a  product  that...

A  firm manufactures  and  sells  a  product  that  has  the  following  demand function:       Q = 180 - 4P   where P  is price, Q  is quantity.  It also  faces  the  following

Question about service, do you write assignment or just help write assignme...

do you write assignment or just help write assignments

Give me liberty, The textbook states, “Prejudice by itself did not create A...

The textbook states, “Prejudice by itself did not create American slavery.” Examine the forces and events that led to slavery in North America, and the role that racial prejudice p

Stationary testing, Help with how to calculate a value from the dickey full...

Help with how to calculate a value from the dickey fuller test

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd