Discuss the Different Components (Trends or Variations) of a Time Series - Economics Assignment Help

Assignment Task:

Task:

Question 1: (10 marks)

1.1 Discuss the different components (trends or variations) of a time series (4)

1.2 Explain the difference between stationary and non-stationary stochastic processes (3) 1.3 In your own words explain what a weakly dependent time series is and how this can impact the modelling process. (3)

Question 2: (17 marks) For the remainder of this assignment you will be required to build an econometric model to track the development of the JSE All share index. According to theory, the share price of a company is negatively correlated to changes in interest rates. Also share prices are often extremely sensitive to changes in the exchange rate as well as commodity prices. The quarterly data is provided in the Excel file: ECS4863 2021 Assignment 02 data, which is available on myUNISA. Variable names and description: ALSI = JSE: All Share index - Price index (Index) TBILL = South Africa Treasury Bill rate (percent per annum) ZAR = SA Rand to US Dollar exchange rate (quarterly averages) GOLD = Gold price (USD/oz) M3 = M3 Money supply (Current prices, R Millions) 2.1 Provide a graph of the All Share Index. Briefly discuss the main trends (and possible reasons) you observe. (2)

2.2 Calculate and provide a graph depicting the gold price in both US Dollars and Rands. Discuss the differences observed (3)

2.3 Complete the following table: (4) Remember to generate the logs of all the relevant variables, prior to conducting the tests. Clearly indicate the statistical significance of your findings by using stars (*) next to the results.

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