FIN5EME: Econometrics of Financial Markets - Report Time Plots - Accounting and Finance Assignment Help

Assignment Task:

Task:

Question 1 

a) Report the time plots and SACF of the time series in according to level series data (logRP, logRD, and logRE).

b) Based on these measures, provide a summary of the descriptive properties of these time series in relation to their main components, dependence structure, and stylized features of financial time series.

Question 2 

a) Report time plots and SACF of the time series in first difference (?logRP, ?logRD, and ?logRE).

b) Based on these measures, provide a summary of the descriptive properties of these time series in relation to their main components, dependence structure, and stylized featuresof financial time series.

Note: In Eviews, you can use d(X) to represent the first difference of X.

Question 3 
 

a) Find the best fitting ARMA models for ?logRP, ?logRD, and ?logRE, justifying your final chosen models with appropriate statistical measures or tests.

b) Using these models, generate dynamic (out-of-sample) forecasts for the next 12 month for ?logRP, ?logRD, and ?logRE. Evaluate the accuracy of the forecasts
using the MAPE.

Question 4 

Conduct the ADF test for logRP, logRD, and logRE,; and determine whether they are I(2), or I(1), or I(0).
 

Question 5

Regardless of your test outcomes in Question 4, let us assume that all of these time series are of I(1).

a) Run the regression of logRP against logRD, and logRE (including the intercept term).
 

b) Conduct the test for cointegration using the ADF test.

c) Depending on the outcome of the test, interpret the long-run relationship implied by the regression results.

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