Financial Econometrics - Limitations of Econometric Methods - Econometrics Assignment Help

Assignment Task

Learning Outcomes

This coursework assignment assesses the following learning outcomes (LO) of the module:

1. Assess the properties and limitations of econometric methods as applied to the analysis of financial data.

2. Formulate and test econometric models to examine different forms of financial data.

3. Evaluate the results of econometric analysis.

In answering the questions below, you may wish to consult the help option in Eviews.

1. For your series, in Eviews use the Genr option to calculate (i) the log of the price series, e.g. e=log (p_adjclose_????), and (ii) the daily log returns (e.g. r=???? Continuously Compounded Ret).

i. Examine the descriptive statistics for both e and r. What do you conclude about the distributions of e and r? Is e normally distributed? Is r normally distributed? Explain why/why not?

ii. Obtain the correlograms, and examine the autocorrelations and partial autocorrelations for both e and r. What do you conclude about the behaviour of e and r? Are they stationary/non-stationary?

iii. Are your conclusions about stationary/non-stationary of e and r confirmed by appropriate unit root tests?

2. Estimate and select an appropriate ARMA (p,q) model for e. In selecting your preferred model, use the information provided by:

i. The estimated coefficients (and their t-statistics or p values)

ii. Serial correlation in the residuals

iii. Information criteria.

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