Financial Modelling and Analysis Case Study - Accounting and Finance Assignment Help

Assignment Task

Volatility is synonymous with risk. Volatility forecasting is an integral part of investment decision and risk management. In this case study, a client requests students to analyse the characteristics of their individual stocks and forecast its weekly volatility. Volatility forecasts are then used to adjust stock holdings to meet the client’s target risk exposure. Students will produce a report for the client documenting the model used for volatility forecasting, and the investment performance based on volatility targeting. Although this is an individual assignment, we encourage students to work in teams and discuss with each other. The total mark for the case study is 40 and accounts for 20% of the overall subject mark.
 

Each student is assigned a stock traded on the ASX. Students should download weekly data from http://finance.yahoo.com from 5 Jan 2015 to 15 Mar 2021. You need to update the data to 30 Apr 2021 before completing the case analysis. Follow the data download instruction to calculate weekly return and volatility. Students are encouraged to seek additional data to facilitate their analyses. The case report should include the following sections.

Section I: Company characteristics

Use “Datanalysis premium” at UTS library to provide an overview of your company, e.g. industry, main products/services, and markets (Australia, Asia, etc.). The relevant information can be found from company website and annual reports. Report the following using data from the last three financial years. Discuss the firm’s business performance and outlook.

Section II: Trading volume and volatility

Report the table below containing summary statistics for weekly return, volume, and volatility: average, standard deviation, minimum, maximum, and 1st-order autocorrelation. List and explain two key features of the summary statistics

Test the hypotheses that the average return of your stock in 2020 was higher than that in 2015-19. Clearly state the null and alternative hypotheses.

Explain the finding in terms of the broad market factors and stock-specific factors.

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