Financial Modelling & Forecasting Modelling - Statistics Assignment Help

Assignment Task

1.1 Company Description

Provide a well researched company description including any significant corporate actions in the last six months.
 

1.2 Calculate daily Simple (Arithmetic) and Continuous (Log) Returns for the company and the benchmark market factor.
 

• Download the daily closing prices for the assigned stock and ASX All Ordinaries Index for the two years period from 1 Jan 2019 to 31 Dec 2020 and calculate daily simple and continuous returns.
 

• Plot and present the closing prices for both time series and returns on separate graphs. Label the graphs appropriately.

• Calculate descriptive statistics (including, Kurtosis, Skewness values) for both stock and mar- ket log return series. Provide a brief description (100 words maximum) to highlight the stat- istics.

1.3 CAPM/Single Index Model

• The Capital Asset Pricing Model can be calculated using Market Portfolio and regression analysis. Regression analysis using OLS

ri − rf = α + βi(rm − rF ) + εi

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