Statistical Properties Of Stock Returns

Statistical Properties of Stock Returns In exercise we use semestral AFGX stock index observations starting at 2006/12/29 and ending at 2009/09/02. The exercice is performed in transcend. There are triple objectives of the exercise: 1.To estimate 3 early ACF set and resolve importee seek for them; 2.To visualize the variance ratio for q=2, political campaign RW1 hypothesis by applying test statistics and luff the level of meaning for that statistics; 3.To estimate a GARCH (1,1) model with the mean and variance equations defined. coke up 1 The first task of the exercise is the union of the first three values of the sample autocorrelation act upon (ACF), which passelnister be estimated employ the sample autocovariances: (1) , (2) Then sample ACF is passable to (3) In severalize to get the first three values of ACF, we fall upon additional series: , which includes all returns at fall behind 1, with r eturns at lag 2 and with returns at lag 3. Then, using outperform function Data Analysis Correlation we nominate autocorrelation ground substance between returns and lagged returns ( , , , ).

The results obtained are shown in the sideline table: r(t)r(t-1)r(t-2)r(t-3) r(t)1 r(t-1)0,01341 r(t-2)-0,11370,01151 r(t-3)-0,0329-0,11510,01021 Numbers in the first tugboat show the three first values of the sample ACF. In order to perform a significance test we calculate Z value by formula , where is autocorrelation function, p-value using Excel function p-value=2*(1-normsdist(abs(Z)) and 95% confidence interval using formulas: (4) (5) The results ob tained can be seen in the table below: ACF! Zp-valueconfidence interval 95% Rho10,01340,35360,7236-0,06090,08776 Rho2-0,1137-2,99850,0027-0,1881-0,0394 Rho3-0,0329-0,86810,3853-0,10720,0414 If p-valueIf you want to get a full essay, order it on our website: OrderEssay.net

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