Devam Ediyor

Econometric with Matlab - Repost

Assuming that the bivariate series of daily log returns of IBM stock and S&P500 index follows a VAR model, download the data from January 2000 to December 2012 from Yahoo. Perform the following using Matlab and show your codes including comments in the appendix:

a) Pick the best VAR using the BIC and AIC and explain your reasoning. [10 marks]

b) Draw the plot of the AIC, HQIC and BIC against VAR order. [5 marks]

c) Estimate the final model and write down your fitted model. Look and interpret some of the interesting characteristics. Find the R2 for your preferred model and interpret. [10 marks]

d) Conduct GC testing in a VAR(1) with no constant and compare this with your preferred VAR(p) model. [10 marks]

e) Draw the impulse responses pictures and interpret your results. [15 marks]

Beceriler: Matematik, Matlab ve Mathematica , İstatistik

Daha fazlasını görün: series ibm, ibm series, ibm p series, write matlab, matlab find, econometric, testing repost, stock data download, draw data model, stock index data, hqic matlab, write daily stock, download yahoo data matlab, yahoo repost, download stock data yahoo, download stock data, write final year project electrical, returns data stock, write final year project report electrical engineering, stock matlab, project write final year computer science, stock pick, yahoo data matlab, write final year project report word, codes matlab

İşveren Hakkında:
( 0 değerlendirme ) United Kingdom

Proje NO: #4449844

Seçilen:

stat3

Hired by the Employer

$20 USD / hour
(15 Değerlendirme)
3.8