Devam Ediyor

Econometrics : 3279 - Repost again

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: İstatistik

Daha fazlasını gör: series ibm, ibm series, ibm p series, using econometrics, testing repost, stock data download, draw data model, Matlab Econometrics , stock index data, hqic matlab, write daily stock, download yahoo data matlab, yahoo repost, download stock data yahoo, download stock data, returns data stock, stock matlab, stock pick, yahoo data matlab, codes matlab, download data yahoo, stock returns data, matlab stock, download data matlab yahoo, yahoo matlab

İşveren Hakkında:
( 2 değerlendirme ) Newyork, United Kingdom

Proje NO: #4440221



Hired by the Employer

%selectedBids___i_period_sub_7% gün içinde 30%project_currencyDetails_sign_sub_9% %project_currencyDetails_code_sub_10%
(0 Değerlendirme)