Devam Ediyor

Econometric with Matlab

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: Mühendislik, Matematik, Matlab ve Mathematica , İstatistik

Daha fazlasını görün: hqic matlab, series ibm, mathematica show, ibm series, write matlab, matlab find, econometric, mathematica data, stock data download, draw data model, stock index data, write daily stock, download yahoo data matlab, engineering draw, download stock data yahoo, download stock data, returns data stock, stock matlab, stock pick, engineering matlab, yahoo data matlab, codes matlab, stock returns data, matlab stock, download data matlab yahoo

İşveren Hakkında:
( 2 değerlendirme ) Newyork, United Kingdom

Proje NO: #4440253

Seçilen:

stat3

I can help.

1 gün içinde 99$ USD
(57 Değerlendirme)
5.2

6 freelancer bu iş için ortalamada 271$ teklif veriyor

bchandra1955

I have done similar projects

in 7 gün içinde208$ USD
(36 Değerlendirme)
5.2
hsndehghan

Hi, I can help you.

in 15 gün içinde840$ USD
(7 Değerlendirme)
4.9
Sidd1990

I can do this work

in 3 gün içinde210$ USD
(10 Değerlendirme)
3.7
kodegun

Count me in.

in 3 gün içinde79$ USD
(4 Değerlendirme)
1.0
dkorkut

Dear Sir, I have huge experience with VAR analysis. Moreover I have a M.A Quantitative Finance which requires lots of such project.

in 3 gün içinde187$ USD
(0 Değerlendirme)
0.0