Analyse daily prices-returns and volatility, Financial Accounting

Choose a share from a market such as LSE, NYSE, NASDAQ, etc. [Data sources could be Datastream, Google Finance or others]. Prepare a report which involves the following aspects: - I have selected WPP in FTSE100

a) Using appropriate econometric techniques analyse daily prices, returns and volatility of your chosen share.

b) As a result of your analysis using the first three-quarters of the sample, forecast the returns of your stock share for the forecasting horizon of the last quarter of the sample. Analyse the precision of your forecasts. Forecast your volatility risk as well, using the same sample.

c) Choose some other series (no more than 3) which could be cointegrated with the series of prices of your chosen stock share. Identify the cointegrated relationships by appropriate tests, and estimate their long run relationships.

NB Before you begin preparing your report ensure that you seek approval for the share you have chosen using the procedure outlined under Important Notes below.

Guidance:

1. You will be marked according to how well you conduct the econometric exercises, estimations, forecasts and your critical evaluation including a critical comparison of your results with those provided in the literature. The report will be marked out of 100.
2. Do not include computer printouts. Provide instead a table of relevant information.

What I have covered during the lectures are
1. Dummy variables
2. Limited Dependent variables
3. Large Sample Theory
4. IV and GMM
5. Univariate Time Series, ARIMA
6. Nonstationarity - Unit root tests
7. Cointegration, Engle-Granger
8. VAR Models
9. Cointegration in System
10. Volatility Models

Posted Date: 3/25/2013 5:40:14 AM | Location : United States







Related Discussions:- Analyse daily prices-returns and volatility, Assignment Help, Ask Question on Analyse daily prices-returns and volatility, Get Answer, Expert's Help, Analyse daily prices-returns and volatility Discussions

Write discussion on Analyse daily prices-returns and volatility
Your posts are moderated
Related Questions
Q. Off balance sheet financing? A finance charter exists when the substance of the lease is that the lessee enjoys substantially all of the risks and rewards of ownership even

Beginning balance 24,000 cash Sales 250,000 Gross profit 45% of sales Accounts receivable increase by 24,000 Accounts payable increased by 51,000 Inventory increased by 98,000 Sell

Enumerate the scope and utility of management accounting.

Which of the following procedures involves transferring amounts recorded in the general journal to ledger accounts? Answer   a. preparing a tria

THE PETITION Petition by debtor : If the debtor presents his own petition, a receiving order is made at once without a court hearing and an adjudication order may also be ma

Q. Explain Zero Base Budget? Zero base budgeting can be defined as - 1) An operating planning and budgeting process which requires each manager to justify his entire budget

Suppose that the annual rate of interest is 4%. (a) What is the monthly rate? (b) Consider a 3-year lease on a car that is worth $20,000 today. The first payment on the lease

Help making t-Accounts

Nine years ago, Goodwynn& Wolf Incorporated sold a 16-year bond issue with a 11% yearly coupon rate and a 10% call premium. Today, G&W known as the bonds. The bonds originally were

Calculate Bond's Yield to Maturity Consider a coupon bond that has a $1,000 per value and a coupon rate of 10%. The bond is currently selling for $1,150 and has 8 years to mat