Build a model to describe the volatility of the log-returns

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Reference no: EM131908884

Project on Modelling Financial Data

Download financial data (stock prices, exchange rates, interest rates, etc.) from internet to form a dataset. The suggested sample size is 800-1200. Carry out the following investigation and write a report of your work. The report should be around 6 pages, and figures and tables are given as appendix. The format of your report should be in word or latex file.

1. Discuss the stationarity of your time series data. Transform the data into log-returns. Make time plots.

2. Study the distribution of the returns. Calculate Value at Risk at different confidence levels.

3. Fit a reasonable time series model to your data and check the fitted model.

4. Build a model to describe the volatility of the log-returns.

5. Summarize your analysis and explain any possible implication of your results.

Reference no: EM131908884

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