Create a log return series from the stock price index

Assignment Help Microeconomics
Reference no: EM13158685

Modelling stock returns in an OECD country

The objective of this assignment is to estimate some alternative models of stock returns using data on one of the OECD countries. The assessment will be based on ability to analyse econometric results and carry out appropriate hypothesis testing. All the model building can be carried out using the software package E-Views.

The Data Set

The data set consists of monthly share price indices for 30 OECD countries over the period January 1960 to February 2002. (For some countries the available data period may be shorter).

Variables:

1 AUSSP AUSTRALIA: SHARE PRICES S&P

2 AUTSP AUSTRIA: Share prices: VSE WBI index

3 BELSP BELGIUM: Share prices: All Shares index

4 CANSP CANADA: Share prices: TSE 300 composite index

5 CHESP SWITZERLAND: Share prices: UBS 100 index

6 CHNSP CHINA: Shanghai Composite Index (19/12/1990)

7 CZESP CZECH REPUBLIC: Share prices: PX-50 index

8 DEUSP GERMANY: Share prices: CDAX index

9 DNKSP DENMARK: Share prices: KAX CSE All Shares index

10 EMUSP Euro area: Dow Jones EURO STOXX Broad

11 ESPSP SPAIN: Share prices: MSE General Index

12 FINSP FINLAND: Share prices: HEX All Share index

13 FRASP FRANCE: Share prices: Paris Stock Exchange SBF 250 index

14 GBRSP UNITED KINGDOM: Share prices: FTSE-A Non-Financial

15 GRCSP GREECE: Share prices: ASE Composite index

16 HUNSP HUNGARY: Share prices: BUX Share price index

17 IRLSP IRELAND: Share prices: ISEC index overall

18 ISLSP ICELAND: Share prices: ISE Share Price index

19 ITASP ITALY: Share prices: ISE MIB Storico

20 JPNSP JAPAN: Share prices: TSE Topix index

21 KORSP KOREA: Share prices: KSE KOSPI index

22 MEXSP MEXICO: Share prices: MSE Share price index

23 NLDSP NETHERLANDS: Share prices: All shares index

24 NORSP NORWAY: Share prices: index OSE Total TOTX

25 NZLSP NEW ZEALAND: Share prices: NZSE Capital Index 26 POLSP POLAND: Share prices: WIG all shares index

27 PRTSP PORTUGAL: Share prices: BVL general share price index

28 SWESP SWEDEN: Share prices: AFGX Index

29 TURSP TURKEY: Share prices: ISE National - 100

30 USASP UNITED STATES: Share prices: NYSE Common Stocks

The data set is available in the file DATA on the ULearn page for this module.

The Assignment

The allocated country to analyse is JAPAN.

(a) Create a log return series from the stock price index (the log return is the change in the logarithm of the stock price). Estimate an appropriate pure AR(p) model and an appropriate pure MA(q) model and compare these to a mixed ARMA(1,1) model. Carefully explain how your models were selected.

(b) Using your preferred model from (a), test for the presence of any ARCH effects in the residuals and estimate an appropriate GARCH model.

(c) By selecting an appropriate model in the GARCH family, test for whether there is any evidence of:

(i) a link between risk (conditional volatility) and the log return 

(ii) an asymmetric response to positive and negative volatility shocks.

Attachment:- DATA.rar

Reference no: EM13158685

Questions Cloud

Five developmental areas : Define each of the five developmental areas, cognitive development incorporating sensory perceptual development and brain development. Language development, social development, emotional and psychological development and physical development.
Predetermined overhead rate based on machine hours : Suppose that Wolfe were to use a single, predetermined overhead rate based on machine hours. Compute the rate per hour and the total overhead assigned.
What two key economic principles would be in a success : Gatekeeper models of MCOs require patients to see a primary care doctor before going to see a specialist. What two key economic principles would be involved in a successful gatekeeper program?
Logistics of computer algorithm : Given all of this, what do you think of the logistics of a computer algorithm determining compatibility?
Create a log return series from the stock price index : Create a log return series from the stock price index (the log return is the change in the logarithm of the stock price). Estimate an appropriate pure AR(p) model and an appropriate pure MA(q) model and compare these to a mixed ARMA(1,1) model.
Distributed collection of hypermedia documents : Explain what is meant by saying that the Web is a distributed collection of hypermedia documents.
Create from the stack a structure string stac : Design a structure stack that represents a stack of elements of some arbitrary type. Include the functions: create(returns an empty stack), push(add an element to the top of the stack and return the resulting stack), pop(delete the top element and re..
What mass of solid sodium formate must be added : What mass of solid sodium formate (of MW 68.01) must be added to 140 mL of 0.57 mol/L formic acid (HCOOH) to make a buffer solution having a pH of 4.16? Ka = 0.00018 for HCOOH.
Indicate the limit of antibacterial agent diffussion : does the zone of inhibition's edge indicate the limit of antibacterial agent diffussion into the agar? Give reasons or evidence to support your answer.

Reviews

Write a Review

Microeconomics Questions & Answers

  The free rider problem

Question: Explain why the free rider problem makes it difficult for perfectly competitive markets to provide the Pareto efficient level of a public good.

  Failure of the super committee is good thing for economy

Some commentators have argued that the failure of the “Super committee” is good thing for the economy?  Do you agree?

  Case study analysis about optimum resource allocation

Case study analysis about optimum resource allocation: -  Why might you suspect (even without evidence) that the economy might not be able to produce all the schools and clinics the Ministers want? What constraints are there on an economy's productio..

  Fixed cost and vairiable cost

Questions:  :   Which of the following are likely to be fixed costs and which variable costs for a chocolate factory over the course of a month?  Explain your choice.

  Problem - total cost, average cost, marginal cost

Problem - Total Cost, Average Cost, Marginal Cost: -  Complete the following table of costs for a firm.  (Note: enter the figures in the  MC   column  between  outputs of  0 and 1, 1 and 2, 2 and 3, etc.)

  Oligopoly and demand curve problem

Problem based on Oligopoly and demand curve,  Draw and explain the demand curve facing each firm, and given this demand curve, does this mean that firms in the jeans industry do or do not compete against one another?

  Impact of external costs on resource allocation

Explain the impact of external costs and external benefits on resource allocation;  Why are public goods not produced in sufficient quantities by private markets?  Which of the following are examples of public goods (or services)? Delete the incorrec..

  Shifts in demand and movements along the demand curve

Describe the differences between shifts in demand and movements along the demand curve. What are the main factors which can shift the demand curve? Explain why they cause the demand curve to shift. Use examples and draw graphs to support your discuss..

  Article review question

Article Review Question: Read the following excerpts from the article "Fruit, veg costs surge' by Todd, Dagwell, published in the Herald on January 25th 2011 and answer questions below:

  Long-term growth, international trade & globalization

Long-term Growth, International Trade & Globalization:- This question deals with concepts such as long-term growth, international trade and globalization. Questions related to trade deficit, trade surplus, gains from trade, an international trade sce..

  European monetary union (emu) in crisis

"Does the economic bailout of Spain and Greece spell the beginning of the end for the European Monetary Union (EMU)?"

  Development game “settlers of catan”

Read the rules of the game, the overview and the almanac for the Development Game "Settlers of Catan"

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd