Summary statistics for the mutual funds

Assignment Help Financial Econometrics

Reference no: EM132102961

Need help with an empirical study (event study) based on the model of Carhart and a GARCH model to test the volatility of the residuals from the Carhart Model.

There will be aprox 100 mutual funds in the sample.The sample data is from 2005 until 2017 and the Fama French Factors plus the Momentum factor are already calculated.

The step by step analisys has to include:

1) Summary statistics for the mutual funds and of the Fama French factors (matrix of correlation and everything)

2) Tests for stationarity and cointergration

3) Plot of the evolution of the factors over time

4) Diagnostic tests for the OLS assumptions

5) The Carhart model executed for 4 periods of time (the whole sample needs to be searated into 4)

6) The Garch model will also be applied for each period

7) Sharpe Ratio and Treynor Ratio

Reference no: EM132102961

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