Calculate the sample mean-variance-skewness , Econometrics

Assignment Help:

The tab-delimited text file contains daily stock prices for the Brazilian petroleum company Petrobras from 31 December 2008 to 31 December 2009. The data were obtained from yahoo finance.

a) Calculate the continuously compounded annual return for the Petrobras stock for 2009. Calculate the simple annual return for 2009.

b) Open the data in Eviews and generate the series of daily log returns.

Calculate the sample mean, variance, skewness and kurtosis of the daily log returns. Comment on the results.

c) Explain the Jarque-Bera (J-B) test. Using this test, what conclusion can you make about the distribution of daily log returns? Is this result to be expected?

d) Explain the Ljung-Box Q*-test. Use the Ljung-Box Q* statistic to test the null hypothesis that there is no serial correlation in the daily log returns.

e) Square the daily log returns and then apply the Ljung-Box Q*-test to the squared daily log returns. Can you reject the null hypothesis of no serial correlation in squared daily log returns? Is this result to be expected?

 


Related Discussions:- Calculate the sample mean-variance-skewness

Maximising levels of capital, A perfectly competitive firm hires its machin...

A perfectly competitive firm hires its machines at a constant rental rate of r = 5 euros per unit and its workers at a constant wage rate of w = 4 euros per unit. It can also sell

Compute the cpi and inflation rate, In a simple economy, people consume onl...

In a simple economy, people consume only 2 goods, food and clothing. The market basket of goods used to compute the CPI has 50 units of food and 10 units of clothing.

Calculate minimal expected amount, A store is known for is bargains. The st...

A store is known for is bargains. The store has the habit of lowering the price of its bargains each day, to ensure that articles are sold fast. Assume that you spot an item on Wed

Hetrosedastcity, cost function; expenditure=B1+B2N+B3N+U EXP=17099+1.60N-1....

cost function; expenditure=B1+B2N+B3N+U EXP=17099+1.60N-1.2Q regration sum of square=8 qutinos 1 explain inter prtation

Q1, how to find the relationship for a simple linear model?

how to find the relationship for a simple linear model?

Stata, Please help me in using Stata

Please help me in using Stata

Microeconomic, what is indirect utility function?

what is indirect utility function?

What do you understand by non-linear models, Question: (a) Formulate a ...

Question: (a) Formulate a VAR with 4 lags and also rewrite it in matrix form, mentioning the limitations of such models. (b) What is the rationale behind introducing lag-dep

Ramdom variable, let y denote the number of "heads" that occur when two coi...

let y denote the number of "heads" that occur when two coins are tossed

Standard divation, demand for tea, Y, are assumed to be affected by income ...

demand for tea, Y, are assumed to be affected by income of students, X. A simple linear regres-sion analysis was performed on 20 observations and the results were: Independent vari

Write Your Message!

Captcha
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