Econ 413 Market Risk Forecasting and Control Coursework 1
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Market Risk Forecasting and Control
(Econ 413)
Coursework 1
Electronic submission due on Fri 24, 2023 by 12 noon
Guidelines
1. The submitted file must be in pdf format with the following name
stud# studname cw 1.pdf
where: stud# is your student number and studname is your name in the format sur- name name. For example, if I was a student with student number 111 my submission would be a file named 111 soccorsi stefano cw 1.pdf.
2. Do NOT include R codes.
3. Word limits: no more than (a) 850 words in Exercise 1
4. All results presented must be interpreted: include the figures and tables you comment and nothing else.
5. Maximum filesize: 2MB.
6. For support with submissions refer to John Sharples ([email protected])
7. Your work will be screened using software designed to detect plagiarism and collusion.
Exercise 1
Download the Dow Jones Industrial Average in the sample that starts on your birthday in 2010 and ends on your birthday in 2018. 1
(i) Visualise the data and comment on its features.
(ii) Consider a normal GARCH and use an appropriate method for choosing its specification. (iii) Perform residual analysis on the chosen model.
[100 marks]
2023-02-23