ECON42115 Financial Modelling & Business Forecasting 2022/23
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ECON42115
Financial Modelling & Business Forecasting
Postgraduate Programmes 2022/23
SUMMATIVE ASSIGNMENT – ECON42115
Financial Modelling and Business Forecasting
You will be given a unique set of five commodities price series to analyse, both individually and as a group. These will be provided to you later in the module. Your assignment should be written as a single report covering the following tasks.
Assignment Tasks
1. Using the daily commodity dataset from WRDS provided to you in the module extra and plot the time matched cumulative return series for your given five commodities. [10 Marks]
2. Conduct an out-of-sample ARMA forecasting analysis for your commodity priced over a forward-looking time frame of at least one year. Ensure your forecast contains appropriate representations of the anticipated uncertainty of the commodity price (for instance using a fan plot). [10 Marks]
3. Using a suite of unit root tests assess whether there is sufficient statistical evidence to suggest the presence of a unit root in the log price process. [10 Marks]
4. Using an appropriate test, test to see if there are any candidate breakpoints in your data. [15 Marks]
5. Combining all your time series into a single group analysis to determine if there is evidence of at least one cointegrating vector using the Engle-Granger two step method. [15 Marks]
6. Using the Johansen FIML trace and/or maximal eigenvalue test, determine the likely number of cointegrating vectors and compare your result to part (5). [15 Marks]
7. Using an appropriate inference technique determine the degree of causality between the five-commodity series and summarise your result. [15 Marks]
8. Use appropriate plots and tables to illustrate your answers to each of the seven tasks above. This analysis should only utlize the “R” programming language, you will need to attach your properly annotated R code as an appendix to your assignment. [10 Marks]
2023-05-12
Financial Modelling and Business Forecasting