Project description
it is a project assignment about econometrics in financial areas. there are four questions including two extra-credit problems. You have to finish the project by the statistical software that you prefer, SAS or Excel. Finally, you need to provide me the answer sheet with your analysis and also the whole program codes or functions that you type in the software.
Assignment One
Instructions:
1. Each group only submit one print copy of the assignment with all members’ name on;
2. Submit both the results and the program codes (as appendix);
3. You can decide on which software to use;
4. The assignment can only be discussed and accomplished by members in the same group.
I will check program codes for similarities between different groups. For groups with
extremely similar programs I will discount the scores for both groups.
Using daily and monthly returns (simple net return) data for ten individual stocks and the
equal- and value-weighted CRSP market indexes (EWRETD and VWRETD) (see data named
daily_simple_net_ret and monthly_simple_net_ret) perform the following analysis using any
statistical package of your choice. Note that some of the stocks do not have complete return
histories, so be sure to use only valid observations.
1.1 Compute the sample mean
ïˆ
, standard deviation
ï³Ë†
, and first-order autocorrelation
coefficient
) 1 ( ˆ ï²
for daily simple returns over the entire 1980-2013 sample period for the ten
stocks and the two indexes. Look at subsamples of 1980-1989, 1990-1999, 2000-2009, can
compute the same statistics in each subperiodare they stable over time?
1.2 Compute the sample mean
ïˆ
, standard deviation
ï³Ë†
, and first-order autocorrelation
coefficient
) 1 ( ˆ ï²
for continuously compounded daily returns over the entire 1980-2013 sample
period for the ten stocks and the two indexes. Look at subsamples of 1980-1989, 1990-1999,
2000-2009, can compute the same statistics in each subperiod. Compare these to the results
for simple returns “ can continuous compounding change inferences substantially?
1.3 (Extra Credit) Using the continuously compounded monthly returns to calculate the variance
ratio of bi-monthly and monthly log price changes.
1.4 (Extra Credit) Using the continuously compounded daily returns to calculate the variance
ratio of bi-weekly and weekly log price changes.
