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 Volatility in Commodity Market
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Commodity include Gold, Silver, Copper, Cotton, Orange juice, Corn , sugar, Cocoa (please pick 6) .All the data will be attached. Data sets are daily price from 2007 to 2017._x000D_
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Abstract:_x000D_
Table of content:_x000D_
Introduction:_x000D_
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Literature review: Please look at at least 15 papers, must read papers are 1) Engle. R.F Autoregressive conditional heteroscedasticity with estimates of variance of United Kingdom inflation. 2)Nelsons, D. B. 1991, Conditional heteroskedasticity in asset returns: A new approach 3)Bollerslev. T 1986 Generalised autoregressive conditional heteroskedasticity. Journal of econometrics._x000D_
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No equation needed._x000D_
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Data:_x000D_
3.1 Data description_x000D_
3.2 Preliminary Tests:_x000D_
3.2.1 Descriptive statistic such as correlogram, return chart;_x000D_
3.2.2. Unit Root test, please use Augmented Dickey Fuller test and AIC test together in Eviews to test for unit root and find optimal lag length_x000D_
3.2.3 Global L break via Bai Perron Test: please use this test to find TWO break days_x000D_
3.2.4 Dummy variable: Please use dummy variable for the break_x000D_
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4: Methodology_x000D_
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Please refer to stationarity, unit root test, also refer to paper from ADF (1979), Bai Perron (1998, 2003), ARCH and GARCH models. Please add extra model detail as well from textbook and relevant sources_x000D_
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5: Results:_x000D_
5.1 ARCH , please use Lags and no dummy variable_x000D_
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5.2: ARCH family model testing: please use dummy variable. (not sure if i need to use lag but i dont think so) that include: GARCH(1,1), TARCH, EGARCH, (pick one between GARCH M and PGARCH) and compare which one is the best._x000D_
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Chapter 6: conclusion 1 page_x000D_
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