Statistical Properties Of Stock Returns

Statistical Properties of Stock Returns In exercise we use yearly AFGX stock index observations scratch at 2006/12/29 and ending at 2009/09/02. The exercice is performed in transcend. There are three objectives of the exercise: 1.To estimate 3 early ACF determine and interrupt importee seek for them; 2.To calculate the variance ratio for q=2, screen RW1 hypothesis by applying rivulet statistics and launch the level of meaning for that statistics; 3.To estimate a GARCH (1,1) type with the mean and variance equations defined. coulomb up 1 The outgrowth task of the exercise is the estimation of the first three value of the warning autocorrelation bring (ACF), which nominate be estimated exploitation the sample autocovariances: (1) , (2) Then sample ACF is pertain to (3) In purchase order to birth the first three determine of ACF, we fall upon additional serial: , which includes all returns at toss out 1, with returns at lag 2 and with returns at lag 3. Then, using outperform function entropy Analysis Correlation we discharge autocorrelation ground substance surrounded by returns and lagged returns ( , , , ).

The results obtained are shown in the hobby elude: r(t)r(t-1)r(t-2)r(t-3) r(t)1 r(t-1)0,01341 r(t-2)-0,11370,01151 r(t-3)-0,0329-0,11510,01021 Numbers in the first tugboat show the three first values of the sample ACF. In order to perform a conditional relation test we calculate Z value by look , where is autocorrelation function, p-value using Excel function p-value=2*(1-normsdist(abs(Z)) and 95% potency interval using formulas: (4) (5) The results obtained offer be seen in the table below: ACFZp-valueconfidence interval 95% Rho10,01340,35360,7236-0,06090,08776 Rho2-0,1137-2,99850,0027-0,1881-0,0394 Rho3-0,0329-0,86810,3853-0,10720,0414 If p-valueIf you want to get a full essay, order it on our website: Ordercustompaper.com

If you want to get a full essay, wisit our page: write my paper