代写ETF3300/ETF5330 Quantitative Methods For Financial Mark

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    • 代写ETF3300/ETF5330 Quantitative Methods For Financial Market
    ETF3300/ETF5330 Quantitative Methods For Financial Markets
    Assignment 2
    Due by 4pm Thursday 13 October 2016 (Week 11)
    When performing a hypothesis test, use = 0:05.
    This project must be submitted to your tutor at your tutorial, or to your tutor’s mailbox at
    Level 5, Building H, Caul…eld Campus.
    This is an individual assignment.
    Make sure the assignment cover sheet is on the top of your assignment.
    This project will be marked out of 110 marks and this mark will be converted to a mark out
    of 15 for the purpose of establishing a …nal mark for you in this unit.
    Your assignment can be hand written and/or typed.
    1
    Question 1 [4+2+2 = 8 marks]
    The EViews work…le q1:wf1 contains the daily VIX index (denoted as index) from 19 May
    2006 to 31 July 2007, a total of 300 observations. The VIX index is often known as the fear
    index because it measures the S&P 500 market index variability over a 30-day period1.
    The variable rt in the EViews work…le is the log returns for the index:
    (a) Report the AIC values for each of the following models for rt: AR(1), MA(1) and
    ARMA(1,1). Based on the AIC criterion, which model is preferred? Explain.
    (b) Estimate the preferred time series model in part (a) and write down the …tted model.
    (c) Is the estimated model in part (b) adequate? Explain.
    Question 2 [18+18+3+3+10 = 52 marks]
    The EViews work…le q2.wf1 contains the monthly 30-year U.S. mortgage rates (mort) from
    January 1972 to June 2010.
    (a) Using observations from January 1972 to June 2010, …nd an appropriate ARIMA(p,d,q)
    model for mortt. Justify your choice.
    (b) Using observations from January 1972 to June 2010, …nd an appropriate ARIMA(p,0,q)
    model for mortt. Justify your choice.
    (c) Re-estimate your preferred ARIMA(p,d,q) model in part (a) from January 1972 to Feb-
    ruary 2010. Use EViews to produce forecasts of mortt in the out-of-sample period from
    March 2010 to June 2010. Brie‡y comment on the forecast values.
    (d) Re-estimate your preferred ARIMA(p,0,q) model in part (b) from January 1972 to
    February 2010. Use EViews to produce forecasts of mortt in the out-of-sample period
    from March 2010 to June 2010. Brie‡y comment on the forecast values.
    (e) Brie‡y discuss whether the ARIMA(p,d,q) model produce better forecasts than the
    ARIMA(p,0,q) model.
    This question 2 will be mainly marked on the quality of your write-up of why you have
    chosen the model that you did. Note that more than one model may …t the data well (and
    so there are no right or wrong models). No marks will be allocated for forecast accuracy.
    1More details and precise de…nition of the VIX index can be found at http://en.wikipedia.org/wiki/VIX.
    Of course, the content of this website is not examinable.
    2
    Question 3
    The EViews work…le q3:wf1 contains monthly U.S. dollars to one Australian dollar exchange
    rate2 (denoted as Pt) from January 1975 to August 2016, a total of 500 observations.
    Let rt denote the log returns (in percentage) on Pt. As a check, you should have
    r2 = 1:3819%; : : : ; r499 = 1:7147% and r500 = 1:3195%:
    Let FT = fr2; : : : ; rT g :
    PART 1: MA(1) model [1+1+1 = 3 marks]
    Consider the MA(1) model for rt:
    rt = et + 1et