To analyse results MATLAB and GRETTLE should be used. PLEASE ENSURE ) PLAGIARISM, I have attached the file with the data for the sample. Please ensure 0 Plagiarism. It should be of 6 pages.
Download financial time series for an asset/index of your interest. The series must be daily and at least 4 years long. Transform prices into returns using log-differences.
1) Assuming that the returns are independent, study their distribution by comparing both parametric and non-parametric techniques. Based on your analysis, determine the Value at Risk at 1 per thousand and the corresponding Expected Shortfall.
2) Check through autocorrelation analysis if the returns are correlated with their own past. Try analyzing its dynamics with an ARMA model to predict the returns one step ahead.
3) Try implementing a MACD-based trading strategy and evaluate its performance.
4) Check through autocorrelation analysis if the squared excess returns are correlated with their past. Try analyzing the dynamics with a GARCH model to predict volatility one step ahead.
5) Choose 3 other assets for which prices are available on the same days. Transform these series into returns as well. Study the marginal distributions and model the dependence through a copula. Use the model thus obtained to assess the risk on a 100,000 Euro equally weighted portfolio.
The main results have to be included in a report (max 6 pages, including graphs and tables). If needed, you can add an appendix (no pages limit) with any details you consider as interesting but not crucial (the evaluation will be mainly based on the 6 pages, which must therefore contain the most important results). In addition to the pdf file with the report, attach a file containing the data you used.
Last Completed Projects
| topic title | academic level | Writer | delivered |
|---|