ECON3034-Financial Econometrics Report – Accounting & Finance Assignment Help

Assignment Task

Task 

Financial Econometrics 

PURPOSE
The Individual Assignment relates to the following Learning Outcomes:
• Apply econometric methods to modelling, analysing and forecasting financial data
• Demonstrate and explain different estimation methodologies.
• Critically evaluate empirical econometric work.

These learning outcomes support development of the following Graduate Capabilities:
• Discipline Specific Knowledge and Skills
• Critical, Analytical and Integrative Thinking
• Effective Communication

Part 1
The ‘Assignment_Question 1 EViews Workfile’ located under the ‘Assignment’ heading on iLearn contains seven monthly return series for the period January 1980 – February 2020 (482 observations).

5. Compare the estimated value of the coefficient ?2 in the two regressions. Is the estimated coefficient statistically different from one in each case? (Perform the test in EViews). What do you conclude about the sensitivity of each portfolio to the market risk premium?

6. Compare the corresponding estimated coefficients on the other factors in terms of their sign and significance in both regressions (i.e., compare the estimated coefficient on hml in the utilities regression with that in the business equipment regression. Do similarly for the estimated coefficients on smb, rmwand cma.What does this comparison suggest about the average characteristics of stocks in the utilities and business equipment industries? (Hint: For example, are utility stocks value stocks on average, etc?)
 
7. Is the estimate of ?1 statistically significant at the 5% level in each of the regressions? How do you interpret this result? 

8. Perform White’s test (with no cross-product terms) for heteroscedasticity in the estimated residuals from each regression. (Write out the null and alternative hypotheses of the test, explain and provide the EViews output showing the results, and clearly state the conclusion of the test. Use a 5% significance level).

9. In view of the results of White’s test, should you be concerned about heteroscedasticity and if so, what should you do, and would that change any of the conclusions you reached in earlier questions. 

Part 2

12. Compute the ACF and PACF for the spread for the first twelve lags using EViews. Comment on the pattern of the ACF and PACF and what they may say about the time series process for the spread.

(i) Explain what is meant by a dynamic forecast.

(ii) EViews generates a graph for the dynamic forecasts you generated together with the two-standard error band. Present this graph and comment on the convergence or otherwise of the forecast values and on the behaviour of the two-standard error band.

This ECON3034-Accounting & Finance Assignment has been solved by our Accounting & Finance Expert at TV Assignment Help. Our Assignment Writing Experts are efficient to provide a fresh solution to this question. We are serving more than 10000+ Students in Australia, UK & US by helping them to score HD in their academics. Our Experts are well trained to follow all marking rubrics & referencing Style. Be it a used or new solution, the quality of the work submitted by our assignment experts remains unhampered. 

You may continue to expect the same or even better quality with the used and new assignment solution files respectively. There’s one thing to be noticed that you could choose one between the two and acquire an HD either way. You could choose a new assignment solution file to get yourself an exclusive, plagiarism (with free Turn tin file), expert quality assignment or order an old solution file that was considered worthy of the highest distinction.