ECON1195 Financial Econometrics

This individual project is designed to acquaint students with the application of financial econometric techniques. This involves planning research, collecting data, carrying out appropriate tests, analysing data, and writing a business report based upon this work.

Instructions:

Scope: maximum of 5 pages submitted (excluding any appendices).

Submission: Via Tutorings folder in Canvas.

Marks: This project comprises 100 marks and will contribute 25% to your overall mark.

Due date: 14 May at 23.59 (Melbourne Time).

Feedback mode: feedback will be provided online and in class.

Background:

Financial analysts are often interested in the analysis and modelling of the time series of stock returns. your task in here builds on your previous assessment - you will continue to analyse your two selected companies for the year 2022*, and fit appropriate models.

*Note: you may use a larger sample size (more data than just for the year 2022) for this Tutoring Phis or also help in case there is no autocorrelation detected for 2022 in the ACF and PACF plots). Feel free to try different time periods (my 2019-20221 just make sure to state in the Tutoring the period used for analysis.

This is a business report and so only tables/graphs with relevant and concise information are needed - them is no need to include your data, R code, and formulas in the report. There is also no need to include the previous report (assessment 1).

Required:

1. Introduction: Start your report with a short formal introduction stating what you have done previously and what you are studying in this current report. (10 marks).
2. Modeling 1: Present the time series of returns along with the ACF and PACF correlograms for both companies. Suggest FOUR appropriate ARIMA models for each company and explain the steps taken to select the noun models. Write down the estimated models, and explain whether they are properly specified. Recommend a final model for each PfimPanY. (35 marks).
3. Modelling 2: Recommend a model for the volatility of returns for each company. Explain all steps Mken to select the (35 marks).
4. Conclusion: Summarise your results and provide conclusions. (10 marks).
5. Presentation: The report should be well presented and coherent with no grammar/spelling mistakes, each question should be clearly defined and answered in a separate section (i.e., 1. Introduction, 2. Comparison, etc.). Graphs and tables should be clearly labelled and presented. (10 marks).