Use a software of your own choice to calculate the daily log prices (lp) and daily log returns (Ir) i. Examine the descriptive statistics of both lp and Ir. What do you conclude about the distributions of lp and Ir? Is lp normally distributed? Is Ir normally distributed? Obtain the correlograms, and examine the autocorrelations and partial autocorrelations for both lp and Ir. What do you conclude about the behaviour of lp and Ir? Are they stationary/non-stationary? ii. iii. Are your conclusions about stationary/non-stationary of lp and lr confirmed by appropriate unit root tests?

ENGR.ECONOMIC ANALYSIS
14th Edition
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Author:NEWNAN
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Chapter1: Making Economics Decisions
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Use a software of your own choice to calculate the daily log prices (lp) and daily log returns (Ir)
i.
Examine the descriptive statistics of both lp and Ir. What do you conclude about the
distributions of lp and Ir? Is lp normally distributed? Is Ir normally distributed?
Obtain the correlograms, and examine the autocorrelations and partial autocorrelations for
both lp and Ir. What do you conclude about the behaviour of lp and Ir? Are they
stationary/non-stationary?
ii.
iii.
Are your conclusions about stationary/non-stationary of lp and lr confirmed by appropriate
unit root tests?
Transcribed Image Text:Use a software of your own choice to calculate the daily log prices (lp) and daily log returns (Ir) i. Examine the descriptive statistics of both lp and Ir. What do you conclude about the distributions of lp and Ir? Is lp normally distributed? Is Ir normally distributed? Obtain the correlograms, and examine the autocorrelations and partial autocorrelations for both lp and Ir. What do you conclude about the behaviour of lp and Ir? Are they stationary/non-stationary? ii. iii. Are your conclusions about stationary/non-stationary of lp and lr confirmed by appropriate unit root tests?
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