Using the monthly squared returns of astock market index (T = 250 observations)you have obtained the following first 6sample autocorrelations: "p1 = 0.25 , ^p2 =0.15, "р3 3D 0.08, "р4 %3D 0.02, "р5 %3 -0.09, "рб= 0.01. Using a suitable test argue whetherthe return series is characterised byvolatility clustering patterns.

A stock market index's monthly squared returns are used. observations.The obtained first sample…

Answered: Using the monthly squared returns of a…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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please calculate all correlation coefficients using the time series data given on RGDP, YEAR, T, RCONS, and WAR. *Please use software and or pencil and paper write down steps* thank you!
Q4) An analyst gathered the following information for a stock and market parameters: stock beta = 0.74; expected return on the Market = 8.40%; expected return on T-bills = 2.10%; current stock Price = $5.40; expected stock price in one year = $14.05; expected dividend payment next year = $1.08. Calculate the a) Required return for this stock b) Expected return for this stock
Using the monthly squared returns of a stock market index (T = 250 observations) you have obtained the following first 6 sample autocorrelations: "p1 = 0.25 , "p2 = 0.15, "p3 = 0.08, ^p4 = 0.02, ^p5 = -0.09, ^p6 = 0.01. Using a suitable test argue whether the return series is characterised by volatility clustering patterns. %D
What type of distribution is appropriate to model the time between two consecutive departures from the gate of an airport Poisson Binomial Exponential Geometric
The occurrence of traffic accidents at an intersection may be modeled as a Poisson process. Based on historical records the average rate of accidents is once every 6 years. Part 1 What is the probability that there will be no accidents at the intersection for a period of 3 years? (Answer correct to 3 decimal places.) number (rtol=0.001, atol=D0.001) Part 2 Suppose that in every accident at the intersection, there is a 5% probability of fatality. Based on the above Poisson model what is the probability of one traffic fatality at this intersection in a period of 3 years? (Answer correct to 3 decimal places.) Hint: Note that here you need to find the mean rate of fatalities per year, first. number (rtol=0.001, atol=D0.001)
Suppose that there are 4 deaths due to stomach can- cer among workers in a tire plant from 1/1/64 to 12/31/83, while 2.5 are expected based on U.S. mortality rates. Provide a 95% CI for the expected number of deaths from stomach cancer over 20 years among the tire workers. Is the number of cases of stomach cancer excessive?
Suppose that earthquakes occur according to a Poisson process with rate λ = 0.2 per day. (a) What is the probability that there will be 2 or fewer earthquakes in April? (b) Starting from now, what is the probability that the second earthquake will occur within a week?
Ophelia O'Brien, VP of Consumer Credit of American First Banks (AFB), monitors the default rate on personal loans at the AFB member banks. One of her standards is "no more than 5% of personal loans should be in default." On each Friday, the default rate is calculated for a sample of 500 personal loans. Last Friday's sample contained 30 defaulted loans. Using = 0.10, the observed z value is
The following ratio-to-moving averages for the seasonally adjusted series were found by the decomposition method applied on a time series representing quarterly sales for January 2018 to December 2020 period: a. Calculate the Seasonal Index for every quarter. b. If the trend is described by the trend line T^ = 1,000 + 30 t, what is the forecast for the fourth quarter of 2021?
Black Water CO(BWO) TATA Steel (TATA) 1.Estimate the average daily return of each fund using the arithmetic average method. (EXCEL) Below are the historical closing prices for the two funds above. 2. Calculate the standard deviation of each fund (EXCEL) Date BWO TATA 3. Calculate the correlation between the two funds 10/20/2016 113.3374 113.6971 4. Calculate the covariance between the two funds using a) Excel function, Covariance.S 10/21/2016 113.7611 113.6408 and b) using formula (Correlation multiplied by standard deviations of both funds. 10/24/2016 115.1283 114.3635 10/25/2016 114.7624 113.5094 10/26/2016 113.9825 112.383 10/27/2016 113.4626 111.0971 10/28/2016 112.7501 110.7873 10/31/2016 112.6442 111.2285 11/1/2016 111.7969 109.8675 11/2/2016 110.9014 108.4689 11/3/2016 109.8134 107.9433 11/4/2016 109.4282 108.6379 11/7/2016 112.0279 111.2942 11/8/2016 112.7597 111.5852 11/9/2016 113.2797 115.0206 11/10/2016 111.4502 116.8603 11/11/2016 111.4984 119.5448
ONLY PART E! Assume that the probability of there being a significant accident in a nuclear power plant each year is 0.001. b) Under this model, what is the probability of at least 2 significant accidents occurring in 30 years? e) Reevaluate part (b) using your Poisson model and comment on the similarity or disparity between the two results.
(a) What is the total number of boys diagnosed with ADHD in the sample?Total number of boys = (b) For the null hypothesis, use the overall proportion of births in a quarter to give the null proportion for that quarter. Compute the expected number of ADHD diagnoses for each quarter under this hypothesis.Round your answers to one decimal place.Jan-Mar :Apr-Jun : Jul-Sep : Oct-Dec : (c) Compute the X^2 -statistic.Round your answer to one decimal place.= (d) Give the degrees of freedom and find the p-value.Enter the exact answer for the degrees of freedom, and round your answer for the p-value to three decimal places.df= p-value=

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