MFIN 701代写、R程序课程代写

日期：2022-04-06 09:54

McMaster University

DeGroote School of Business

MFIN 701

Assignment 3

Due April 8, 5pm.

Hand in a pdf copy of your computer output and a separate write-up of the answers

to the following questions to Avenue, Assignment 3 by 5pm April 8. Each student’s

write-up should be done independently.

1. (50) The dataset is ass3.dat and consists of industrial production (ip), consumer

prices (p), 3 different interest rates (cd,tb,mr) and capacity utilization (cap).

(a) (10) Plot each series and decide based on the plot if the series is I(0) or I(1).

(b) (40) Using the R package tseries test each data series for a unit root with an

ADF test with k = 2 lags. Consider using the log of a series so that a first

difference results in a growth rate. Report your findings. Do they differ from

(a)?

2. (50) Using VIX (vt) found in VIXCLS.csv as a volatility proxy answer the following

questions

(a) (10) Consider a time series plot vt and discuss why modeling log(vt) is preferred.

(b) (10) Test if log(vt) is stationary and make adjustments if necessary for the

remaining questions. Report your findings.

(c) (10) Using the ACF and PACF identify a set of candidate ARMA(p,q) models

for log(vt).

(d) (10) Using the BIC, select the best model from your identified set in (c)

using arima() and report estimates for this model including a Ljung-Box test

for residual autocorrelation. Assuming the model is stationary what is the

implied long-run mean of log(vt). Is it close to the sample mean of log(vt)?

Be sure to check what the arima() command reports.

(e) (10) Report a 1 period out-of-sample forecast for log(vt).

1