Financial Econometrics: Time Series analysis

The report deadline is Thursday morning. The project should take 2 to 4 hours, and the project budget is $100.

You are expected to analyse time series data using Eviews, GRETL or any software of your choice and write up an empirical report explaining your work and the interpretation of your estimations.

The report should be at least 6 pages (not including the title page, bibliography and up to two pages of tables and/or graphs). The report must be word processed and double spaced using 12 point font (use 10 point for tables) and margins of at least an inch at top/bottom/left/right.

I have attached a spreadsheet labelled "Commodities (2)", which contains time series data for various commodities — Cocoa, Sunflower oil, Gold, Silver, and Crude petroleum. The data is the free market commodity price indices, monthly, from January 1970 to January 2014.

You are required to select any two commodity series of your choice and then perform a time series analysis of the series.

The analysis should include:

a) An examination of the autocorrelation and partial autocorrelation functions.

b) An estimation of the information criteria for each ARMA model order from (0,0) to (5,5)

c) An estimation of the model that you feel most appropriate given the results that you found from a) and b)

d) The construction of a forecasting framework to compare the forecasting accuracy of

i) Your chosen ARMA model

ii) An arbitrary ARMA(1, 1) model

iii) A random walk with drift in the log price levels (hint: this is easiest achieved by treating the returns as an ARMA (0, 0) - i.e. simply estimating a model including only a constant.

In addition to the excel spreadsheet that I have attached for you to use, please find attached two example reports that contain similar analysis to that which you are expected to do, but just using a different data set. Please merely use these two files as a high level reference in terms of my expectations, and discard the actual answers as they are different to the answers to the questions for this report.

Færdigheder: Statistikker

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Om arbejdsgiveren:
( 1 bedømmelse ) Sandton, South Africa

Projekt-ID: #5993196

1 freelancer byder i gennemsnit $250 for dette job


Dear Employer, I went through your project and I am confident that I will be able to take care of your requirements and complete the work successfully within the permitted time. I am well versed with all referencing Mere

$250 USD in 3 dage
(0 bedømmelser)