The Ljung-Box test is a test for serial correlation that tests if the autocorrelation coefficients for a given number of lags are jointly not significantly different from zero. The statistic for this test is where T is the sample size, m is the number of lags and is the estimated autocorrelation coefficient. The null hypothesis for this test is that the coefficients are all jointly zero and has a distribution. The alternative hypothesis is that at least one of the coefficients is not equal to zero and implies the presence of serial correlation.
We can estimate the Ljung-Box statistic in Eviews by creating a correlogram for the series rlsp500. In the below table included with the correlogram we are given the Ljung-Box statistic for each
…show more content…
| 6 0.076 0.073 12.277 0.056 *|. | *|. | 7 -0.081 -0.091 14.441 0.044 .|. | .|. | 8 0.042 0.048 15.025 0.059 *|. | .|. | 9 -0.089 -0.058 17.622 0.040 .|. | .|. | 10 0.007 -0.041 17.639 0.061 .|. | .|. | 11 -0.031 -0.025 17.959 0.083 .|. | *|. | 12 -0.062 -0.069 19.242 0.083
B) The stylized feature of volatility clustering in financial data cannot be explained using linear models and estimation methods such as OLS. This is because one of the underlying assumptions of OLS is that is a constant and is the basis for measuring volatility. A GARCH(1,1) model is able to model this feature because it estimates a model for , which allows the variance to change over time.
C) To test for ARCH effects in the return series, we would start by estimating the return equation using least squares. We would then square the residuals from the return equation and regress the squared residuals on its lags. The R2 from this regression can be used to construct the test statistic, where T is the number of observations and the degrees of freedom, q, is the number of lagged squared residuals in the test equation. The null hypothesis for this test is that all the coefficients on the lagged squared residuals are equal to zero. The alternative hypothesis is that at least one of the coefficients
…show more content…
-4.710556
Durbin-Watson stat 2.099147
Since we are talking about asset returns, a standard GARCH model may not be the best choice as we would expect there to be asymmetry in the volatility (Brooks 2008, p. 404). The EGARCH model would allow negative shocks to have a larger effect on the conditional variance than positive ones. As we can see in the below Eviews output, it is the case that negative shocks have a larger effect because the coefficient C(4) is negative. Because we are estimating the log of the conditional variance, unlike the standard GARCH model, it can be more difficult to interpret the exact meaning of all the parameters.
Dependent Variable: RLSP500
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 07/29/12 Time: 20:08
Sample (adjusted): 1/10/2005 1/31/2011
Included observations: 317 after adjustments
Convergence achieved after 35 iterations
Presample variance: backcast (parameter = 0.7)
LOG(GARCH) = C(2) + C(3)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(4) *RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1))
Variable Coefficient Std. Error z-Statistic
Gustman, A. L., Steinmeier, T. L., & Tabatabai, N. (2012). How Did The Recession Of
1) Title of Book: The Electric Kool-Aid Acid Test 2) Author: Tom Wolfe 3) The grounds on which Thomas Wolfe created this documentation of the Merry Pranksters is that he attempts to re-create both the mental and physical atmosphere of their adventure and exploration across America. 4) Specific evidence in supporting the aforementioned thesis can be found in the “Author’s Note” section of the book but also in the writing style used to develop this masterpiece. Writing in a basic journal style, Wolfe documented the extraordinary life style lived by the Pranksters through personal experiences with them as well as transcribing their adventures that were captured on both film and tape. 5) Tom Wolfe, with his journalist style of transcribing the current events, seems hard-pressed to be categorized into a specific group of historians, but he can be most noticeably associated with the New Left. This is because The New Left dealt mainly with the social and economic movements of the 1960’and 70’s, and the Psychedelic movement Wolfe documented so well was definitely a social movement of the infamous 1960’s. 6) Tom Wolfe grew up in the land of Richmond, Virginia. He eventually graduated from Washington and Lee University, and later received a doctorate in American Studies from Yale. Besides being a novelist, Wolfe has worked as a reporter for the Springfield Union, The Washington Post, and the New York Herald Tribune. Some of his writings have also appeared in New York Magazine, Esqu...
The Caparo v Dickman test will indicate whether you are owed a duty of care. Firstly, your injury was foreseeable as the defendant’s negligence would have resulted in an accident making it foreseeable that the events can cause someone to be paralyzed which would rule them out of work. There was proximity at the time because you were at the scene of the negligence, there was also closeness in space as you were also close to the defendant at the scene of the negligence. To prove whether you were owed a duty of care it has to be fair just and reasonable to impose a duty of care. The defendant was not part of the public service so the floodgate of litigation cannot be open. The defendant was just an ordinary person being negligent. Therefore, the 3 stages have been proven and so you are entitled to a duty of care.
Brown Paper Bag Test was a discriminatory act within the African-American community in the United States that was based on skin color. The brown paper bag was used as a measurement to determine whether or not an individual could receive access to certain privileges; individuals were given preference if having a skin tone lighter than a brown paper bag.The test used to take place in the 20th century in many social institutions such as African-American sororities, fraternities, and churches. In addition, Brown Paper Bags were used in multi-racial social events, at which only individuals with complexions at least as light as the color of a brown paper bag were admitted. The term also refers to larger issues of class and social stratification within
After I took the Richard Step Strengths Test, my top 5 strengths are curiosity, integrity, visionary, ambition and optimism. I agree with this result, because I feel myself are always enjoy meeting new things, and to know about it. I always make a plan and set a goal, also encourage myself to finish it in time. In addition, I like to listen a speech from video or somewhere and I would take a note when I hear something positive and helpful. The bottom 5 weakness I get self-motivation, leadership, resourcefulness, adaptability and teamwork. I agree that I am easily influenced by surrounding environment, and most of the time I am in a passive state. After reading the textbook, I found that the most possible reason of the bottom 5 weakness because
The next model is the Quadratic Trend Model. The quadratic formula uses the least-squares method to forecast and can be written as Yi =b_0+ b_1 X_1+ b_2 X_2. In this formula the only difference is b_2 X_2 represents the estimated quadratic effect on Y. Figure 1-6 represents the comparison between the linear and quadratic
...tious of shocks, good or bad, in bitcoins price when making investment or purchasing decisions with the currency.
This experiment is trying to see if more people are left sided brained or more right sided brained and you have to find people to take the test and then you observe what they do and that is how you find out if your left sided or right sided brain.
What once used to be such an underappreciated structure of the human body has now become a much respected structure which serves multiple functions in the lower extremity. The menisci are used in almost every ambulating task and have proven to be an integral part in knee functioning, including shock absorption and stability, with many others.1 Meniscal lesions are a very common injury and the accuracy of diagnostic testing is not very clear. Arthroscopy is currently the gold standard for correct identification due to its high accuracy but is highly invasive and can be very costly to patients.2 Due to this, we looked at the evidence for diagnostic accuracy for meniscal lesions, focusing on the cost-effective strategies of diagnostic clinical
The Meyers-Briggs personality test is a short quiz that categorizes people's personalities into sixteen different types. The test calculates if a person is introverted or extroverted, relies on intuition or sensing, makes decisions on feelings or thinking, and if they are judging or perceiving. The quiz defined my personality as introverted, intuitive, thinking, and judging. Which is shortened as INTJ. I believe that the Meyers-Broggs personality test was quite accurate at determining my personality.
With two indicators now showing that the model with a trend is providing more accurate results (graph and the R-squared value), I felt slightly more confident in using that forecasting model. To be completely sure however, I decided to verify with one more test: the mean squared error. The mean squared error measures the average of the squares of errors, - the lower the MSE, the better. Overall, the mean squared error for our data with a trend was 12.6 indicating that the model closely resembles the data that we were provided. For our linear regression model without a trend, the MSE was calculated at 111.96 indicating that the model is not as closely related to
...factor models (Bhatnagar and Ramlogan 2012). The two models APT and CAPM should not be seen as alternatives because CAPM attempts to describe the underlying relationships of the market, as opposed to APT, which provides an explanation of current market conditions (Laubscher 2002). Such testing assessments will increase the understanding of risk and return relationship and stock markets pricing instruments.
1. Describe a recent dream you had. Do you believe that there was any latent meaning behind the dream’s manifest content? Respond to one of your classmate’s dreams and speculate on that dream’s latent content.
... while using the beta approach as a guide. Returns may also rely on general market swings, changes in interest rates and inflation, to changes in national income and other economic factors.
Following the trend of economy, it is important to investors to understand that strong economy creates strong stock market. To elaborate further, as stock prices are increased by current and future expectations of earnings, thus without a strong economy it would be difficult for the companies to increase and sustain their earnings (Kong 2013). The economy development is usually calculated using the gross domestic product of a countries. On the other hand, a change is the stock price can also cause a major impact to the consumers and investors directly. Hence, a loss in confidence by investors can cause a downturn in consumer spending in the long term, which will also affect the economy’s output (Aysen 2011). The graph below shows the relationship of stock market price (KLCI) and the GDP of Malaysia in 2009. Thus, it can be concluded that the economy and the stock market has a positive relationship.