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
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| 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
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-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
All throughout life we encounter situations where an acute sense of attention and focus is essential to achieve a goal and overcome obstacles. One such instance was Walter Mischel’s Marshmallow Test, introduced in 1986. His experiment prompted young children into situations that strained their ability to use focus and attention to achieve a goal. In this case, the goal was to be able to wait 15 minutes to be able to eat two marshmallow, instead of just eating the single marshmallow in front of you. Mischel claimed that children who were able to display a “delay of gratification” showed vastly higher SAT scores later in life compared to the children who decided to eat the first marshmallow outright. However, Sarah Kliff brings up the argument
The “Ban the Box” is a law that took effect on January 1, 2014, and it inhibits companies from asking about a potential employee’s criminal history on the initial applications for employment (Deitchler, Fliegel, Fitzke, & Mora, 2013). The Equal Employment Opportunity Commission (EEOC) endorsed this Ban the Box in that its contemplation of criminal history of arrests or convictions in the Title Ⅶ of the Civil Rights Act of 1964 (Deitchler, Fliegel, Fitzke, & Mora, 2013). It is directly related to employer’s ability to hire those employees with a criminal past to be compliant with the fair employment requirements. Employers have a balancing act to perform because they should be aware of risks related to negligent hiring. In the case of litigation
Gustman, A. L., Steinmeier, T. L., & Tabatabai, N. (2012). How Did The Recession Of
Collected data were subjected to analysis of variance using the SAS (9.1, SAS institute, 2004) statistical software package. Statistical assessments of differences between mean values were performed by the LSD test at P = 0.05.
In this lab we apply the technique known as a two point discrimination test. This test will allow us to determine which regions of the skin are best able to discriminate between two simultaneous sensory impulses. According to (Haggard et al. 2007), tactile discrimination depends on the size of the receptive fields located on the somatosensory neurons. However receptive fields for other types of sensations are located elsewhere. For vision we find that the receptive fields are located inside the visual cortex, and for hearing we find receptive fields in the auditory cortex. The ability for the body to discriminate two points depends on how well that area of the body is innervated with neurons; and thus conferring to the size of the receptive fields (Haggard et al. 2007). It is important to note that the size of the receptive field generally decreases in correlation to higher innervations. As was seen in the retinal receptive fields, the peripheries of tissue had contained larger receptive fields (Hartline, 1940). In our test we hypothesized that the finger region will be able to discriminate better than the forearm. This means that they will be much more innervated with neurons than the forearm, and likewise contain smaller receptive fields. This also means that convergence is closer to a 1:1 ratio, and is less the case the farther from the fingers we go. We also think that the amount of convergence is varied with each individual. We will test to see if two people will have different interpretations of these results.
The Beck Anxiety Inventory was designed by Aaron T. Beck and is self report scale that consists of 21 items. The items are short and straightforward, making it easy to read and comprehend. All items are related to anxiety and describe a symptom of anxiety that is rate on a four point likert scale according to severity. The answers range from 0-3 and the responses range from “not at all” to “severely; I could barely stand it” and all items are added for a total score. The instructions on the test ask for the respondent to “indicate how much you have been bothered by each symptom during the past week, including today, by placing an X in the corresponding space in the column next to each symptom” (Dowd, 2008). The assessment is intended for adolescents and adults and can be administered individually or in a group setting. An additional copy of the inventory test is also available in Spanish. It was originally created from a sample of 810 outpatients of that were predominately affected by mood and anxiety disorders and research on the original development is described as informative and thorough.
“To conquer frustration, one must remain intensely focused on the outcome, not the obstacles.” I still remember this quote from Within I Rise by T.F. Hodge because this specific quote has helped me through my long and winding journey toward the black-belt. It started with my friend in fifth grade showing me what he learned in karate class the day before, and me asking my mother if I could join. My brother and I went to our first class and I instantly fell in love with the sparring, grappling, fighting combinations, self-defense, and of course, learning to use nunchucks. It was not long before I had my eye on the black-belt, but there were many obstacles ahead. Less than one percent of all students at my karate school end up getting to
Goodhart, C. & Taylor, A., 2004. Procyclicality and volatility in the financial system: The implementation of Basel II and IAS 39, London: London School of Economics.
In the first place, a main theoretical cornerstone for the EMH to be a consequence of equilibrium in capital markets is that markets are always rational. This is against the realism. Even if the foregoing assumption turn out to be entirely possible, many recent studies have concluded that rationality is not always a realistic assumption as investors in many cases engage in irrational investment (Kahneman and Riepe, (1998)).
According to the website, I have an IQ of 113. I feel as though a site like www.iqtest.com could produce a “g” score because they make you pay too see an analysis of your results, which indicates to me that they put some effort into producing fairly accurate scores. General intelligence, also known as “g”, describes an individual’s specific mental ability, which is measured by tasks on an IQ test (Myers p. 405). The site breaks down your overall IQ results into different categories of intelligence and gives you an IQ score for how well you tested in a given area. For example, there is a category for “spatial intelligence” which is ones ability to predict what actions will happen based on varied conditions (Website). By looking at the broken down results you can compare areas you have strengths in, versus the areas you might struggle in. This is in accordance to what Charles Sherman found when he discovered that people who score high in one area tend to score high in similar categories (Myers p. 405). For a person to see what their “g” score would be they would simply have to look at which category they scored highest in and from that they would see in which area they have the highest intelligence in.
After completing the Clifton strength finders test, I learned my dominant strengths and it gave me a sense on what areas I am strong in. It allows you to work in the areas that you are good in and not in the ones you might not be as strong in. My top five strengths were learner, connectedness, belief, positivity, and includer. A lot of these I figured I would have because I am an athlete and I love to be positive. That is good because I practice these strengths every day which in turn will make me better at them and will allow me to use them in my career.
The test taking lessons have helped me learn more about having good strategies for a test. I feel that with these lessons learned I can have more confidence to take a test and pass it. In this report I want to show why test taking is an important skill to learn. I also wanted to describe how I have prepared for test in the past. I also wanted to discuss three strategies I have learned from the computer tutorial in class and how I have changed my study habits so I can do better on test.
...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.
... 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.