Assignment Question 1 Download 20 years’ worth of monthly data for the period January 2002 to December 2021 on a company of your choice from the CRSP database via WRDS, and download the Fama-French 3 Factors from the Kenneth French Data Library or from WRDS. You can access the Kenneth French Data Library directly here: […]
Estimate all of the proposed and compare their Akaike Information Criteria to identify the most suitable model for the assigned inflation rate.
Econometrics report Each of you will be assigned one company, one index and the number of lags for VAR in question 5. 1. Employ the Box-Jenkins approach, identify the ARMA form of the assigned inflation rates following the steps below: a. Plot the correlogram of the time series. (2 marks) b. From the correlogram, propose […]
Estimate the Fama-French 3-factor model with GARCH(1,1) on the company stock return. Comment on the estimated result regarding the magnitude and significance of the model.
Econometrics report Tasks: Download the Excel files. Each of you will have a different set of data. Sheet 1 contains the monthly inflation rates of eleven countries. Sheet 2 the monthly historical price of S&P500 and other indices. Sheet 3 contains daily stock prices of eleven US companies, SMB and HML risk factor and US […]