MM905: Project on Modelling Financial Data

MM905: Project on Modelling Financial Data Download financial data (stock prices, exchange rates, interest rates, etc.) from internet toform a dataset. The suggested sample size is 800-1200. Carry out the following investigationand write a report of your work. The report should be around 6 pages, and figures and tablesare given as appendix. The format of your report should be in word or latex file. 1. Discuss the stationarity of your time series data. Transform the data into log-returns. Make time plots. 2. Study the distribution of the returns. Calculate Value at Risk at different confidence levels. 3. Fit a reasonable time series model to your data and check the fitted model. 4. Bu...Show More

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