预定/报价
ECO310 – Econometrics of Time Series 2nd SEMESTER 2023/24
ECO310 – Econometrics of Time Series 2nd SEMESTER 2023/24
yet2024-09-06 17:58:57

This assessment takes the form. of a group research project (7 students in each group, except for one group), with group membership randomly assigned.

The coursework project is part of the assessment for the ECO310 module with a weight of 15% of the final mark for the module.

Project Task

Each project group is randomly assigned time series for the prices of 3 stocks sourced from DataStream, which contains closing prices from the periods of December 30, 2016 to December 30, 2022.

Using appropriate time series econometric techniques, please address these questions in sequential order in your report. You are expected to present your report as if you are a team of investment analysts advising your clients.

1. Evaluate and comment on the trading performance of the three stocks during this period. You should use log-returns.

2. Does any of the series display serial correlation and unit root? If so, what does this mean to a retail investor who has zero knowledge of time series analysis? You should attempt to explain these concepts as intuitively as possible.

3. For all six pairings of the 3 stocks, please estimate a best model autoregressive distributed lags (ARDL) model in each case. You should explain clearly the rationale underpinning the optimal lag lengths selected in each case.