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tute-wk06

# tute-wk06 - Based on the data set retained in Question 1.2...

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ETF9350: Econometrics for Financial Markets Week06 Tutorial Questions Question 1: The data set (AOI2000-08.xls) contains the Australian Ordinary Index (AOI) daily closing indices from 03/01/00 to 31/03/08. 1.1 Use a relevant Excel technique to delete holidays, and compute the continuously compounded daily returns of AOI. 1.2 The data set of AOI closing indices may have no recorded values on some weekdays such as Christmas day and some other holidays. Use relevant Excel techniques to fill such “blank day” with the previous day’s closing index. 1.3
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Unformatted text preview: Based on the data set retained in Question 1.2 , compute the continuously compounded weekly returns for each day of the week, such as Monday’s weekly return, etc. (Note: Monday’s weekly return is deﬁned as the gain of the current Monday’s index relative to the previous Monday’s index. Excel’s Pivot Table technique can meet such a purpose.). 1.4 Based on the data set retained in Question 1.2 , compute the continuously compounded monthly returns for each month of the year, such as January’s monthly return, etc. 1...
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