Assignment_5_Fall_2011

Assignment_5_Fall_2011 - FIN 271 FALL 2011 DR. R. SOYER...

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FIN 271 DR. R. SOYER FALL 2011 Assignment 5 PART I: Crest's Unit Price In this assignment we will be interested in modeling Crest's unit price. You have weekly time-series of 276 observations starting first week of January 1958. The weekly time series data is available on Blackboard under session 12. (a) Obtain the plot of the time-series CRESTPR=Crest's unit price and its sample autocorrelation function. Discuss why the CRESTPR series is nonstationary. (b) Obtain the sample autocorrelation function of the first difference of CRESTPR series. Discuss why the first difference of the series seems to be stationary. By studying the autocorrelation and the partial correlation functions of the the first difference of the series identify a moving average (MA) process to model the first difference of CRESTPR series. (c) Estimate the MA process whose order you have identified in part (b), write down the estimated model and discuss whether the residuals of the estimated MA model are white
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This note was uploaded on 02/29/2012 for the course FINA 6271 taught by Professor Phillipwirtz,refiksoyer during the Fall '11 term at GWU.

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