Matlab - variance are changing with time For example in the...

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Matlab Homework Two 1. Importing financial data into Matlab: (a) Importing data on “12_Industry_Portfolios” from January 1980 to July 2011 data=dlmread('12_Industry_Portfolios.txt','',[654 1 1032 12]) (b) Creating matrix R containing following 6 industries: ‘Durbl’, ‘Enrgy’, ‘BusEq’, ‘Utils’, ‘Hlth’, ‘Money’ R=data(:,[2,4,6,8,10,11]) (c) Converting returns from percentages to decimals X=R/100 R=X (d) Creating dates and names dates=dlmread('12_Industry_Portfolios.txt','',[654 0 1032 0]) names={'Durbl', 'Enrgy', 'BusEq', 'Utils', 'Hlth', 'Money'} 2. Descriptive statistics (a) Plotting time series of each industry portfolio returns >> plot(R(:,1)) >> plot(R(:,2)) >> plot(R(:,3)) >> plot(R(:,4)) >> plot(R(:,5)) >> plot(R(:,6)) Durables
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Energy Business Equipment Utilities
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Healthcare Finance (b) Based on the graphs, the risk is not constant over time. This is because the mean and
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Unformatted text preview: variance are changing with time. For example, in the plot of Durables, the returns fluctuated a lot in the end. (c) Mean, Standard Deviation, Skewness, Kurtosis (d) Histogram of each of the industry portfolio returns >> hist(R(:,1)) >> hist(R(:,2)) >> hist(R(:,3)) >> hist(R(:,4)) >> hist(R(:,5)) >> hist(R(:,6)) Durables Energy Business Equipment Utilities Healthcare Finance (e) Based on the histograms of returns and the fact that kurtoses are different from 3 and skewnesses are different from 0, we can reach a conclusion that returns are not normally distributed. (f) Variance, Covariance and Correlation (g) According to the correlation of matrix R, “Durables” and “Finance” are most correlated, whose correlation is 0.7360; “Business Equipment” and “Utilities” are least correlated, whose correlation is 0.2377....
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This note was uploaded on 02/29/2012 for the course FINA 6275 taught by Professor Gerganajostova during the Spring '12 term at GWU.

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Matlab - variance are changing with time For example in the...

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