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hwk2soln

hwk2soln - STSCI 4550 ILRST 4550 ORIE 5550 Applied Time...

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STSCI 4550 / ILRST 4550 / ORIE 5550 Applied Time Series Analysis, Spring 2012 Professor David S. Matteson Assignment #2 Suggested Solutions Out of 14 possible points Note: BJR refers to class text: Time Series Analysis: Forecasting and Control, 4th Edition by Box, Jenkins, Reinsel (2008) #1.a (2 pt(s)) Figure 1: Plot of the 4 different time series. The GM return series does not look stationary due to heteroscedasticity (low variance in earlier years, more volatile recently). While all of the return series exhibit this behavior somewhat, the GM return series seem most dramatic in its changing volatility. The other three look approximately stationary. 1

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#1.b (2 pt(s)) Mean StDev Skewness Kurtosis Min Max GM 0.56 9.27 -0.38 5.07 -38.93 27.66 VW 1.01 4.51 -0.75 5.69 -22.54 14.16 EW 1.33 5.60 -0.30 7.37 -27.22 29.93 SP 0.73 4.36 -0.57 5.29 -21.76 13.18 #1.c (2 pt(s)) 95% confidence intervals for each of the sample means: GM: (-0.35, 1.46) EW: (0.79, 1.88) VW: (0.57, 1.45) SP: (0.31, 1.15) Aside from the GM return sample mean, the remaining three sample means are statistically signif- icant from 0 at the 5% α level. This is based on the duality betweene confidence intervals and the
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