FIN 325 Data Analyis in Finance
Learning Exercise 1
Financial Returns and Volatility
DUE BY 6:00 PM, TUESDAY October 6
Instructions: Complete this assignment by downloading the data and then answering
FIN 325 Data Analysis in Finance
Learning Exercise 3
Time Series
DUE BY 6:00 PM, TUESDAY November 10
Instructions: Complete this assignment by downloading the data and then answering the
questions in
Value at Risk Answers
1. You have a portfolio of $1,000,000 of stock all in Gold stocks which are represented
by the CBOE Gold Index. What is the 99% one day Value at Risk for this portfolio when
the
FIN325
Prof. Goldman
Answers to Assignment 3: Case Study
1. Performance
I show in Tables 1 and 2 results with p-values in brackets for the four funds when
we estimate CAPM and multifactor models.
Tabl
Standardized Residuals
Eviews can also calculate a series of the standardized
rt
residuals
ht
In the equation window, click on Proc -> Make
residual series.
In the dialog box, select standardized.
GARCH
Modeling in
Eviews
Estimating GARCH Models
To estimate a GARCH model on a given a return series
(lets call it ret), using the menu bar at the top of the
screen, go to Quick -> Estimate Equation
INSTRUCTIONS: Answer 10 questions. Each is worth
10 points and should take 9 minutes. If you answer
more than 10, only the first 10 will be graded.
1. Was the US equity market more volatile in
a. 2002
CHAPTER 4
BOND PRICE VOLATILITY
CHAPTER SUMMARY
To use effective bond portfolio strategies, it is necessary to understand the price volatility of
bonds resulting from changes in interest rates. The pu