Topic: Financial Forcasting and Portfoliomanagement
First Order: Financial Forecasting Paper (with eviews 8 or 9)
You will find all relevant infos in the prepared folders. I would like to get a progressive delivery option, with a short feedback about the project ASAP and then a first draw on Saturday. (after that all 3 days) Target mark 80% and more. For the financial forecasting paper you will have to download the date from the oecd site and choose one additional country.. please take Switzerland (or UK) if possible and on the first step where you have to replicate the results.. logically the results have to be the same as on the paper.. so you can check if it is right done| the needed paper for the financial forecasting is online you can just google for it. Please read all instructions before beginning and follow the steps we did in the tutorial (see PDFs). Please use next to the main paper also the other provided papers as sources. Thank you
Please follow the given steps in the uploaded slides, explain the used models (garch, arch and and and). It is primary an econometric paper, where is has to be clear what has been calculated. And include the uploaded sources. Thank you
I uploaded the assessment criteria for a former econometric paper and the paper itself (83% paper). The calculations are completely different. But it’s just to see a little but which criteria were important. (Can be used for the financial forecasting project)
Here some basic stuff, which has to be included in the modelling process: AR Modelling ARMA Modelling Box-Jenkins approach, Unit root test, Cointegration-EG test, Cointegration-Johansen test, Arch and Garch Engle-Granger procedure
It is very basic that all this procedures and test are done for the modelling as otherwise the paper will fail for sure. If you are not sure how to calculate or proceed for something of the mentioned points, please follow the step-by-step instructions, which you will find in the sub-file “Practicals and Approach”.
As I want to be sure, that this time everything will work as supposed, I uploaded the following documents you can use: – The layout for the Financial Forecasting Workpaper. Please use this layouts for the paper, (you can change the titles and subtitles as you want) .
and further infos, I forgot:
Perhaps a little further input to the OECD data for the forecasting.. After the download you need to index them(1980:1), this means divide all data for that number in each country. But pretty sure you figured that already out. For the rest if something is not clear, please contact me and I will try to figure out what’s the needed next step. Thank you
if you follow the seminars with the different models and procedures, given the fact, that we already know how to begin and the main steps (stationary testing, detrending..) it should be still feasible on a high level.
I figured out, that for beginning the paper you need to use the perron sequental procedure… please control that you began with it. And after that control if it is a deterministic trend or a random walk, before you can continue with the detrending.