Project 4 – Modelling and forecasting the relationship between assets’ returns
You have to consider at least 3 assets (equity or stock index or FX or commodity), determine their returns, and model them with the best appropriate VAR model, forecast 1 day ahead, 5 day ahead and 15 days ahead as well as diagnostic test.
1) Model specification: selection of the appropriate VAR model
2) Estimate the selected model
3) Diagnostic test of the estimated models
4) Causality test
5) Impulse response
you should interpret this analysis
İşin Yapılacağı Konum: ONLINE
Görevin Başlangıç Tarihi: 08-01-2023
Görevin Bitiş Tarihi: 13-01-2023
Kategori: Yazılım