Business

Business

The file data3a.xls contains the daily stock price (Pt) of Games Inc. from January 3, 2012
to December 31 2012. The total number of observations is 260. Use data3a.xls and do
the following questions:
i) Generate a new variable, the daily stock returns of Games Inc., Rt = 100 × log(Rt/Rt‐1).
Report the descriptive statistics (No of obs, Mean, SD, Min, Max) and histogram for both
variables, Pt and Rt. Explain the Jarque‐Berra test result.
ii) Draw line plots for the time series Pt and Rt separately.
iii) Using the ARCH LM test, test for the presence of conditional heteroskedasticity in
the return, Rt. (Choose 4 lagged squared residuals for the test.) Clearly write the
ARCH model and the null and alternative hypotheses, and discuss the test result.

Place this order with us and get 18% discount now! to earn your discount enter this code: special18  If you need assistance chat with us now by clicking the live chat button.