MAF759 – ANALYTICAL METHODS 代写

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MAF759 – ANALYTICAL METHODS

Trimester 1, 2017

MAJOR ASSIGNMENT

Due date: 15 th May 2017

 An electronic copy of the assignment has to be uploaded via CloudDeakin Drop box

by 15 th May 2017. It has to contain two files: one Word file, and one Excel file

containing all data, calculations and pertinent workings, please using the following

files names:

MAF759_word;

MAF759_excel;

 If you experience any problem in uploading the document, please contact the

CloudDeakin help line on 1800 721 720 or go to the website at:

http://www.deakin.edu.au/its/servicedesk/

 Late assignment submissions will NOT be accepted.

Page 2

You have been directed to study U.S stock markets, and have been provided the monthly-

adjusted close price of Apple Inc. (APPL), S&P500 index and NASDAQ index for the

period of January 2001 – December 2016.

Note: Data available via Resources –> Assessment Resources –> Assignment 2017 folder

Please complete the following questions:

1. Calculate monthly discrete returns (hint: holding period returns) for the S&P 500

index, NASDAQ index, and Apple Inc. (APPL) stock prices, respectively.

2. Compute descriptive statistics for monthly Apple Inc. (APPL) stock prices, S&P500

index and NASDAQ index, respectively.

3. Construct the frequency distributions (including relative frequency and cumulative

frequency) for APPL returns, S&P 500 index returns and NASDAQ index returns,

respectively. Use 10 intervals.

4. What is the probability of the S&P 500 index returns above 10%? What is the

probability of the NASDAQ index returns being between 2% and 8%?

5. Is the distribution of monthly APPL returns Normal distribution? Are the

distributions of S&P 500 index returns and NASDAQ index returns different?

Provide evidences.

6. In order to predict the monthly APPL returns, your supervisor advised two simple

linear regression models:

Model A: Assuming a linear relationship between monthly APPL returns and

S&P 500 index returns.

Model B: Assuming a linear relationship between monthly APPL returns and

NASDAQ index returns

6.1: For model A, test if the intercept coefficient is significant at the 5% level;

Calculate 95% confidence interval for the slope coefficient.

6.2: For model B, Predict the APPL return when NASDAQ index return being

2%, and calculate its 90 percent prediction interval.

Page 3

MARK SHEET

Questions Marks assigned Marks obtained

1 3

2 4

3 4

4 4

5 4

6 8

Presentation 3

Total 30

MAF759 – ANALYTICAL METHODS 代写