MAF759 – ANALYTICAL METHODS 代写

MAF759 – ANALYTICAL METHODS 代写

  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