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Time series analysis (finance engineer/expert)

$30-250 USD

In Progress
Posted over 1 year ago

$30-250 USD

Paid on delivery
In this application you will use daily data on your company returns together with the S&P500 returns over the same sample period as in PART I Set your in-sampleorlearningperiodtostartfromthefirstobservationuptoandincludingFebruary28th2020. Denote this sample size T1. Set the forecast (evaluation) period to be the remaining observations from March 1st, 2020 to the last observation. There are T − T1 observations in this forecast period. Use the following methods to choose and estimate suitable forecasting models using the in-sample data only: (i) 30 days sample mean for that asset (ii) A Reg-AR(1): a regression with the lag 1 market index return added to a an AR(1) model for your company return. (iii) A CAPM Model for the excess returns on your company stock. I have further details as we have some work done on this project, please leave your bids so we can discuss this in detail. Regards, Usama M.
Project ID: 34297929

About the project

5 proposals
Remote project
Active 2 yrs ago

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About the client

Flag of PAKISTAN
SIALKOT, Pakistan
5.0
28
Member since Jul 11, 2016

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