statistical analysis

Project description

To write a report providing a statistical analysis of returns on shares of a chosen well-traded company “bank of America coporation”(BAC) on the NYSE. Aim for perhaps 1000-1500 words, but length is not so important: more importantly, have graphs and sensible comments thereon. Marks given for coherence and good ?ow.

z= bac <— the company that I chose

Question 1

graph stock/share prices for Z

1. actual closing prices

2. adjusted closing prices

3. explain what we are adjusting for; and why we would normally work with adjusted closing prices

4. always put dates on the x axis

Question 2

1. extend the data frame of prices from yahoo ?nance to give returns and weekdays etc. R code provided later in this document.

2. Using the Z returns, graph

(a) ts of Z returns

(b) empirical distn fn (EDF, or ‘ecdf’ in R) of Z returns

i. estimate 95% VaR from whole sample

ii. estimate 95% C-VaR from whole sample

A. C-VaR is also called the expected shortfall

iii. compare daily VaR with weekly, fortnightly VaR

(c) estimated density of Z returns

i. from whole sample; or pre/post GFC

ii. ?t normal and t distns to Z returns

A. guide in Figure of ?le 61 at end of document

Question 3

Compare, eg

1. returns on di?erent days

(a) do Monday and Friday returns di?er?

2. returns in di?erent months/quarters/years

(a) need to aggregate daily returns to get monthly returns, etc

i. guides in Figures of ?les 60 and 62 at end of document

FINA 413/MMAF 522 2014, Assignment 2 28 March 2014 6

Question 4

1. ACFs of daily returns

(a) are returns uncorrelated?

2. ACFs of volatilities = abs(return)

(a) volatilities = abs(return) here

(b) guide in Figures for ?les 63 and 64 at end of document

Question 5

Compare returns for Z and CN

1. graph the time series of the returns for Z and CN

(a) separately

(b) on the same graph (use di?erent colours!)

(c) adjust for varying lengths of the original ts

i. code available later in this document

2. superimpose estimated densities for Z and CN returns

3. superimpose EDFs for Z and CN returns

4. guide in Figure for File 51 at end of document

*the question above is what the assignment stated, don’t actually have to answering it all, just make a short essay and try to describe how the trend goes from 1986 to 2013, and maybe can write more about the adjusted closing price and also can talk about why there has a hugely drop in 2007, how bac related to Global financial crisis. so the first paragraph can talk abt what is bac, what it does, and for the rest of the paragraph can talk abt the graphs ( because I got abt 10 graph), I will attached the graphs in order so that it makes you easier to understand . at the end, much appreciate of your work