Consider a set of equity returns from four different markets across 12 different periods. The data areavailable in the marketdata.txt. Define the forth variable as your response variable (Y). Define thefollowing three models:Mkt_10.0083-0.0012 -0.0372 0.0090-0.0549 -0.0521 -0.0462 -0.0567Mkt 20.0427Mkt_3 Mkt4-0.0179 -0.0039• Model 1 Y; = Bo + B1Ili + Ei;-0.0026• Model 2 Y; = Bo + B2r21 + €,e.0275-0.0626 0.03380.0140-0.0568 -0.0737 -0.0521 -0.0505-0.0370 -0.0160 -0.0234 -0.0266• Model 3 Y; = Bo + B1ru + B2r2i + Ei(a) What could you say about the significance of the parameters in the three models?0.05750.0508 0. 0603 0.05480.0103-0.0138 0.0237-0.0017 0. 0038-0.0403 -0.0326 -0.0304 -0.02590.0147-0.00100.0069(b) Are the data satisfying the normality assumption in each model?(c) The adjusted R tells us which is the best model, when we have different numberof exogenous variables across the models. As for the R, the model with thehighest adjusted R2 is the best. By using the adjusted R2, state which is the bestmodel across Model 1, Model 2 and Model 3.0.0054 0.02220.0303 0.09470.01420.01370.0295 0.0299(d) For the best model, compute the predicted values when the new data are the X1vector of values.(e) Show the predicted values and the prediction interval (at 95% and at 90%) in aplot.(f) Are the predicted values far away from the real values of Y, for the 90% and 95%case?

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Answered: Consider a set of equity returns from…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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