Using the monthly squared returns of astock market index (T = 250 observations)you have obtained the following first 6sample autocorrelations: "p1 = 0.25 , ^p2 =0.15, "р3 3D 0.08, "р4 %3D 0.02, "р5 %3 -0.09, "рб= 0.01. Using a suitable test argue whetherthe return series is characterised byvolatility clustering patterns.

A stock market index's monthly squared returns are used. observations.The obtained first sample…

Answered: Using the monthly squared returns of a…

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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Computer hard drives must rotate in a balanced way and away from level is called pitch.Samples are taken regularly from production and each disk in the sample is placed in test equipment that results in a pitch measurement. From various samples it is concluded that the population is normal. The variance = image 1 when the process is in control. A sample of 10 is collected each week. The process will be declared out of control if the sample variance exceeds 0.122 What is the probability that it is declared out of control even when variance = image 1?
The number of earthquakes that occur per week in California follows a Poisson distribution with amean of 1.5.(a) What is the probability that an earthquake occurs within the first week? Show by hand andprovide the appropriate R code.(b) What is the expected amount of time until an earthquake occurs?(c) What is the standard deviation of the amount of time until two earthquakes occur?(d) What is the probability that it takes more than a month to observe 4 earthquakes? Show by hand(you may simply leave it as an integral) and provide the appropriate R code.
The monthly stock return of IBM is normally distributed with mean 0.08 and standard deviation 0.04. (i)What is (?)? What is ??(?)? What is ?(?)? (ii)What is the probability that the stock return is lower than 0.08? (iii)What is the probability that the stock return is between 0.04 and 0.07? (b)What five steps do we need to follow when conducting hypothesis testing? (c)Based on a random sample of 16 customers, the mean amount spent on fast food by an individual per year equals $240. At the significance level ?? = 0.05, Helen would like to test if the population mean amount spent on fast food per year equals $311, as reported by an industry report. It is known that the amount spent on fast food per year is normally distributed with a standard deviation $140
2) In the year 2033, Kayla Faruq is leading emergency room doctor. Kayla is presently researching the relationship between stress and cardiovascular disease. Suppose systolic blood pressures of patients that are experiencing chronic stress is normally distributed with a mean of 140 and a standard deviation of 5.9. a) In a random sample of 16 chronically stressed patients, what is the probability the sample mean is less than 132? Would you classify this observation as an outlier? Why or why not? b) What is the probability a randomly selected chronically stressed patient has a systolic blood pressure less than 132? Would you classify this observation as an outlier? Why or why not? ||
5. Explain the following with respect to Random process, (i) Correlation ergodic processes
What type of distribution is appropriate to model the number of patients recovering from cancer in a clinical study following 100 patients ? Poisson Exponential Normal Binomial Uniform Geometric
Can I get assistance with the calculations for - Covariance with MP - Correlation with market Index - Beta
5. Suppose the time spent by a randomly selected student at a campus computer laboratory has a gamma distribution with mean 20 min and variance 80 min². (a) What are the values of a and B? (b) What is the probability that a student spends between 20 and 40 min at the laboratory? (c) Only 1% of students will spend more than how many minutes at the laboratory?
Black Water CO(BWO) TATA Steel (TATA) 1.Estimate the average daily return of each fund using the arithmetic average method. (EXCEL) Below are the historical closing prices for the two funds above. 2. Calculate the standard deviation of each fund (EXCEL) Date BWO TATA 3. Calculate the correlation between the two funds 10/20/2016 113.3374 113.6971 4. Calculate the covariance between the two funds using a) Excel function, Covariance.S 10/21/2016 113.7611 113.6408 and b) using formula (Correlation multiplied by standard deviations of both funds. 10/24/2016 115.1283 114.3635 10/25/2016 114.7624 113.5094 10/26/2016 113.9825 112.383 10/27/2016 113.4626 111.0971 10/28/2016 112.7501 110.7873 10/31/2016 112.6442 111.2285 11/1/2016 111.7969 109.8675 11/2/2016 110.9014 108.4689 11/3/2016 109.8134 107.9433 11/4/2016 109.4282 108.6379 11/7/2016 112.0279 111.2942 11/8/2016 112.7597 111.5852 11/9/2016 113.2797 115.0206 11/10/2016 111.4502 116.8603 11/11/2016 111.4984 119.5448
Using the Retirement funds spreadsheet, please determine if there is a significant difference between the average rate of return on Large Value and Large Growth stock funds. What are the two variables of interest? 2. Write a null and alternative hypothesis statement 3. At the 95% significance level, is there significant evidence of a difference between the fund rate of returns?
3(ii) A bank sets up a Special Purpose Vehicle (SPV) for a CDO issue. The SPV wants to understand the risks that they may face, so they run simulations of the annual cash flows out of their portfolio. Selected results of the simulation are shown in the table below. Annual Portfolio Cash Flows Mean Std. Dev. Min. 5th 10th Percentiles 15th 85th 90th (1,172) 16,651 (7,760) (6,800) (4,880) (3,920) 2,480 95th Max. 14,320 15,280 26,400 The SPV wants to hold risk capital to cover its losses to the 95th percentile, and expected CDO payouts for the next five years add up to $100m. How much capital would you advise them to hold, and why?
The occurrence of traffic accidents at an intersection may be modeled as a Poisson process. Based on historical records the average rate of accidents is once every 6 years. Part 1 What is the probability that there will be no accidents at the intersection for a period of 3 years? (Answer correct to 3 decimal places.) number (rtol=0.001, atol=D0.001) Part 2 Suppose that in every accident at the intersection, there is a 5% probability of fatality. Based on the above Poisson model what is the probability of one traffic fatality at this intersection in a period of 3 years? (Answer correct to 3 decimal places.) Hint: Note that here you need to find the mean rate of fatalities per year, first. number (rtol=0.001, atol=D0.001)

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