代做Assignment 2– Statistical Models调试R语言程序

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Assignment 2– Statistical Models

Due date: 11.59pm (Sunday, 27   October 2024)

Weighting: 25%

Type: Group

Submission: Electronic Submission via Canvas

Instructions for this assignment

A table with companies assigned for each group to analyse

Group

Code

Company Name

Download Date

1

XOM

Exxon Mobil Corp

1 September 2024

2

WMT

Walmart Inc

1 September 2024

3

PG

Procter & Gamble Co

1 September 2024

4

MA

Mastercard Inc

1 September 2024

5

JPM

JPMorgan Chase & Co

1 September 2024

6

CVX

Chevron Corp

1 September 2024

7

HD

Home Depot Inc

1 September 2024

8

LLY

Eli Lilly and Co

1 September 2024

9

PFE

Pfizer Inc

1 September 2024

10

KO

Coca-Cola Co

1 September 2024

11

BAC

Bank of America Corp

1 September 2024

12

ABBV

Abbvie Inc

1 September 2024

13

PEP

PepsiCo Inc

1 September 2024

14

COST

Costco Wholesale Corp

1 September 2024

15

TMO

Thermo Fisher Scientific Inc

1 September 2024

16

MRK

Merck & Co Inc

1 September 2024

17

AVGO

Broadcom Inc

1 September 2024

18

DHR

Danaher Corp

1 September 2024

19

ORCL

Oracle Corp

1 September 2024

20

MCD

McDonald's Corp

1 September 2024

21

ADBE

Adobe Inc

1 September 2024

22

ACN

Accenture PLC

1 September 2024

23

DIS

Walt Disney Co

1 September 2024

24

VZ

Verizon Communications Inc

1 September 2024

25

ABT

Abbott Laboratories

1 September 2024

26

CSCO

Cisco Systems Inc

1 September 2024

27

CRM

Salesforce Inc

1 September 2024

28

TMUS

T-Mobile US Inc

1 September 2024

29

WBA

Walgreens Boots Alliance Inc

1 September 2024

30

BA

Boeing Co

1 September 2024

INSTRUCTIONS

Answer the following questions. You will need to submit an Excel file with your numerical answers and a report in Word or PDF format. Calculate your answers in the Excel file and explain your approach and interpret your results in the report.

Download daily price data from yahoo finance (https://nz.finance.yahoo.com) for your chosen stock during the period between 1st  September 2023 and 1st  September 2024. Use the data to complete the following tasks:

a.    Run the linear regression in which the daily stock price is the dependent variable (y)

and the time series (from 1st  September 2023 and 1st  September 2024) is the independent variable (x) (You should choose the daily data from 1st September 2023 and 1st September 2024 as the independent variables). Draw the graph to show the linear relationship and display the equation and the R-square on the graph.

b.    Apply the “ TREND” function to forecast the stock price in the next 2 weeks from 1st September 2024 to 15th  September 2024. Download the data for these 2 weeks’ time from 1st  September 2024. Then, compare the forecasted prices with the actual ones. Comment and make suggestions based on your results.

c.    Apply the “Forecast.ETS” function to forecast the stock price in the next 2 weeks from 1st  September 2024 to 15th  September 2024. You should consider the impact of seasonality (such as monthly, and quarterly) on stock prices. Compare the forecasted prices with the actual ones. Comment and make suggestions based on your results.

d.    Apply the Autoregressive models to stock price of your chosen stock from 1st

September 2023 and 1st  September 2024. You can estimate different order for the Autoregressive models, including AR(1)AR(2), andAR(3). Determine which one is the best suitable model for your stock and justify your conclusion.

e.    Assume that you have invested 50,000 NZD in this period. Apply historical simulation to estimate the Value-at-Risk of your chosen stock from 1st  September 2023 and 1st September 2024 with 95% confidence level.

(Hints: You should consider the file “(4) Example (Historical Simulation_VaR)” in  Week 9 for the references. You can apply both PERCENTILE and  NORMINV functions in excel to identify the VaR with 95% confidence level. First, you calculate  the average of returns from 1st  September 2023 and 1st  September 2024 by applying  AVERAGE function in excel. Then, you calculate the standard deviation of returns by  applying STDEV.P function in excel. After this, you can apply the NORMINVfunction  in excel to identify the VaR with 95% confidence level.)

f.    Apply the Monte Carlo  Simulation with  1,000  simulations to estimate the average price, median price, min, max, standard deviation of your chosen stock in the next 30 trading days starting from 1st  September 2024.

(Hints: You should consider the file “(5) Example (Monte Carlo Simulation)” in Week 9for the references. First, the starting price is the price on 1st September 2024. Then, you calculate the daily volatility by applying STDEV.P function in excel. Next, you simulate  the price  in  the  next  30  trading  days.  After  this, you  apply  the  1,000 simulations and estimate the average price, median price, min, max and standard deviation of your simulated data”)

g.    Estimate the stock return for your chosen stock. Apply the Monte Carlo Simulation with 1,000 simulations to estimate the average, median, min, max, standard deviation and the chance of loss of the return for your chosen stock in the next 30 trading days.

(Hints: First, you estimate the stock return. Then, you estimate the daily volatility of the stock return by applying STDEV.P function in excel. Next, you simulate the return in the next 30 trading days. After this, you apply the 1,000 simulations and calculate the average return, median return, minimum and maximum return, and the chance of loss of the return)

MARKING / GRADING

Team Performance: This will be  graded on the basis of the following criteria (equally weighted) where applicable:

  Research: collecting, understanding, and interpreting information and data from relevant sources.

  Application: use appropriate theories and concepts relevant to your case; analyse them properly; draw appropriate conclusions.

  Calculation: use appropriate formulas and relevant information and data for computational purposes.

  Presentation: check for correct grammar and spelling; provide a table of contents; use spreadsheets where relevant (attach spreadsheets as exhibits and refer to the exhibits in the main text); put references at the end, acknowledging the sources of citations; justify any assumptions made; present well-formulated arguments in support of statements made.





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