Country : Australia

ECON604 Economics Assessment Task

(a) Express the simple daily returns in percentages. Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the percentage simple returns.

(b) Transform the daily simple returns to daily log returns.

(c) Express the daily log returns in percentages. Compute the sample mean, standard deviation, skewness, excess kurtosis, minimum, and maximum of the percentage log returns.

(d) Test the null hypothesis that the mean of the daily log returns of each return series is zero. That is, perform three separate tests. Use 5% significance level to draw your conclusion.

(e) Convert the frequency of the daily data to weekly and monthly. You may use the “aggregate” command in the package “zoo” for conversion. Use the same aggregation method you used in FRED. Does your converted data match the data downloaded from FRED?

2. Obtain daily London spot gold price data from FRED for the period from 1968-04- 01 to 2019-10-07. The full name of the series is “Gold Fixing Price 10:30 A.M. (London time) in London Bullion Market, based in U.S. Dollars”. FRED symbol name for Brent Spot is GOLDAMGBD228NLBM. Calculate the log returns for the gold. Use the 5% significance level to perform the following tests:

(a) Test the null hypothesis that the skewness measure of the returns is zero.

(b) Test the null hypothesis that the excess kurtosis of the returns is zero. M. Balc?lar ECON 604 Fall 2018 (c) Test whether the data is normally distributed using the Jarque-Berra test.

3. Now consider the monthly gold price series. Fit linear, quadratic, and exponential trend models to the series. Comment on the fit of the models.

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  • Posted on : October 26th, 2018

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