Generate a new variable, the daily stock returns volatility of Toys Inc., Rt = 100 × log(Rt/Rt‐1).

The file data3b.xls contains the daily stock price (Pt) of Toys Inc. from January 3, 2000 to January 31, 2012. The total number of observations is 3152. Use data3b.xls and do the
following questions:
i) Generate a new variable, the daily stock returns volatility of Toys Inc., Rt = 100 × log(Rt/Rt‐1). Report the descriptive statistics (No of obs, Mean, SD, Min, Max) and histogram for both variables, Pt and Rt. Explain the Jarque‐Berra test result.
ii) Draw line plots for the time series Pt and Rt separately.
iii) Using the ARCH LM test, test for the presence of conditional heteroskedasticity in the return, Rt. (Choose 4 lagged squared residuals for the test.) Clearly write the ARCH model and the null and alternative hypotheses, and discuss the test result.
iv) Estimate the GARCH(1,1) model for the return volatility of Toys Inc., and plot the conditional variance estimates. Discuss the estimation result.
v) Estimate the Threshold GARCH(1,1) model. Test if there is any evidence of asymmetric volatility or leverage effect. Clearly write the TGARCH model and the null and alternative hypotheses, and discuss the test result.
vi) Test for the presence of return‐risk relationship using GARCH(1,1)‐M model.
Estimate all three forms of volatility in the return equation, i.e. the conditional standard deviation, the conditional variance or the log of the conditional variance. What do you conclude? Does the time varying premium exist?

Are you looking for a similar paper or any other quality academic essay? Then look no further. Our research paper writing service is what you require. Our team of experienced writers is on standby to deliver to you an original paper as per your specified instructions with zero plagiarism guaranteed. This is the perfect way you can prepare your own unique academic paper and score the grades you deserve.

Use the order calculator below and get ordering with now! Contact our live support team for any assistance or inquiry.

Type of paper Academic level Subject area
Number of pages Paper urgency Cost per page:

Purchase Guarantee

Why ORDER at

  • Educated and experienced writers.
  • Quality, Professionalism and experience.
  • Original Content writing.
  • Best customer support.
  • Affordable Pricing on orders.
  • Thorough research.
  • Ontime delivery of finished work.
  • 100% plagiarism free papers.

Reasonable Prices

  • To get the best quality papers isn’t cheap so don’t trust extremely low prices.
  • We can’t claim that we have unreasonably low prices because low prices equal to low quality.
  • Our prices are good and they balance with the quality of our work.
  • We have a Moneyback guarantee.

Original and Quality work

  • Our writers are professionals and they write your paper from scratch and we don’t encourage copy pasting.
  • All writers are assessed and they have to pass our standards for them to work with us.
  • Plagiarism is an offence and it’s never tolerated in our company.

Native Writers plus Researchers

  • Our writers are qualified and excellent and will guarantee the best performance in your order.
  • Our team has writers who have master's and PhD qualifications who can handle any assignment
  • We have the best standards in essay writing.

We have been in business for over 7 syears

  • We have always served our customers from all over the world and they have continued to order with us.
  • We value our customers since they have trusted us to do their assignments.
  • We are competent in our writing gained from experience over the years
  • Our company has 24/7 Live Support.

You will get

  •  Custom Admission Essay written by competent professional English writers.
  •  Free revisions according to our revision policy if required
  •  Paper format:  275 words per page, Times New Roman font and size 12, doublespaced text and1 inch margin
  •  On time delivery and direct order download
  •  Privacy guaranteed

We can help you:

  •  acquire a comprehensive professional presentation.
  •  get a unique and remarkable content as per your instructions.
  •  Get an additional portion that can be included to your existing presentation;
  •  turn your work in to an eyecatching presentation with well communicated ideas.
  •  improve your presentation to acquire the best professional standards.