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Financial Econometrics Homework 2

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Using Python, perform the following for the KOSPI index returns during the period 2021:01:02-2021:12:30 (on the basis of daily, closing prices). (2 points) Find a proper ARMA model for the log KOSPI index. (2 points) Test whether the log KOSPI index has a unit root or not using the augmented Dickey-Fuller test. (2 points) Find…

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  1. Using Python, perform the following for the KOSPI index returns during the period 2021:01:02-2021:12:30 (on the basis of daily, closing prices).

    1. (2 points) Find a proper ARMA model for the log KOSPI index.

    1. (2 points) Test whether the log KOSPI index has a unit root or not using the augmented Dickey-Fuller test.

  1. (2 points) Find a proper SARIMA model for the monthly Korean unemployment rate during the period 2010:01-2021:12.

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Financial Econometrics Homework 2
$35.00 $29.00
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