7FNCE014W Forecasting Markets and Risk Modelling Individual Coursework Questions | UOW

1. General Information and Instruction

i. This is an individual piece of work so do not collude with others on your answers, as this is an academic offence.
ii. Plagiarism detection software will be in use.
iii. The coursework carries a module weight of 40%.
iv. Answer all questions
v. Ensure that all theoretical perspectives, mathematical models and working out is detailed and explained.
vi. The coursework should be no longer, than 2000 words (±10%)

7FNCE014W Question 1.

Given that 𝜀𝑡~𝑖𝑖𝑑(0, 𝜎2), which of the following series is weakly stationary? Justify your answer (for each of the series) and state the assumptions you are using at each step of your derivations:

7FNCE014W Forecasting Markets and Risk Modelling Coursework Questions

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(a). Write the actual specifications of the two regressions above. Define clearly all the terms and assumptions? [5 Marks]
(b). What is the estimated effect of the quadratic trend on the price index? Estimate and interpret the turning point. [5 Marks]
(c). Which model is best to describe the trending behaviour of the price series? Justify all the steps. [5 Marks]
(d). Assume normality, what are the point, interval and density forecasts of the following period: 2018M02-2018M05.
[10 Marks]
(Total 25 Marks)

7FNCE014W Question 1. Given that 𝜀𝑡~𝑖𝑖𝑑(0, 𝜎2), which of the following series is weakly stationary? Justify your answer (for each of the series) and state the assumptions you are using at each step of your derivations: