Financial Econometrics Report

CONSTRUCTING AN ARMA MODEL PRESENTATTION OF THE DATA The object of the hereby analytic thinking are 2 measuring incidental. The first one consists of the mundane closing prices of the count office - the first power essential by BVB (Bucharest Stock Exchange) which acts as the reference indication for this market. compute is a free consume a line charge capitalization index of the around liquid 10 companies listed on the BVB regulated market and started with a value of special K points. The data covers the head from its start, family line 22, 1997, to whitethorn 24, 2011. The second serial consists of the closing prices of the SNP pack (expressed in RON the Romanian currency) and it stands for the OVM Petrom company. Since the company was listed on September 3, 2001, the data covers the period form that day to may 24, 2011. It is worth mentioning that SNP is one of the decennium storehouses based on which the bet is computed, with a weight of well-nigh 19.29%. The evolution of both serial is illustrated in encounter 1. Figure 1. Evolution of the BET index and of the SNP short letter closing prices The elaborate shows how the prices of the BET index and of the SNP stock have evolved from September 1997 to may 2011 (for SNP the data are from gift 2001, when the company was listed on the stock exchange).

A general command trend can be observed till 2007, with a historical maximum in that specific year, as Romania entered the EU. In the following period, the market registered a steep decline as a result of the world(prenominal) financial crisis. The economy started to ameliorate only after February 2009 and unploughed a general confirmatory trend since then. ANALYSIS OF THE DATA originally proceeding to finding an consort model that describes each of the two series, these should be checked for stationarity. If a time series contains a unit-root, the coefficients obtained through the model would typeset off the errors to have an change magnitude effect on the electric current variable, which is non consistent with the rational frugal theory. A unit-root test...If you want to bring up a full essay, distinguish it on our website: Ordercustompaper.com

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