Homework answers / question archive / GROUP PRACTICAL ASSIGNMENT in PYTHON Course FIN30200 Academic Year 2021/2022 PART 1 - FINAL REPORT The report (which is about the two questions) should be around 30 - 40 pages (not a strict rule, if it is longer it is fine too!)

GROUP PRACTICAL ASSIGNMENT in PYTHON Course FIN30200 Academic Year 2021/2022 PART 1 - FINAL REPORT The report (which is about the two questions) should be around 30 - 40 pages (not a strict rule, if it is longer it is fine too!)

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GROUP PRACTICAL ASSIGNMENT in PYTHON Course FIN30200 Academic Year 2021/2022

PART 1 - FINAL REPORT

The report (which is about the two questions) should be around 30 - 40 pages (not a strict rule, if it is longer it is fine too!). And it should be in PDF format.

Please remember to put all names of members and add codes in Appendix.

Question 1

You have to download a cryptocurrency series (no matters the timeframe, but consider at least 4 years of daily observations). Propose an adequate analysis about this series considering ARIMA/GARCH models.

In your report you have to:

1. Look at the plot of the series.
2. Propose ARIMA/GARCH models
3. Compare models. Comment on outputs.

Question 2

Before starting this question, students should read the article ”Spurious Regression in Financial Economics?”, by Ferson, Sarkissian, and Simin (2003) (you can find the pdf posted on Brightspace).

1

In finance and in economics, it is possible to make a regression using two variables which are not correlated but surprisingly your regression seems a good regression. That’s because you are regressing two non-stationary times series! This phenomenon is called Spurious Regression.

Each group has to find an interesting case of spurious regression (some examples are in the Examples.pdf, of course you have not to take these examples but propose new ones) (creativity will be rewarded!).

In your report you have to:

1. Explain the choice of your series. Show plots of series and explain their behavior.
2. Estimate your models. Comment on outputs.
3. Check residuals with appropriate tests.
4. Explain why these regressions can be considered spurious regressions (Hint: check R2, tstatistics, Durbin-Watson test, and tests on residuals).

PART 2 - VIDEO PRESENTATION

”In the future, everyone will be world-famous for 15 minutes” (Cit. Andy Warhol)

Each group should present a video presentation. In this presentation, you have to explain your results in the two questions. You should also briefly describe how you estimated your models.

The grade will be given in consideration of the clarity in explanation of your results. Not for visual and special effects (Of course you can make them, but you need to clarify your results!).

The length should be around 15 - 20 minutes maximum. You have to upload it in a format I can watch it as .wmv, avi, .mpg, .mpeg.