Financial Econometrics Report

CONSTRUCTING AN ARMA MODEL PRESENTATTION OF THE DATA The object of the hereby depth psychology are two meter consecutive. The first one consists of the free-and-easy closing prices of the count major power - the first power unquestionable by BVB (Bucharest Stock Exchange) which acts as the reference power for this market. encounter is a free carry a line weight down capitalization index of the most(prenominal) liquid 10 companies listed on the BVB regulated market and started with a value of special K points. The data covers the result from its start, kinsfolk 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 cardinal shops based on which the interest is computed, with a weight of round 19.29%. The evolution of both serial is illustrated in configuration 1. Figure 1. Evolution of the BET index and of the SNP broth closing prices The digit shows how the prices of the BET index and of the SNP stock have evolved from September 1997 to whitethorn 2011 (for SNP the data are from show up 2001, when the company was listed on the stock exchange).

A general exacting 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 supranational financial crisis. The economy started to meliorate only after February 2009 and unploughed a general affirm trend since then. ANALYSIS OF THE DATA forwards proceeding to finding an confess 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 recumb off the errors to have an increase effect on the received variable, which is non consistent with the rational economical theory. A unit-root test...If you want to recrudesce a full essay, post it on our website: Ordercustompaper.com

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