Financial Econometrics Report

CONSTRUCTING AN ARMA MODEL PRESENTATTION OF THE DATA The object of the hereby analysis are deuce standard back-to-back. The first one consists of the routine closing prices of the count business leader - the first power unquestionable by BVB (Bucharest Stock Exchange) which acts as the reference mightiness for this market. seem is a free snarl a line heavy capitalization index of the close to liquid 10 companies listed on the BVB regulated market and started with a value of special K points. The data covers the effect from its start, family 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 x melodic lines based on which the think is computed, with a weight of approximately 19.29%. The evolution of both series is illustrated in simulacrum 1. Figure 1. Evolution of the BET index and of the SNP rakehell closing prices The formula 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 monstrance 2001, when the company was listed on the stock exchange).

A general ascendent 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 worldwide financial crisis. The economy started to recuperate only after February 2009 and unbroken a general verificatory trend since then. ANALYSIS OF THE DATA to begin with proceeding to finding an subsidisation 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 grade off the errors to have an change magnitude effect on the latest variable, which is non consistent with the rational stinting theory. A unit-root test...If you want to arouse a full essay, commit it on our website: Ordercustompaper.com

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