Financial Econometrics Report

CONSTRUCTING AN ARMA MODEL PRESENTATTION OF THE DATA The object of the hereby analysis be two metre serial. The first one consists of the daily gag law prices of the count baron - the first power developed by BVB (Bucharest Stock Exchange) which acts as the reference index for this market. BET is a free shoot a line weighted capitalization index of the most liquid 10 companies listed on the BVB regulate market and started with a value of special K points. The data covers the period from its start, family 22, 1997, to whitethorn 24, 2011. The second serial consists of the cloture prices of the SNP pack (expressed in RON the Romanian currency) and it stands for the OVM Petrom telephoner. Since the company was listed on September 3, 2001, the data covers the period form that day to May 24, 2011. It is charge mentioning that SNP is one of the ten breeds based on which the BET is computed, with a weight of approximately 19.29%. The evolution of both series is illustra ted in Figure 1. Figure 1. Evolution of the BET index and of the SNP stock closing prices The figure shows how the prices of the BET index and of the SNP stock view evolved from September 1997 to May 2011 (for SNP the data are from demo 2001, when the company was listed on the stock exchange).

A general commanding bm can be observed till 2007, with a historical maximum in that specific year, as Romania entered the EU. In the hobby period, the market registered a steep decline as a result of the international financial crisis. The economy started to convalesce and after February 2009 and kept a general substantiating inclination since then. AN! ALYSIS OF THE DATA Before proceeding to finding an subsidization 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 present off the errors to have an increasing effect on the legitimate variable, which is non consistent with the rational economic theory. A unit-root test...If you want to acquire a full essay, order it on our website: BestEssayCheap.com

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