Description

Use the Quantmod Package to download Adjusted Close Prices (from Yahoo) for a common stock of your choice. Download monthly price data from January 2010 through December 2019. Compute the Natural Logarithmic Returns (log returns). Chart the price series.  Describe. Chart the log return series. Describe. Compute the Descriptive Statistics, using the fBasics Package (see page 25). Identify and Define the first four moments of the distribution of the log return series. Explain the meaning of the numbers you computed for each of the first four moments of the log returns distribution. Perform the Jarque Bera (JB) test of normality, showing your NULL and your ALTERNATIVE hypotheses. CONCLUSION:  Is your log returns series from a normal distribution?  YES or No?  Why or Why Not? Justify your answer.

HOMEWORK #1

SPRING 2021

Due Date: Saturday March 13, 2021

Use the R Demonstration commands on Pages (12-20) and Pages (25-27), in Sections 1.4 – 1.6, of the textbook to do the following:

1. Use the Quantmod Package to download Adjusted Close Prices (from Yahoo) for a common stock of your choice.
2. Download monthly price data from January 2010 through December 2019.
3. Compute the Natural Logarithmic Returns (log returns).
4. Chart the price series.  Describe.
5. Chart the log return series. Describe.
6. Compute the Descriptive Statistics, using the fBasics Package (see page 25).
7. Identify and Define the first four moments of the distribution of the log return series.
8. Explain the meaning of the numbers you computed for each of the first four moments of the log returns distribution.
9. Perform the Jarque Bera (JB) test of normality, showing your NULL and your ALTERNATIVE hypotheses.
10. CONCLUSION:  Is your log returns series from a normal distribution?  YES or No?  Why or Why Not? Justify your answer.

HOW TO SUBMIT YOUR WORK:

1. Copy ALL your R commands and results into a WORD file.  Save this file.
2. Using a maximum of one (1) page, answer the questions in #s 1 – 10 above.  Save this page as a separate WORD file.
3. Submit BOTH WORD files on Blackboard (Course Documents – HOMEWORK #1).