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Introduction to Computational Finance and Financial Econometrics

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Introduction to Computational Finance and Financial Econometrics
by Eric Zivot

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Assignment 4: R Help Center

Warning: The hard deadline has passed. You can attempt it, but you will not get credit for it. You are welcome to try it as a learning exercise.

This assignment refers back to the Week 4 R programming assignment. You should complete that first as the questions in this assignment will relate to the output generated by your code.

In accordance with the Coursera Honor Code, I (Anonymous Student) certify that the answers here are my own work. Thank you!

Question 1

(10) The data in the following chart was most likely generated by which model?

MA(1):

θ=0.9 $\theta = 0.9$

AR(1)

ϕ=0.9 $\phi = 0.9$

Question 2

(10) The data in the following chart was most likely generated by which model?

MA(1):

θ=0.9 $\theta = 0.9$

AR(1):

ϕ=0.9 $\phi = 0.9$

In accordance with the Coursera Honor Code, I (Anonymous Student) certify that the answers here are my own work. Thank you!

You cannot submit your work until you agree to the Honor Code. Thanks!

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