Financial Econometrics Report

CONSTRUCTING AN ARMA MODEL PRESENTATTION OF THE DATA The object of the hereby analysis argon two metre serial. The first one consists of the daily closure 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 capitalisation index of the most liquid 10 companies listed on the BVB adjust market and started with a value of special K points. The info covers the period from its start, kinfolk 22, 1997, to whitethorn 24, 2011. The second serial consists of the shutdown prices of the SNP pack (expressed in RON the Romanian currency) and it stands for the OVM Petrom club. Since the company was listed on September 3, 2001, the data covers the period form that day to May 24, 2011. It is price mentioning that SNP is one of the ten assembly lines based on which the BET is computed, with a weight of approximately 19.29%. The evolution of both series is illust rated 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 cede 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 avocation period, the market registered a steep decline as a result of the international financial crisis. The economy started to convalesce scarcely after February 2009 and kept a general substantiating trend since then. ANALYSI! S OF THE DATA Before proceeding to finding an apportion 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 land off the errors to have an increasing effect on the rate of flow variable, which is non consistent with the rational economic theory. A unit-root test...If you want to turn over a full essay, order it on our website: OrderCustomPaper.com

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