Microsoft Word - MAF759_Assignment_2019 T1.doc Page 1 MAF759 – ANALYTICAL METHODS Trimester 1, 2019 MAJOR ASSIGNMENT Due date: 10th May 2019  An electronic copy of the assignment has to be uploaded...

there is no word limit there would be two different files one in excel and other is in word
solve everything in excel and then do the analysis in word




Microsoft Word - MAF759_Assignment_2019 T1.doc Page 1 MAF759 – ANALYTICAL METHODS Trimester 1, 2019 MAJOR ASSIGNMENT Due date: 10th May 2019  An electronic copy of the assignment has to be uploaded via CloudDeakin Drop box by 10th May 2019. It has to contain two files: one Word file, and one Excel file containing all data, calculations and pertinent workings, please using the following files names: MAF759_word; MAF759_excel;  If you experience any problem in uploading the document, please contact the CloudDeakin help line on 1800 721 720 or go to the website at: http://www.deakin.edu.au/its/servicedesk/  Late assignment submissions will NOT be accepted. Page 2 You have been directed to study Rio Tinto Limited (RIO) stock performances, and have been provided monthly-adjusted close prices of RIO, S&P500 index and ASX 200 index for the period of January 2001 – December 2018. Note: Data available via Resources – Assessment resources -- Assignment folder Please complete the following questions: 1. Compute descriptive statistics for monthly RIO prices, S&P500 index and ASX 200 index, respectively. 2. Calculate monthly discrete returns (hint: holding period returns) for the S&P 500 index, ASX 200 index, and RIO stocks prices, respectively. Construct the frequency distributions (including relative frequency and cumulative frequency) for RIO returns, S&P 500 index returns and ASX 200 index returns, respectively. Use 10 intervals. 3. Assuming Normality, what is the probability of the S&P 500 index returns above 5%? What is the probability of the ASX 200 index returns being between -2% and 2%? 4. What is the covariance of S&P 500 index returns and ASX 200 index returns? Is the correlation coefficient of RIO returns and ASX 200 index returns significant at 1% level? Provide evidence(s). 5. In order to predict monthly RIO returns, your supervisor advised three linear regression models: Model A: Assuming a linear relationship between RIO returns and S&P 500 index returns. Model B: Assuming a linear relationship between RIO returns and ASX 200 index returns Model C: Assuming a linear relationship between RIO returns and S&P 500 index returns and ASX 200 index returns jointly. 5.1: For model A, test if the intercept coefficient is significant at 5% level? For model B, Calculate 95% confidence interval for the slope coefficient. 5.2: For model A and model B, which model you would recommend to your supervisor? Provide your reason(s). 5.3: For model C, determine if S&P 500 index returns and ASX 200 index returns jointly statistically related with RIO returns at 1% level? Page 3 MARK SHEET Questions Marks assigned Marks obtained 1 3 2 4 3 4 4 4 5.1 4 5.2 4 5.3 4 Presentation 3 Total 30