代写FINN41615 Financial Modelling & Business Forecasting 2024代做R编程

FINN41615

Financial Modelling & Business Forecasting

Postgraduate Programmes 2024

SUMMATIVE ASSIGNMENT – FINN41615

Module Title

Postgraduate Programmes 2024

You will be given a unique set of five commodities price series to analyse, both individually and as a group. These will be provided to you later in the module. Your assignment should be written as a single report covering the following tasks.

Assignment Tasks

1. Using the daily commodity dataset from WRDS provided to you in the module extra and plot the time matched cumulative return series for your given five commodities. [10 Marks]

2. Conduct an out-of-sample ARMA forecasting analysis for your commodity priced over a forward-looking time frame. of at least one year. Ensure your forecast contains appropriate representations of the anticipated uncertainty of the commodity price (for instance using a fan plot). [10 Marks]

3. Using a suite of unit root tests assess whether there is sufficient statistical evidence to suggest the presence of a unit root in the log price process. [10 Marks]

4. Using an appropriate test, test to see if there are any candidate breakpoints in your data. [15 Marks]

5. Combining all your time series into a single group analysis to determine if there is evidence of at least one cointegrating vector using the Engle-Granger two step method. [15 Marks]

6. Using the Johansen FIML trace and/or maximal eigenvalue test, determine the likely number of cointegrating vectors and compare your result to part (5). [15 Marks]

7. Using an appropriate inference technique determine the degree of causality between the five-commodity series and summarise your result. [15 Marks]

8. Use appropriate plots and tables to illustrate your answers to each of the seven tasks above. This analysis should only utlize the “R” programming language, you will need to attach your properly annotated R code as an appendix to your assignment. [10 Marks]

Each of your sections should have a minimum 150 to 300 words of text to explain your approach and provide a summary of how you have interpreted the results. You are NOT required to provide any mathematical examples or derive any of the models, refer to sections and pages either in your textbook or the lecture slides if necessary. Extra credit will be given to a neat and carefully structured and presented assignment.

Overall word limit: 2500

SUBMISSION INSTRUCTIONS

Your completed assignment must be uploaded to Learn ULTRA
no later than 11:59am (UK time) on 27^th April 2024.

A penalty will be applied for work uploaded after 11:59am as detailed in the Programme Handbook.  You must leave sufficient time to fully complete the upload process before the deadline and check that you have received a receipt. At peak periods, it can take up to 30 minutes for a receipt to be generated.

Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font. Assignments and dissertations/business projects must not exceed the word count indicated in the module handbook/assessment brief.

The word count should:

§ Include all the text, including title, preface, introduction, in-text citations, quotations, footnotes and any other items not specifically excluded below.

§ Exclude diagrams, tables (including tables/lists of contents and figures), equations, executive summary/abstract, acknowledgements, declaration, bibliography/list of references and appendices. However, it is not appropriate to use diagrams or tables merely as a way of circumventing the word limit. If a student uses a table or figure as a means of presenting his/her own words, then this is included in the word count.

Examiners will stop reading once the word limit has been reached, and work beyond this point will not be assessed. Checks of word counts will be carried out on submitted work, including any assignments or dissertations/business projects that appear to be clearly over-length. Checks may take place manually and/or with the aid of the word count provided via an electronic submission. Where a student has intentionally misrepresented their word count, the School may treat this as an offence under Section IV of the General Regulations of the University. Extreme cases may be viewed as dishonest practice under Section IV, 5 (a) (x) of the General Regulations.

Very occasionally it may be appropriate to present, in an appendix, material which does not properly belong in the main body of the assessment but which some students wish to provide for the sake of completeness. Any appendices will not have a role in the assessment - examiners are under no obligation to read appendices and they do not form. part of the word count. Material that students wish to be assessed should always be included in the main body of the text.

MARKING GUIDELINES

Performance in the summative assessment for this module is judged against the following criteria:

· Relevance to question(s)

· Organisation, structure and presentation

· Depth of understanding

· Analysis and discussion

· Use of sources and referencing

· Overall conclusions

The word count should include all the text (plus endnotes and footnotes), but exclude diagrams, tables, bibliography, references and appendices. Guidance on referencing can be found on Sharepoint; Examinations and Assessment (sharepoint.com)