Financial Econometrics Final Project

Financial Econometrics

Final project

Instructions:

1. The final project will be done in groups of 3 to 5.

2. Choose one of the topics below.

3. Each group is required to submit a short report, up to 10 pages, and present their analysis and work in a 15-minute presentation, to be given on the last class. The grade will be given on the basis of the report, the slide deck, and the oral presentation. All group members must contribute to ALL parts.

4. The presentation slide deck and report must be submitted by email to dkenett1@jhu.edu .

5. An optional, self evaluation of the contribution of other group members can be submitted.

Topic 1:

You are a research associate at the World Bank and have been asked to study the U.S. GDP and how it has changed in time and provide a forecast for future values. You are asked to compare the performance of the U.S. economy, as represented by the GDP and its changes, to that of at least two additional large economies (for example, Germany, U.K., Canada, China, etc.).

Topic 2:

You have recently joined the Fed as a research analyst. You have been tasked with investigating the U.S. stock market volatility. Your boss has asked you to look at historical values of volatility (for example using the S&P500, the VIX, or other benchmark indices), and coming up with insights on the statistical relationship between volatility and market prices, and whether it can be used as an indicator for an upcoming crisis. You have also been asked to compare the relationship with that of the UK main index, the FTSE, as well as the UK version of VIX, which is the VFTSE (or estimated volatility of the FTSE index).

Topic 3:

You are a quantitative analyst at XXX Hedge Fund. You have been tasked at identifying good investment options for the fund. To this end, you are asked to identify 5 to 10 stocks that would make a good investment. You are asked to provide a review of the past performance of the chosen stocks, as well as the chosen portfolio as a whole, and make forecasts for future values of the individual stocks and the portfolio as a whole.