Business & Finance OxMetrics: Assignment on Stock Price Modeling, Forecasting, and Testing of Three Companies Based on OxMetrics
geilireagan
requirement1.docxBasic Requirement:
Theme:
1\Three companies: microsoft, samsung, Apple, their stocks price from 1990-2020( or begin at 2020, best from 1990) modeling and forcasting them. For Samsung, yes, need to adjust for the exchange rate.
Load all the data into a single data file in OxMetrics with common dates. To an OxMetrics data file and ensure that all data have the same time series (common dates) for cointegration analysis. In addition, special attention needs to be paid to outliers, such as brief large fluctuations in Apple (at about 2,000 observations) and Samsung (at about 5,200 observations), and to make sure that all three firms’time series match day by day. Use the log in the model and test for three companies data.
2\Need VAR model, and do ADF test and Johansen test, to test their relationship and differences. Specific model results are required (particularly the numerical output of the Johansen cointegration test, VAR estimates, etc.), need to supplement the data analysis section.
*for VAR model, I need a function.
*I need outcome as a screenshot in every test.
the outcome of Johansrn test is like:
3\For every company, I need one plots of its seperate stock price change. (horizontal line need to be the time)
4\Need to use new version of oxmetrics
The download way:
Please follow this Download link.
www.doornik.com/download/oxmetrics9/install900
Username: install2021a
Password: 1LXYdp5gbo32b6N
Download the appropriate installation file for OxMetrics VERSION 9.30, and run that file.
During installation, in Setup under User Information, enter your name, "SAIS" (for the Organization), and the Registration code.
The license must be registered immediately upon installation.
Registration code: ENDF-9165-06C6-C622-268E-OxMetrics-9
Test PcGive for loading and graphing data.
5/ Give me the final data in OxMetrics (i.e., .in7/.bn7 files or .oxdata file)
6/ other details:
2a] Data adjustment: Exchange rate. For Samsung, yes, you need to adjust for the exchange rate. The units of all three stock prices need to be in the same units, i.e., dollars per share of stock. Textbooks in international economics will explain this.
2b] Data adjustment: splits. For the sample that you're using, one or more of your stocks may have had a split. The adjustment for a split is straightforward and common. You rescale the value of the stock before split by the amount of the split. There may be multiple splits in your sample. Check (e.g.) Yahoo Finance and the companies' own websites, which will tell you when splits occurred and what the splits were (e.g., 2:1, 3:2, 5:1). See an introductory text on the stock market for this.
3] Data sample. Yahoo Finance lists Samsung prices going back to 1999, so you can get a much longer series than you mention.
https://finance.yahoo.com/quote/005930.KS/
Samsung had its IPO in June 1975, so you should be able to get a long sample.
4] Exchange rate. You can get the exchange rate on a daily, weekly, or monthly frequency from many sources, including the Bank of Korea itself, Investing.com, or x-rates.com. These rates go back at least to 1999.
5] Data frequency. As we have discussed, monthly frequency is a good choice, assuming that you have all three series going back to 2000 (at least).
6] Data transformations. As discussed in class, you likely want to analyze your data in logs.
7] Analysis for Presentation #2. As discussed in class and in the Term Paper Guidelines, your Presentation #2 (including handout) should include the following items.
a] A description of the economic framework.
b] graphs of the data, including a discussion of adjustments that you needed to make (e.g., for the exchange rate and for splits).
c] Descriptive statistics, including ADF statistics.
d] Analysis of the relationship(s) between your series, including cointegration analysis.
Thank a lot. This pre is very important to me. If you can, please give me before 2025-3-3 12.pm EST
Presentation #2. Present your preliminary results. Length of presentation. Approximately 5 minutes. Handout. This should be two pages long maximum–no longer. At the top of the first side, give the title of your term paper, your name, your contact information, the date, and “SA.310.774, Spring 2025, Presentation #2”. For results, you might include: • graphs of the data; • the model(s) that you’ve developed, and/or the forecast(s) that you’re analyz-ing; • summary statistics of the models and their residuals and/or forecasts; and • preliminary findings or conclusions.
