Question: Compute the log returns for GM and plot the returns versus the log returns? How highly correlated are the two types of returns?

Compute the log returns for GM and plot the returns versus the log returns? How highly correlated are the two types of returns?

Step by Step Solution

★★★★★

3.38 Rating (160 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock

Hence for the final analysis we can say that ... View full answer

blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Document Format (1 attachment)

Word file Icon

957-M-S-L-R (8436).docx

120 KBs Word File

Students Have Also Explored These Related Statistics Questions!

Q:

Regardless of your answer to Problem 6, use the two-factor model to estimate the correlation of the log returns for Ford and IBM.

Q:

We routinely use the normal quantile plot to check for normality. One can also use a chi-squared test. For that, we have to group the data into bins, converting numerical data into categorical data....

Q:

A time-series plot often helps you determine the appropriate model to use. For this problem, use each of the time series presented in the following table and stored in TsModel2. a. Plot the observed...

Q:

The file m-gmsp5008.txt contains the dates and monthly simple returns of General Motors stock and the S\&P 500 index from 1950 to 2008. (a) Build a GARCH model with Gaussian innovations for the log...

Q:

# R code to be used for Learning Exercise 1 ##############################################################################...

Q:

Using the attached R code (lel.R) get the daily equity prices data for the Japanese Nikkei 225 stock index for the period 2005/01/04-2021/12/31 from finance.yahoo.com (use Note that you need to make...

Q:

A. Using the attached R code (xolatilitv. Jel.R) get the daily equity prices data for the Japanese Nikkei 225 stock index for the period 2000/01/01-2018/07/29 from finance yahoo.com (use ticker...

Q:

Obtain the daily unadjusted closing prices of INTC, GLD, and the Nasdaq Composite for the year 2017 and compute the log returns. These data were shown in the displays in Figure 1.22. (a) Produce a...

Q:

The file m-pgspabt-6211.txt contains the monthly simple returns of Procter & Gamble stock, S&P composite index, and Abbot Laboratories stock from January 1962, to December 2011. Compute the log...

Q:

https://1drv.ms/x/s!Anee-EAKIxcMgWg7capPjqoHfYYo?e=4vDvFA USE THIS EXCEL FILE: daily spot prices for WTI Crude Oil (WTI) and Brent Crude Oil (BRENT), as well as daily prices for near-month WTI Crude...

Q:

In a particular reheat-cycle power plant, steam enters the high-pressure turbine at 5 MPa, 450C and expands to 0.5 MPa, after which it is reheated to 450C. The steam is then expanded through the...

Q:

Part C If 28.4 ml. of AgNO3 is needed to precipitate all the C1 ions in a 0.775-mg sample of KC1 (forming AgCl), what is the molarity of the AgNOs solution? 4 M- Submit Part D 773 Request Answer...

Q:

What is = norm.inv ( rand ( ) , 0 . 0 1 , 0 . 0 2 ) trying to calculate? It is generating a random daily return of an asset that has an average return of 1 % and standard deviation of 0 . 0 2 It is...

Q:

Supremacy Clause. The Federal Communications Act of 1934 grants the right to govern all interstate telecommunications to the Federal Communications Commission (FCC) and the right to regulate all...

Q:

An article in the Journal of Sound and Vibration (Vol. 151, 1991, pp. 383394) described a study investigating the relationship between noise exposure and hypertension. The following data are...

Q:

An article in the Journal of Environmental Engineering (Vol. 115, No. 3, 1989, pp. 608619) reported the results of a study on the occurrence of sodium and chloride in surface streams in central Rhode...

Q:

Show that in a simple linear regression model the point (x, y) lies exactly on the least squares regression line.

Q:

Predators is a multi-divisional firm involved in a number of infrastructure related projects spanning construction, engineering design, and power transmission. To finance its growth during this...

Q:

Provide detailed descriptions and show all calculations used to arrive at solutions for the following questions: 1. Community Hospital has annual net patient revenues of $150 million. At the present...

Q:

A Moving to another question will save this response, Question 9 "Explain, in details, the structure of an Mudharabah transaction. Give examples for its uses. Answer in no less than 50 words For the...