You are a risk analyst hired in 2015 by the management team of a big sales...
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You are a risk analyst hired in 2015 by the management team of a big sales company. One of your tasks is to analyze and make predictions on the net worth of the company as time evolves, based on all company's activities. To that end, you are given yearly records of the company's net worth from 1997 to 2014 as summarized in the following table: Year 1997 1998 1999 2000 2001 2002 Year Worth Year 2003 55.00 2009 4.40 10.55 2004 68.50 2010 23.20 2005 88.50 2011 38.70 2006 2012 141.55 89.80 44.00 2007 88.05 2013 148.75 49.50 2008 94.15 2014 150.90 Worth Worth 106.00 111.85 122.20 (3.1) Provide a graphical representation for the given time-series. (3.2) Does the time-series seem to follow a trend? If yes, which type of trend? Justify your answer. (3.3) Is the time-series covariance-stationary? Justify your answer. (3.4) Assess the level of heteroskedasticity. Is there a reason for concern? Justify your answer. (3.5) Assess the level of serial correlation. Is there a reason for concern? Justify your answer. (3.6) Conduct an AR(1) process on a new time-series obtained after a carefully chosen transforma- tion, and assess the level of serial correlation via an auto-correlation test. (3.7) Provide an estimate of the value of the time-series for 2015. You are a risk analyst hired in 2015 by the management team of a big sales company. One of your tasks is to analyze and make predictions on the net worth of the company as time evolves, based on all company's activities. To that end, you are given yearly records of the company's net worth from 1997 to 2014 as summarized in the following table: Year 1997 1998 1999 2000 2001 2002 Year Worth Year 2003 55.00 2009 4.40 10.55 2004 68.50 2010 23.20 2005 88.50 2011 38.70 2006 2012 141.55 89.80 44.00 2007 88.05 2013 148.75 49.50 2008 94.15 2014 150.90 Worth Worth 106.00 111.85 122.20 (3.1) Provide a graphical representation for the given time-series. (3.2) Does the time-series seem to follow a trend? If yes, which type of trend? Justify your answer. (3.3) Is the time-series covariance-stationary? Justify your answer. (3.4) Assess the level of heteroskedasticity. Is there a reason for concern? Justify your answer. (3.5) Assess the level of serial correlation. Is there a reason for concern? Justify your answer. (3.6) Conduct an AR(1) process on a new time-series obtained after a carefully chosen transforma- tion, and assess the level of serial correlation via an auto-correlation test. (3.7) Provide an estimate of the value of the time-series for 2015.
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ANSWER 31 Here is a graph of the net worth of the company over timeNet Worth of Company Over Time Graph32 Yes the timeseries seems to follow an overall upward trend although there are some periods of ... View the full answer
Related Book For
Finance Applications and Theory
ISBN: 978-0077861681
3rd edition
Authors: Marcia Cornett, Troy Adair
Posted Date:
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