The following statistical tests were conducted on the daily prices and daily returns of Indusind Bank...
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The following statistical tests were conducted on the daily prices and daily returns of Indusind Bank stock prices and stock returns. The values distical denote the statistics and the numbers in the brackets denote the p-values corresponding to their hypotheses. the stat (5 + 6 = 11 Marks) Statistics Jarque Bera Shapiro Test ADF Test KPSS Test Ljung Box Stock Price 173.136 (<2.2e-16) 0.9409 (<2.2e-16) -0.04 (0.4840) 14.63 (<2.2e-16) 28410 (<2.2e-16) Stock Returns 103258.0(< 2.2e-16) 0.8527 (2.2e-16) -36.06 (<2.2e-16) 0.1278 (0.1) 43.89 (3.445e-06) (i) Provide the null hypothesis and alternate hypothesis to each of the tests (ii) Comment on (a) Normality (b) Stationarity and (c) Serial Correlation present in the stock prices as well as stock returns. Your answer to each point should be in the form of bullet points just highlighting the core inferences. Lengthy paragraphs will result in penalization of marks. The following statistical tests were conducted on the daily prices and daily returns of Indusind Bank stock prices and stock returns. The values distical denote the statistics and the numbers in the brackets denote the p-values corresponding to their hypotheses. the stat (5 + 6 = 11 Marks) Statistics Jarque Bera Shapiro Test ADF Test KPSS Test Ljung Box Stock Price 173.136 (<2.2e-16) 0.9409 (<2.2e-16) -0.04 (0.4840) 14.63 (<2.2e-16) 28410 (<2.2e-16) Stock Returns 103258.0(< 2.2e-16) 0.8527 (2.2e-16) -36.06 (<2.2e-16) 0.1278 (0.1) 43.89 (3.445e-06) (i) Provide the null hypothesis and alternate hypothesis to each of the tests (ii) Comment on (a) Normality (b) Stationarity and (c) Serial Correlation present in the stock prices as well as stock returns. Your answer to each point should be in the form of bullet points just highlighting the core inferences. Lengthy paragraphs will result in penalization of marks.
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i The null hypothesis and alternate hypothesis for each of the tests is as follows JarqueBera test T... View the full answer
Related Book For
An Introduction to Geotechnical Engineering
ISBN: 978-0132496346
2nd edition
Authors: Robert D. Holtz, William D. Kovacs, Thomas C. Sheahan
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