Question set
1. Consider the Capital Asset Pricing Model that relates the excess return of a security to the market portfolio. The relevant data set (CAPM.xls) contains prices of different US stocks, S&P 500 index and the series of the US Treasury bills.
a) Estimate CAPM betas for each of the stock. [10 marks]
b) Examine the sizes and signs of the parameters in the regressions. Do these make sense? [10 marks]
c) Explain which of the stocks would you classify as defensive stocks and which as aggressive? [10 marks]
d) Do you agree that the CAPM provides some reasonable explanation of the variability of the returns to each of the stock? [10 marks]
e) Check if the CAMP model for FORD suffers from heteroscedasticity. Use a formal test to check that. [10 marks]
f) Can you use the standard errors in this regression if residuals are heteroscedastic? [10 marks]
g) For the model estimated in part e) formally test if the residuals are correlated? [10 marks]
h) How would you solve the problem of autocorrelation? [10 marks]
i) Suppose you want to regress GE log returns on FORD and S&P log returns. Would you expect to have multi-collinearity? Check it. [20 marks]
2. Select two of the stock series from the CAPM.xls, construct a set of continuously compounded returns, and perform a time series analysis of these returns using EViews which includes
a) An examination of the ACFs and PACFs. [25 marks]
b) An estimation of the information criteria for each ARMA model order from (0,0) to (2,2). [25 marks]
c) An estimation of the model that you feel more appropriate given the results from the previous two parts. [25 marks]
d) The construction of a forecasting framework to compare the forecasting accuracy of
i) Your chosen ARMA model [5 marks]
ii) An arbitrary ARMA(1,1) [10 marks]
iii) A random walk with drift in the log price levels (hint: this is equivalent to an ARMA(0,0) – a simple model with a constant). [10 marks]
[Total: 200 marks]
Access Control Methods
Security Question (60 points) Research some of the access control methods that are utilized within your organization. For example, does your organization leverage public key infrastructure (PKI), key card authentication, or login hours? If you are not currently working, what access control methods have you seen, and how effective were the control methods? Explore the […]
