Question
You are required to produce your individual submission. Select a financial time-series dataset and apply several risk analysis approaches for estimating the volatility and future
You are required to produce your individual submission. Select a financial time-series dataset and apply several risk analysis approaches for estimating the volatility and future trend of the selected time series data. You can choose any type of financial time series indicator, such as stock returns, interest rates, exchange rates, option prices etc. Your selected data could be daily or monthly for a number of years to ensure a minimum 100 observations
Detailed marking scheme and instructions:
1. Introduction (15%) Aims and objectives of the report. Rationale of your choice of the data and estimation period. Short brief of methodologies applies in the work and provide the outline structure of the report at the end of the section.
2. Literature Review on Market Risk Models (25%) Literature review on various approaches in risk analysis, such as Historical Simulation, Value at Risk, simple variance/covariance approach, ARCH/GARCH models
3. Data Collection (15%) Source and data description. Descriptive statistics and its implications in finance. Please use tables and graphics to support your descriptive statistics.
4. Methodology and Findings Analysis (35%) Demonstrate 2-3 models you conducted for estimating the volatility and Value at Risk for the selected time series data. Include equations, tables, charts, graphs to demonstrate the modelling process and results. Compare results from different modelling process and critically analyse their implications in the real finance world.
4. Academic Referencing (5%) APA citing and Referencing Style.
5. Overall Quality of the Presentation and Structure of the Report (5%) Clear, logical, imaginative, creative and original. Apply academic writing skills and level of written English expected from a Master level submission, including using of subject specific languages.
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