using gretal express express the characteristic line of modern investment analysis from the CAPM , 2 MONTH BEFORE the 2008 financial crisis and 2 months after it. Using the time series Daily dow jones industrial average,risk free benchmark(3 month treasury, Standard deviation of market , assume 70 % SD of portfolio, before crash and 30 % after crash.)

| April 17, 2015

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Using gretal express the characteristic line of modern investment analysis for CAPM 2 month before 2008 crash, and 2month after the 2008 crash using time series data for daily DOW jones industrial average, bench mark interest rate ie 3 month treasury, Standard deviation of market , assume 70 % SD of portfolio, before crash and 30 % after crash.

Mathematical function , (is it linear in parametaers and variables) and empirical estimaton-  Expected return on portfolio =  Risk free rate  + Beta portfolio( SD PORTFOLIO/SD MARKET) X MARKET PRICE OF RISK

 

Estimate intercept model, non intercept model (4 regressions) Scatter plots, Examine residuals , coeffecients (Are they efficient) test for hetrostadicity, autou correlation. Report the results, do model need transforming. Test hypothesis   B2 = O . B2 NOT EQUAL TO ZERO. Choose the best model is there specification error.  Show characteristic line before after crash of choosen model out of the interecept non intercept(risk premium form)

Obtain daily $, gold , oil 2months before crash, 2 months after crash. Show individual scatter plot. Regress each on DJIA(before n after crash). Normality tests.

Using these variables add to characteristic ;ine choosen(intercept/non intercept), estimate unrestricted multiple regressiom. Report resilts

Comment on stationarity (detect/remedial measures)

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