” 辅导RM708/BUS386编程语、R编程语言 写作Queens CollegeEconomics and Business DepartmentSpring 2020 RM708/BUS386 Final Exam ProjectNotes:1) In order to solve these exam questions, you will need to install the TSA package first in case youhavent already, then you will need to load it with the command library(TSA).2) You can copy and paste your RStudio outputs to the corresponding questions, along with yourwritten answers.3) Your RStudio codes themselves can be pasted in the appendix section of your final document,along with the question numbers they are meant for.I. In this exercise you will use time series analysis techniques to model and forecast monthlySP500 price index data.a) Load the SP500 data file attached to this question file and examine its structure, on the basis ofthe information you will generate after having done the following:i)Plot the log(price)ii) Plot the ACF as well as the PACF of log(price) 辅导RM708/BUS386作业、R编程语言作业 写作、R程序作业调试、data作业 写作iii) Comment and specify what order of ARIMA model you would recommend.b) Fit and examine the ARIMA model recommended in question a).c) Examine the model residuals. Are the residuals well behaved? Are they reasonably independentand normal?d) Plot a 36 months dynamic and static ahead forecast of log(price) series, and make a commenton your plot projections.II. In this exercise you will analyze the volatility of monthly SP500 returns.a) Load the SP price index data file, and examine its structure on the basis of the information youwill have gathered from doing the following:i)Use the SP price index to calculate the SP500 monthly returns.ii) Plot the series of returns over the time.iii) Plot the ACF and the PACF of the returns.iv) Plot the ACF and the PACF of the squared returns.v) Compute the mean of the returns, and test whether the mean return is equal to zero orgreater, with a 5% significance level.vi) Comment and specify what GARCH model you would recommend.b) Fit and examine the GARCH model recommended in question a).c) If possible (if you can do that), examine the residuals.Good Luck to you all!Sincerely,Franois De Paul Silatchom如有需要，请加QQ：99515681 或邮箱：99515681@qq.com
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