ECMT2130: Financial econometrics Tutorial 02: Financial returns

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ECMT2130: Financial econometrics

Tutorial 02: Financial returns

This week you use R with daily and monthly data on nancial rates of return for 49 US indus- tries. An understanding of the characteristics of nancial returns data is central to understanding the models we will be learning to use through the rest of the course. While most of the code is provided for you to get the statistics you need to analyse for other questions, you will need to be able to use this code in future assignments and assessments. Make sure you understand the code that is provided with each question.

This assignment also builds important new R skills:

1. Loading data from Excel les

2. Installing and accessing packages to extend the functionality of R

3. Working with data stored as an extended time-series (XTS object) (this is a way of storing data so that the date information about each observation is easy to work with).

If you have trouble with package installation or usage, watch the help video that is available on Canvas. If that does not help, let us know! It is easy for package installation to go wrong and the xes are usually simple.

1 R assignment

1. Download the starting point script for this assignment and set it up in an R project in the usual way.

2. Modify and run the code in the script to answer the various questions in the Canvas quiz (they are also embedded in the comments in the starting point script).

3. Enter your results into the Canvas quiz for this week’s assignment.