Assignment 4: Volatility of Excess Returns

The Assignment

You can download the assignment here: 

Assignment 4: Volatility of Excess Stock Returns Download Assignment 4: Volatility of Excess Stock Returns

The Data

The data for the assignment is available here:

Assignment4.in7 Download Assignment4.in7 and Assignment4.bn7 Download Assignment4.bn7.

References

Glosten, Jagannathan, and Runkle (1993), “On the Relation between the Expected Value and the Volatility of the Download Glosten, Jagannathan, and Runkle (1993), “On the Relation between the Expected Value and the Volatility of the

Formal Requirements

You must hand in a report that (i) presents your graphical analysis, (ii) describes the econometric model, (iii) outlines the modeling progress (e.g., the approach you have taken, the alternative models you have estimated, etc.), (iv) presents your preferred model including interpretation and statements on economic and statistical significance, and (v) discusses the potential weaknesses of the model.

If you prefer, you are allowed to work in groups of up to three persons (not necessarily in the same exercise class as yours). The requirements and assessment criteria are the same for assignments written by one, two, or three persons.

The report must be a maximum of 12,000 characters including spaces (corresponding to 5 normal pages of text) plus 2 pages with output in the form of tables and graphs.

The report must be written in English.

Do not write your name on the assignment.

It must be handed in as a pdf document at the peergrade.io Links to an external site. website.

Also, see the hints and requirements in the assignment text.

Assessment Criteria

The assessment (grading) of the final exam is based on these assessment criteria:

Assessment Criteria Download Assessment Criteria

Please have these criteria in mind when you write your paper, and when you read the papers written by your peers.

The Deadlines

The deadline for the assignment is at 23:00 on Saturday, April 21

After handing in your assignment you are required to give peer feedback on two other assignments. The assignments will automatically be distributed for peer feedback on the peergrade.io Links to an external site..  platform. The peer feedback process is anonymous - so make sure not to write your name on the assignment.

The deadline for giving peer feedback is at 18:00 on Wednesday, April 25

We will collectively review and follow up on the assignment during the lectures. You can use the peer feedback to improve your assignment - it might be one of the three assignments in the exam...