C39RF Applied Financial Modelling in Python Case Study 2Python

Java Python Subject: C39RF Applied Financial Modelling in Python Case Study 2

Date: Submission deadline:  12th of April, 5pm UK time and 8pm Dubai time,  and midnight (23:59) Malaysia time.

1.  Download daily adjusted close price stock market data from Yahoo Finance for the period January 2016 to December 2023 for the two corporations you have used for Case Study 1 (only if you correctly chose the two corporations, otherwise choose new company data). The stock market prices should be for firms from two different industries. You should use a data scraping method. At the same time download the daily prices for the stock market index you used for Case Study 1 as well as the daily VIX index. In a Markdown cell explain which stock prices and index you have downloaded and the rationale for deciding on this particular data set (maximum 100 words). 2 marks

2.  Create a new dataframe. with your data.  Make sure the index column is not displayed.  2 marks

3.  If your data is of the same magnitude, plot a timeline of your four time series (prices) in a single plot. Otherwise plot them separately. Make sure the timeline (date) is visible. Name the axes and give a title. Also provide a legend. Discuss the figure in a Markdown cell in 100 words. 3 marks

4.  Save the dataframe as a csv file. You will have to submit this file along with your Jupyter Notebook ipynband html files. 1 mark

5.  Calculate the daily first differenced/log returns from the prices (or exchange rates, whatever is the case) for your three variables and calculate only the first difference for the VIX index. Check for missing values in your four variables and remove them. Display and inspect the head of the dataset to show there are no missing values. 8 marks

6.  Test your four variables for stationarity. Print your results displaying the test statistic, p- values and critical values. Discuss your results in a Markdown cell in maximum 200 words.   10 marks

7.  Create a new dictionary with your four variables (returns, and not the prices),then transform it to a dataframe. and save it as a csv file. You should upload this fileto the Assessment page.   6 marks

8.  Run a Vector Autoregression (VAR) using the returns. Display the results and discuss these in a Markdown cell in maximum 300 words. Don’t forget to explain the rationale of running a Vector Autoregression model using your variables and what do you expect to see in your& C39RF Applied Financial Modelling in Python Case Study 2Python nbsp;data. 6 marks

9.  Determine the correct lag order before you re-run your VAR model. Discuss the results in a Markdown cell in maximum 100 marks. Explain the rationale of having to determine the lag order. 3 marks

10.  Refit the VAR model with the correct number of lags. Discuss the results in a Markdown cell in maximum 200 words. 4 marks

11.  Plot the Impulse Responses and discuss the plots in a Markdown cell in maximum 400 words.  Discuss the plots and explain the rationale of determining the impulse responses using the chosen variables. 8 marks

12.  Run a Granger Causality test using your four variables (returns). Discuss your results in a Markdown cell in maximum 150 words. Explain the rationale of testing for Granger causal- ityin your chosen variables. 6 marks

13.  Download daily adjusted close values for a cryptocurrency (other than Bitcoin or Ethereum) from Yahoo Finance for the period January 2019 - December 2023. This data can be some- thing you have either downloaded for Case Study 1, or something new. Calculate the first differenced log returns, remove missing vales, transform. the data into a dataframe, examine the first 5 and last 5 rows of the data, plot the crypto returns’ series over time and save the data as a csv file. You will have to upload this fileto the Assessment. Discuss the plot and explain in a Markdown cell the rationale of downloading this particular cryptocurrency in maximum 150 words. 7 marks

14.  Model the volatility for your chosen cryptocurrency returns. Provide relevant figures and save your data as a csv file. Upload the fileto the Assessment page. Go through all the steps necessary to be able to run a GARCH model.  Discuss your figure(s) and results in light of relevant hypotheses in maximum 300 words. 17 marks

15.  Re-download the daily adjusted close values for the period 2000-2019 for your chosen index. Test for the day-of-the-week effect in the index. Go through all the steps necessary to be able to model seasonality. Provide relevant figures and save your data as a csv file, then upload it to the Assessment page. Discuss your figure(s) and results in light of relevant hypotheses in maximum 300 words. 17 marks

Total 100 marks

Don’t forget the following:

• Make sure you show all of the outputs (solutions, plots, etc) before downloading the ipynb and html files.

• Download the ipynband html scripts and upload them to the Assessment page.

• Upload all the csv files to the Assessment page