Instructions
The assignment is to be undertaken in groups of a maximum of 6
individuals. Where applicable the analysis should be carried out using the R
software
Q1
Explain
the meaning of the following terms
a) State-space models (3
marks)
b) Kalman filter (3
marks)
c) ARCH models (2
marks)
d) Stochastic
volatility models (2
marks)
Q2
Refer to the attached
data.
a)
Make
a plot the data and comment on it.
(10 marks)
b)
Perform
trend estimation with yearly running means and show its plot
(5 marks)
c)
Obtain
the monthly seasonal effect and display the associated plot
(5 marks)
d)
Compute
the estimates of the error term and create its plot.
(5 marks)
e)
Draw
the correlogram up to lag 100
(5 marks)
f)
Fit
an MA(5) and use it to forecast sales for 2015, 2016 and 2017
(5 marks)
g)
Fit
an AR(3) and use it to forecast sales for 2015, 2016 and 2017
(5 marks)
h)
Fit
an ARMA(3,5) and use it to forecast sales for 2015, 2016 and 2017
(5 marks)
i)
Compare
the adequacy of fit of the 3 models above.
