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Assignment 2 Forecasting

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tahshan tonmoy
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33 views2 pages

Assignment 2 Forecasting

Uploaded by

tahshan tonmoy
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Assignment 2

Tahshan Hossain Tonmoy

02/04/2022

(a)

The output depicts the coefficient between Volkswagen, and the Dow Jones index is 0.7782.
It means a positive relationship between the stock and the index. The risk and return of
Volkswagen stock are sensitive to Dow Jones Index. If the index goes up, the Stock price
also goes up, and if the market return goes down, the stock price also goes down.

(b)
To conduct event analysis, I consider the months from July 2015 to November 2015
volatility during the scam. To do that, I have created dummy variables for those five
months and created a model considering those five months.
(c)

(d)
According to this output, we can see Volkswagen stock's overall risk and return, and Dow
Jones Index has a coefficient of 0.7452. Still, from July 2015 to November 2015, the
coefficient changed significantly during the scam. During that period investing in
Volkswagen stock was riskier because the store was highly sensitive to the risk and return
of the overall index. In September 2015, the stock and the index had a coefficient of -
35.1259, which means when the index goes up, the stock price goes down and vice versa.

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