Plot the returns time series graph correctly labelled

DUE: Wednesday 16 March 10.30 a.m. Hand in 1,3,4,5,6,7,8,9

MARKS: 10

3. Plot the prices on a time series graph (correctly labelled).

4. Use Excel to calculate the first six sample autocorrelation coefficients of the daily returns i.e. up to 6 lags. (Hint: there is no need to create the lagged series.) Formally test at the 5% level of significance whether the first autocorrelation coefficient of this series is zero.

(Squares of returns are used as a proxy for volatility ) Which two periods do you
consider the most volatile? Use a two month window, clearly indicate the windows on one of your graphs.

9. October 07 – February 09 was a period of considerable turmoil in financial markets. Was the variance of returns for this defensive stock in this 17 month period greater than that of the following 16 month period, i.e. March 09 – June 10? Specifically, use the returns from 1/10/07 to 27/2/09 and 2/3/2009 to 30/6/2010, test at the 5% level of significance.

Excel should be used to perform the calculations and graphing.