Econometrics Work

Within this paper we report an in-depth study of the calculation of econometric indicators on selected stocks. In this case we were asked to identify three of the largest Italian listed companies and based on their stock performance calculate the required econometric parameters.

In the first part of the paper we focused on the predictability of returns while the second part will be vertical on the application from CAPM (Capital Asset Pricing Models). Then the representation of values with the ARMA (Autoregressive moving-average model) will be deepened while in the last part insights will be made on the GARCH heteroschedasticity (Generalized AutoRegressive Conditional Heteroskedasticity) of the returns obtained from the selected stocks.

following this link you can find the database and matlab code: https://drive.google.com/drive/folders/1ODDyKvLyrVbfl_aocoxsQpeVRl3iIoCj?usp=sharing

Econometrics.pdf

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