Financial Econometrics Assessed Coursework 1
Normal Submission Deadline: 25th March 2026 (13:00 module Moodle page)
Late submission deadline, 10-working days after 26th March, 2026 (8th April)
This coursework (individual, not group work) counts for 50% of your overall assessment for this module. Please submit your completed answers (a maximum of 7 A4 pages excluding the appendix) to the module Moodle page. Please also submit all your EViews workings copied in the appendix to your coursework.
This coursework exercise should be completed individually. This coursework requires significant time commitment.
Learning Outcomes
This coursework assignment assesses the following learning outcomes (LO) of the module:
- Assess the properties and limitations of econometric methods as applied to the analysis of financial data.
- Formulate and test econometric models to examine different forms of financial data.
- Evaluate the results of econometric analysis.
Word Limit
The maximum word count for this exercise is 1500 words that includes everything between the start and completion of the answer, excluding tables, figures, footnotes and endnotes, and appendices, but including any in-text citations.
References and Additional Material
In answering the questions below, you must consult the relevant chapters of the recommended book, Introductory Econometrics for Finance by Chris Brooks and my lecture handouts, my EViews-based lab sheets and the help option in EViews
Help
If you require any clarification regarding this coursework assignment, please utilise the Q&A forum on the module Moodle page to reach me. Please also make full use of the help facility in EViews as well.
Software
EViews is the required software to carry out this coursework assignment.
Data
You have been provided with data about one stock, downloaded from Yahoo Finance. The data file containing your data is available on the module Moodle page. The Excel file name is your allocated stock name. Import your data into EViews.
In answering the questions below, you may wish to consult the help option in EViews.
- For your series, in EViews use the Genr option to calculate (i) the log of the price series, e.g. e=log (Adj Close), and (ii) the daily log returns (e.g. r=log(Adj Close)-log(Adj Close(-1))).
i. Examine the descriptive statistics for both e and r. What do you conclude about the distributions of e and r? Is e normally distributed? Is r normally distributed? Explain why/why not?
ii. Obtain the correlograms, and examine the autocorrelations and partial autocorrelations for both e and r. What do you conclude about the behaviour of e and r? Are they stationary/non-stationary?
iii. Are your conclusions about stationary/non-stationary of e and r confirmed by appropriate unit root tests?
- Estimate and select an appropriate ARMA (p,q) model for r In selecting your preferred model, use the information provided by:
i. The estimated coefficients (and their t-statistics or p values)
ii. Serial correlation in the residuals
iii. Information criteria.
Produce and report in your assignment a summary table similar to this.
(standard errors are in parentheses)
iv. Carry out forecasts (Ex-post Out of sample) of the e series for the last 10 observations (fixed forecasting horizon) for the competing models (i.e. AR(1), AR(2) …. MA(1), …., ARMA(1,1), ….) and choose the best model using the following criteria.
| AIC | SBC | RMSE | MAE | MAPE | THEIL |
v. Carry out forecasts (Ex-post Out of sample) of the r series for the 10 observations (10 periods ahead) using the chosen model from part 2(iv) [pay attention to the forecast summary statistics] and comment on your results.
vi.
| Out of Sample Horizon | 5 observations | 10 observations |
Professor Shabbar Jaffry
Please submit your final report to the drop box provided on the module Moodle page by the due date stated above. Essential workings, additional results and tables may be included as an appendix in your document.
It is your responsibility to process your report through the University Turnitin software. If your similarity score is higher than the maximum University recommended score of 24, your report will be treated according to the University plagiarism regulations.
Marks and feedback will be made available in 20 working days (on or before 22rd April 2026) of the original deadline.
Professor Shabbar Jaffry
Reference:
Brooks, Chris (2019), “Introductory Econometrics for Finance”, Fourth Edition, Cambridge: Cambridge University Press. (Chapters 6, 7, 8 and 9 for time series part of the module).
University Grade criteria (Levels 4–8) – General (generic) criteria applicable to essays, reports and aspects of projects and dissertations. However, your report is technical in nature and criteria is quite general.
| Grade Range | Criteria |
| 80+ | As below plus:
● Outstanding work – contains accurate, relevant material, demonstrates understanding of complex subject matter and is able to view it in a wider context. ● Shows originality and confidence in analysing and criticising assumptions, is aware of the limits of knowledge. Likely to add new insights to the topic and approaches the quality of published material. ● Evidence of extensive research, uses and presents references effectively. ● Outstanding quality in terms of organisation, structure, use and flow of language, grammar, spelling, format, presentation, diagrams, tables etc. |
| 70-79 | As below plus:
● Outstanding work – contains accurate, relevant material, demonstrates understanding of complex subject matter and is able to view it in a wider context. ● Shows originality and confidence in analysing and criticising assumptions, is aware of the limits of knowledge. ● Evidence of extensive research, uses and presents references effectively. Excellent in terms of organisation, structure, use and flow of language, grammar, spelling, format, presentation, diagrams, tables etc. |
| 60-69 | As below plus:
● Very good work – contains most of the information required, is accurate and relevant and demonstrates understanding of the subject matter and attempts to view it in a wider context. Shows some originality of thought with good critique and analysis assumptions, is aware of the limits of knowledge. ● Well-researched, good use and presentation of references. ● Very good in terms of organisation, structure, use and flow of language. |
| 50-59 | As below plus:
● Work that attempts to address the topic with some understanding and analysis, key aspects of the subject matter covered. ● Research extends to primary sources. Appropriately cited and presented references. ● Satisfactory presentation with respect to presentation, organisation, language, grammar, spelling, format, diagrams, tables etc. |
| 40-49 | ● Adequate work which attempts to address the topic with limited understanding and analysis.
● Some research using texts, Internet and key reference sources with reference citation and presentation according to convention. ● An attempt to follow directions regarding organisation, structure, use and flow of language, grammar, spelling, format, diagrams, tables etc. |
| 30-39 | FAIL – Anything which is inadequate in most or all of the following: length, content, structure, analysis, expression, argument, relevance, research and presentation. Work in this range attempts to address the question / problem but is substantially incomplete and deficient. Serious problems with a number of aspects of language use are often found in work in this range. |
| 0-29 | FAIL – No serious attempt to address the question or problem, and / or manifests a serious misunderstanding of the requirements of the assignment. Acutely deficient in all aspects. |
Make your financial econometrics work simple with expert help
The post Financial Econometrics Assessed Coursework 1 2026 | University of Portsmouth appeared first on Students Assignment Help UK.