I completed an advanced econometrics assignment using MATLAB, combining rigorous theoretical exercises with extensive empirical applications. The theoretical part included the derivation and evaluation of estimators, linear combinations and optimality conditions, multivariate regression model specification and OLS properties, joint hypothesis testing, large-sample approximations, and ARCH/GARCH models for time-varying volatility.
The empirical section involved in-depth financial data analysis using real market data. It covered:
- Computation and analysis of daily and monthly returns for the S&P 500 index and selected individual stocks
- Volatility dynamics and distributional properties of returns
- Performance analysis of Fama-French portfolios and factor models
- Estimation and time-series testing of the CAPM (beta, alpha, and risk premium)
- Cross-sectional regressions and model comparisons between CAPM and multi-factor models
- ARMA-GARCH modeling with diagnostic testing (residual analysis, ACF/PACF, etc.)
MATLAB was used throughout for simulation, estimation, and visualization, with code included in the final report.