SUBJECT QUANTITATIVE RESEARCH
LECTURER Nurul Anisak, M.Sc.Fin
TIME 15.30 PM – 17.10 PM
DAY/DATE Thursday, March 25, 2019
VENUE PS.304
DEPT/PROGRAM Economics - IPIEF
TYPE/RULE Closed Book
- Please pray before and after doing your exam!
- Read carefully every single question, and provide your answers on the available sheets!
- You may use dictionary to help answer your exam!
- Any form of cheating is NOT entertained. Therefore, this exam is considered VOIDand will be calculated in your final results.
1. Mention all the differences between simple regression and multiple regression!
2. A regression model is good if it fulfilled all the BLUE (Best Linear Unbiased Estimates) assumption. What are criteria in BLUE assumption?
3. After regressing an export model estimation, the result appears below. What does the interpretation of this result!
4. Volatility clusters are typical for financial price and return series, exchange rates and inflation rates. In particular, high frequency observations likely to display volatility clustering that can be modelled by ARCH/GARCH methods. Mention the steps to do ARCH/GARCH process!
5. The figure below is the flowchart of analyzing data using VAR/VECM. Occasionally, the researchers will use IRF (Impulse Response Function) and FEVD (Forecast Error Variance Decomposition) to analyze the result.
Explain what are they?
MID EXAM, EVEN SEMESTER, 2019/2020 FACULTY OF ECONOMICS AND BUSINESS
INTERNATIONAL PROGRAM FOR ISLAMIC ECONOMICS AND FINANCE (IPIEF)
UNIVERSITAS MUHAMMADIYAH YOGYAKARTA
A. Interpret these test results!
1. What does this autocorrelation test mean?
2. What does this normality result tell you?
3. Explain all the highlighted results in the figure below!
4. Is there any cointegration in this VECM model based on this cointegration test ?
