Course work for EC7105 Business and Financial Forecasting.This coursework should be performed individually. There are three exercisesbelow, all should be undertaken. Each piece of work should focus on a writtenaccount of the techniques as well as the pure computation involved. The mainpart of the marks will be awarded for the written description of the work.You may obtain suitable data from any source, including the course Blackboardsite.1. Using a suitable piece of exchange rate data perform the Box Jenkinsidentification process and then use the resulting model to forecast theexchange rate 5 periods into the future.2. Using some data from, at least three points on an interest rate yield curvederive the common factors underlying the original data. How would youchoose the appropriate number of factors to use in a forecasting modeland how would you build a factor augmented VAR.3. Using a suitable stock market index build a model of the conditionalvariance and then forecast this variance for 5 periods into the future.
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