ECON42115
Financial Modelling & Business Forecasting
Postgraduate Programmes 2022/23
1
SUMMATIVE ASSIGNMENT – ECON42115
Financial Modelling and Business Forecasting
You will be given a unique set of five commodities price series to analyse, both
individually and as a group. These will be provided to you later in the module. Your
assignment should be written as a single report covering the following tasks.
Assignment Tasks
1. Using the daily commodity dataset from WRDS provided to you in the module extra
and plot the time matched cumulative return series for your given five commodities.
[10 Marks]
2. Conduct an out-of-sample ARMA forecasting analysis for your commodity priced over
a forward-looking time frame of at least one year. Ensure your forecast contains
appropriate representations of the anticipated uncertainty of the commodity price
(for instance using a fan plot).
[10 Marks]
3. Using a suite of unit root tests assess whether there is sufficient statistical evidence to
suggest the presence of a unit root in the log price process.
[10 Marks]
4. Using an appropriate test, test to see if there are any candidate breakpoints in your
data.
[15 Marks]
5. Combining all your time series into a single group analysis to determine if there is
evidence of at least one cointegrating vector using the Engle-Granger two step
method.
[15 Marks]
6. Using the Johansen FIML trace and/or maximal eigenvalue test, determine the likely
number of cointegrating vectors and compare your result to part (5).
[15 Marks]
7. Using an appropriate inference technique determine the degree of causality between
the five-commodity series and summarise your result.
[15 Marks]
8. Use appropriate plots and tables to illustrate your answers to each of the seven tasks
above. This analysis should only utlize the “R” programming language, you will need
to attach your properly annotated R code as an appendix to your assignment.
[10 Marks]
ECON42115
Financial Modelling & Business Forecasting
Postgraduate Programmes 2022/23
2
Each of your sections should have a minimum 150 to 300 words of text to explain your
approach and provide a summary of how you have interpreted the results. You are
NOT required to provide any mathematical examples or derive any of the models, refer
to sections and pages either in your textbook or the lecture slides if necessary. Extra
credit will be given to a neat and carefully structured and presented assignment.
Overall word limit: 2500
SUBMISSION INSTRUCTIONS
Your completed assignment must be uploaded to Learn ULTRA
no later than 11:59am (UK time) on 5th May 2023.
It is your responsibility to back up your work. IT issues are not a valid reason
for a late submission.
You should back up your work on more than one device.
A penalty will be applied for work uploaded after 11:59am as detailed in the
Late submission policy. You must leave sufficient time to fully complete the
upload process before the deadline and check that you have received a
receipt. At peak periods, it can take up to 30 minutes for a receipt to be
generated.
Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font.
Assignments and dissertations/business projects must not exceed the word count
indicated in the module handbook/assessment brief.
The word count should:
▪ Include all the text, including title, preface, introduction, in-text citations, quotations,
footnotes and any other items not specifically excluded below.
▪ Exclude diagrams, tables (including tables/lists of contents and figures), equations,
executive summary/abstract, acknowledgements, declaration, bibliography/list of
references and appendices. However, it is not appropriate to use diagrams or
tables merely as a way of circumventing the word limit. If a student uses a table or
figure as a means of presenting his/her own words, then this is included in the word
count.
ECON42115
Financial Modelling & Business Forecasting
Postgraduate Programmes 2022/23
3
Examiners will stop reading once the word limit has been reached, and work beyond
this point will not be assessed. Checks of word counts will be carried out on submitted
work, including any assignments or dissertations/business projects that appear to be
clearly over-length. Checks may take place manually and/or with the aid of the word
count provided via an electronic submission. Where a student has intentionally
misrepresented their word count, the School may treat this as an offence under
Section IV of the General Regulations of the University. Extreme cases may be viewed
as dishonest practice under Section IV, 5 (a) (x) of the General Regulations.
Very occasionally it may be appropriate to present, in an appendix, material which
does not properly belong in the main body of the assessment but which some students
wish to provide for the sake of completeness. Any appendices will not have a role in
the assessment - examiners are under no obligation to read appendices and they do
not form part of the word count. Material that students wish to be assessed should
always be included in the main body of the text.
MARKING GUIDELINES
Performance in the summative assessment for this module is judged against the
following criteria:
• Relevance to question(s)
• Organisation, structure and presentation
• Depth of understanding
• Analysis and discussion
• Use of sources and referencing
• Overall conclusions
The word count should include all the text (plus endnotes and footnotes), but
exclude diagrams, tables, bibliography, references and appendices. Guidance on
referencing can be found on Sharepoint; Examinations and Assessment
(sharepoint.com)
PLAGIARISM AND COLLUSION
Students suspected of plagiarism, either of published work or the work of other
students, or of collusion will be dealt with according to School and University
guidelines.
Your assignment will be put through the plagiarism detection service.
END OF ASSESSMENT