Question

In: Statistics and Probability

1. The data below show the volume of transactions​ (in hundreds of​ thousands) in shares of...

1. The data below show the volume of transactions​ (in hundreds of​ thousands) in shares of a corporation over a period of 12 weeks. Using these​ data, estimate a​ first-order autoregressive​ model, and use the fitted model to obtain forecasts of volume for the next 3 weeks.

Week   Trading Volume
1   27.8
2   14.6
3   14.4
4   13.8
5   23.4
6   17.8
7   7.2
8   25.3
9   21.8
10   17.2
11   26.5
12   21.5

The estimated​ first-order autoregressive model is x^t = (?) + (?)xt-1

Solutions

Expert Solution

Using Excel:

Make First order Autoregression model:

First Enter the data:

Now Copy all values from Trading Volume and then paste in 3rd row for first lag or first order:

Then copy data from 3rd row to 13th row and paste to other columns:

Noe use data analysis toolpak of excel:

steps: Data-->Data Analysis-->Regression

Select trading volume in input Y range and lag1 in input X range then click to Ok.

if you are select the data with variable name from two column then tick on the labels

output:

Then estimated​ first-order autoregressive model is x^t = 21.492 - 0.156*(xt-1)

Now Forcast trading volume for next 3 weeks:

use FORECAST function:

=FORECAST(week, trading volume, lag1)


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