Capstone project RS 205

The capstone pulls the whole course together into one piece of work you could show an employer or a professor. Do it after the ten modules. You mark it yourself against the rubric below; it is one of the two requirements for the certificate, with the final exam.

The brief

Produce a statistical profile of one stock against its home index using ten years of monthly data and three years of daily data. Required:

1. descriptive statistics and histograms of monthly returns for both, with skewness and excess kurtosis
2. a count of daily moves beyond three standard deviations against the normal prediction
3. a 95% confidence interval for each mean return
4. the correlation, full-period and rolling
5. a market-model regression with alpha, beta, standard errors, t-statistics, R-squared and a residual plot
6. a rolling volatility chart with comments on clustering
7. one-day 95% VaR by two methods for a $50,000 position
8. a half-page conclusion stating what the data can and cannot support about this stock

Rubric

Score each criterion out of its weight, honestly. A total of 70% or more is a pass. If you score lower, revise the weakest part and mark it again.

Mark it complete