Exam Details
| Subject | time series econometrics | |
| Paper | ||
| Exam / Course | m.b.a. in business analytics | |
| Department | ||
| Organization | alagappa university | |
| Position | ||
| Exam Date | April, 2018 | |
| City, State | tamil nadu, karaikudi |
Question Paper
M.B.A. DEGREE EXAMINATION, APRIL 2018
Third Semester
Business Analytics
TIME SERIES ECONOMETRICS
(2016 onwards)
Time 3 Hours Maximum 75 Marks
Part A (10 X 2 20)
Answer all questions.
1. What do you understand by MSE?
2. Briefly explain Mean Absolute Deviation.
3. Define volatility.
4. What are return data?
5. Write a note on regression,
6. What is unit root test?
7. What for cointergration test used?
8. Define variance.
9. Write a note on Value at Risk.
10. Define downside risk.
Sub. Code
33
CP-8791
2
Wk 6
Part B X 5 25)
Answer all questions.
11. Discuss about time series components.
Or
Explain Holt models.
12. Explain Riskmatrix model.
Or
Explain the followings: Asymmetry Fat tails.
13. Discuss about autocorrelation and its applications.
Or
What is ARMA model? Explain.
14. Write a note on ganger causality test and its
applications.
Or
Elucidate about error correction model.
15. Differentiate option implied volatility and GARCH.
Or
Explain GARCH model.
Part C X 10 30)
Answer all questions.
16. Explain how forecasting through averaging and
exponential smoothing is made.
Or
Explain ARIMA Model.
17. What are the parameters for instability? Explain.
Or
Explain VAR.
18. Explain a model to estimate and test international
stock indices with appropriate example.
Or
Explain ARCH in detail.
———————
Third Semester
Business Analytics
TIME SERIES ECONOMETRICS
(2016 onwards)
Time 3 Hours Maximum 75 Marks
Part A (10 X 2 20)
Answer all questions.
1. What do you understand by MSE?
2. Briefly explain Mean Absolute Deviation.
3. Define volatility.
4. What are return data?
5. Write a note on regression,
6. What is unit root test?
7. What for cointergration test used?
8. Define variance.
9. Write a note on Value at Risk.
10. Define downside risk.
Sub. Code
33
CP-8791
2
Wk 6
Part B X 5 25)
Answer all questions.
11. Discuss about time series components.
Or
Explain Holt models.
12. Explain Riskmatrix model.
Or
Explain the followings: Asymmetry Fat tails.
13. Discuss about autocorrelation and its applications.
Or
What is ARMA model? Explain.
14. Write a note on ganger causality test and its
applications.
Or
Elucidate about error correction model.
15. Differentiate option implied volatility and GARCH.
Or
Explain GARCH model.
Part C X 10 30)
Answer all questions.
16. Explain how forecasting through averaging and
exponential smoothing is made.
Or
Explain ARIMA Model.
17. What are the parameters for instability? Explain.
Or
Explain VAR.
18. Explain a model to estimate and test international
stock indices with appropriate example.
Or
Explain ARCH in detail.
———————
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