2431 Assignment2 
BEO2431 Risk Management Models ~ Semester 2, 2014
Assignment 2
Task 1
For each stock price compute and plot the return (RT) as:
RT = ((Pt – Pt-1)/P t-1)
Stock Prices (Weekly Data: 02/01/2006 to 30/06/2014):
ASX200 = ASX200 Index
WBC = Westpac
ANZ = ANZ Bank
BHP = BHP Billiton
WOW = Woolworths
TLS =Telstra
1. Comment on the volatility and volatility clustering of the returns
1) The Plot of ASX200 Return in Australia Share Market
The ASX200 Return diagram demonstrates the share return from 2nd Jan 2006 to 30th Jun 2014. It shows high volatilities between Aug 2007 to Jun 2010 and Jul 2011 to Jan 2012, the returns of US dollar, and this turbulence in Australia stock market may cause by bad economic news and unstable economic environment. Also, there was a huge market crash happened in 6 Oct-2008, it had a return rate of -0.1564.
During the period of time, some low volatility appeared as well, which is between the good and stable economic grows time, from Jan 2006 to Aug 2007, Jun 2010 to Jul 2011 and Jan 2012 to Jun 2014.
Overview of ASX200 Return, the low volatilities appeared more frequent than high volatilities. Except the year from 2007 to 2010, the overall trend of Australia share market represented by ASX200 is reasonable stable, and the market crash happened only once during 7 years.
2) The Plot of BHP Return in Australia Share Market
The diagram of BHP Return indicates the share preference of BHP share’s return in Australia market. During the time of Aug 07 to Jun 09 there was a high volatility period, the fluctuation of this share return was frequently. This may cause by bed economic environment and situation. Especially, there was a serious market crash happened on 17th Nov 2008 (-0.1705). However, the time from 2007 to 2009, in this period, the market performed as a low volatility, This stage reflected the good economics in the stock market of Australia and the investors might feel more confident about future economic conditions.
Assignment 2
Task 1
For each stock price compute and plot the return (RT) as:
RT = ((Pt – Pt-1)/P t-1)
Stock Prices (Weekly Data: 02/01/2006 to 30/06/2014):
ASX200 = ASX200 Index
WBC = Westpac
ANZ = ANZ Bank
BHP = BHP Billiton
WOW = Woolworths
TLS =Telstra
1. Comment on the volatility and volatility clustering of the returns
1) The Plot of ASX200 Return in Australia Share Market
The ASX200 Return diagram demonstrates the share return from 2nd Jan 2006 to 30th Jun 2014. It shows high volatilities between Aug 2007 to Jun 2010 and Jul 2011 to Jan 2012, the returns of US dollar, and this turbulence in Australia stock market may cause by bad economic news and unstable economic environment. Also, there was a huge market crash happened in 6 Oct-2008, it had a return rate of -0.1564.
During the period of time, some low volatility appeared as well, which is between the good and stable economic grows time, from Jan 2006 to Aug 2007, Jun 2010 to Jul 2011 and Jan 2012 to Jun 2014.
Overview of ASX200 Return, the low volatilities appeared more frequent than high volatilities. Except the year from 2007 to 2010, the overall trend of Australia share market represented by ASX200 is reasonable stable, and the market crash happened only once during 7 years.
2) The Plot of BHP Return in Australia Share Market
The diagram of BHP Return indicates the share preference of BHP share’s return in Australia market. During the time of Aug 07 to Jun 09 there was a high volatility period, the fluctuation of this share return was frequently. This may cause by bed economic environment and situation. Especially, there was a serious market crash happened on 17th Nov 2008 (-0.1705). However, the time from 2007 to 2009, in this period, the market performed as a low volatility, This stage reflected the good economics in the stock market of Australia and the investors might feel more confident about future economic conditions.