
Chi Square !
Could you help me solve this question. Many thanks !
The DowJones daily returns for the period 19202006 under the normal likelihood show a
raw mean of 0.00020 and standard deviation of 0.01140. Skewness is 0.6673 and kurtosis
29.7454.
(a) Calculate the annual mean and variance.
(b) Calculate the JarqueBera statistic and perform the hypothesis test. Write down the
null and alternative hypotheses. Run a 2 test with 2 degrees of freedom. Refer to the
tables given for the chisquare distribution. (N = 19566)
(c) What does the term “normally distributed returns” mean? What do your results say
about nonnormality.
)
4
( ( 3)
6
3
2
JB N S K
Tail (right) 2 Tail (right) 2
0.5 1.38629
0.95 0.10259 0.25 2.77259
0.99 0.0201 0.1 4.60517
0.975 0.05064 0.05 5.99146
0.95 0.10259 0.025 7.37776
0.9 0.21072 0.01 9.21034
0.75 0.57536 0.005 10.5966