1. ## Chi-square test.

I have an examtomorrow with this exercise, Could you give me the solution of it . you can read it in attached file question 4. Thank you

The Dow-Jones daily returns for the period 1920-2006 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 Jarque-Bera 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 chi-square distribution. (N = 19566)
(c) What does the term “normally distributed returns” mean? What do your results say
)
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

2. ## Re: Chi-square test.

Originally Posted by quangtuan0904
I have an examtomorrow with this exercise, Could you give me the solution of it . you can read it in attached file question 4. Thank you

The Dow-Jones daily returns for the period 1920-2006 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 Jarque-Bera 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 chi-square distribution. (N = 19566)
(c) What does the term “normally distributed returns” mean? What do your results say
)
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
This looks like work that counts towards your grade. MHF policy is to not knowingly help with such work. It's meant to be your own work. See rule #6: http://www.mathhelpforum.com/math-he...hp?do=vsarules.