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The project consists of three parts. The submission of this project will consist of two attachments:1.A Word document that is prepared according to the APA standards of formatting. In the Word document, explain the experiments and their respective conclusions, and additional information as indicated in each problem
Either an Excel workbook or an R script file (.R file) that contains all the work and the calculations indicated in parts 1-3 of the project. Please save your Excel workbook or R script file
Part 1: Short-term Forecasting:
(i)Use a simple line plot of both time series to detect seasonal, irregular, or trend behaviors if any. Write a summary of your observations of both time series in your report.
(ii)Perform exponential smoothing to forecast both pricesfor period 253. Use successive values of 0.15, 0,35, 0.55, and 0.75for the smoothing parameter ?. Next, calculate the MAPD (Mean Absolute Percentage Deviation)of each forecast; and based on the MAPDs, determine the value of ?that has yielded the most accurate forecastfor each stock. In your report, describe your results; and explain whyin your opinionsuch valuesof ?haveyielded the most accurate forecasts for the two stocks.
(iii)Use your exponential smoothing forecast of part (ii) with ?=?.55and perform an adjusted exponential smoothing to forecast both prices for period 253. Use successive values of 0.15, 0.25, 0.45, and 0.85for the trend parameters?for both stocks. Next, calculatethe MAPEs(Mean Absolute Percentage Error) of your forecasts anddetermine the valuesof ?that haveprovided the most accurate forecasts for both stocks. In your report, describe your results and explain why, in your opinion,such valuesof ?have yielded the most accurate forecasts.
Part 2: Long-term Forecasting
(i)For each stock, use a 3-period weighted moving averages to forecast its value during periods 1 through 100. Use the weights 0.5(for the most recent period), 0.3 (for the period before the most recent), and 0.2 (for two periods ago). Next, use the observedvalue for period 101as the base of a linear trend, and use that linear trend to forecast the values of both stocks for periods 101 through 257. Write a summary of your results in your report. Describe how accurate this method of forecasting has been by comparing the forecasted values for periods 253-257 with their actual “Close”values on those specific days (Hint: check the actualvalues on
https://finance.yahoo.com
).
(ii)Calculate the MAPEs (Mean Absolute Percentage Error) of your forecasts in question (i) above andcompare them with the values obtained for your forecasts in Part 1.For each stock, describe which method has yielded a most accurate forecast.
Part 3: Regression:
(i)For each stock, use simple regression of stock values versus the time periods to predict its values for periods 1 through 257. In your report, describe how the accuracy of this prediction has been compared to the methods used in Parts 1 and 2 of this project
(ii)Perform a residual analysis of your simple regression to verify whether regression is appropriate to use for each of the given data. In particular, determine:
•Whether the residuals are independent
•Whether the residuals are homoscedastic
.•Whether the residuals are normally distributed by plotting a Normal probability plot of the residuals
•Whether the residuals are normally distributed by performing a Chi-squared test for Normality of the residuals
.After completing parts 1-3 and in your report, respond to the following question. Note this question is subjective, and it does not necessarily have only one correct answerat this stage of the course
.Question: Supposethat you have decided to form a portfolio ?(Pi)consisting of the above two stock types (denote a share value of AAPL by ?and that of HON by ?). You are however undecided as to what percentage of your investment should be allocated to the AAPL shares and what percentage should be allocated to HON shares. Let thesepercentages be denoted by P and Q respectively(Obviously, P + Q=100%). In your opinion, what are good values to select for P and Q
Date
11/8/2019
11/11/2019
11/12/2019
11/13/2019
11/14/2019
11/15/2019
11/18/2019
11/19/2019
11/20/2019
11/21/2019
11/22/2019
11/25/2019
11/26/2019
11/27/2019
11/29/2019
12/2/2019
12/3/2019
12/4/2019
12/5/2019
12/6/2019
12/9/2019
12/10/2019
12/11/2019
12/12/2019
12/13/2019
12/16/2019
12/17/2019
12/18/2019
12/19/2019
12/20/2019
12/23/2019
12/24/2019
12/26/2019
12/27/2019
12/30/2019
12/31/2019
1/2/2020
1/3/2020
1/6/2020
1/7/2020
Period
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
AAPL (Apple Inc) / $
63.95
64.46
64.40
65.02
64.57
65.34
65.67
65.47
64.70
64.41
64.36
65.49
64.97
65.85
65.70
64.94
63.78
64.35
65.29
66.55
65.62
66.00
66.57
66.74
67.64
68.80
68.94
68.77
68.84
68.70
69.82
69.89
71.27
71.25
71.67
72.19
73.84
73.12
73.70
73.36
AAPL (Apple Inc) / Volume
69986400
81821200
87388800
102734400
89182800
100206400
86703200
76167200
106234400
121395200
65325200
84020400
105207600
65235600
46617600
94487200
114430400
67181600
74424400
106075600
128042400
90420400
78756800
137310400
133587600
128186000
114158400
116028400
98369200
275978000
98572000
48478800
93121200
146266000
144114400
100805600
135480400
146322800
118387200
108872000
1/8/2020
1/9/2020
1/10/2020
1/13/2020
1/14/2020
1/15/2020
1/16/2020
1/17/2020
1/21/2020
1/22/2020
1/23/2020
1/24/2020
1/27/2020
1/28/2020
1/29/2020
1/30/2020
1/31/2020
2/3/2020
2/4/2020
2/5/2020
2/6/2020
2/7/2020
2/10/2020
2/11/2020
2/12/2020
2/13/2020
2/14/2020
2/18/2020
2/19/2020
2/20/2020
2/21/2020
2/24/2020
2/25/2020
2/26/2020
2/27/2020
2/28/2020
3/2/2020
3/3/2020
3/4/2020
3/5/2020
3/6/2020
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
74.54
76.12
76.29
77.92
76.87
76.54
77.50
78.36
77.83
78.11
78.48
78.26
75.95
78.10
79.74
79.62
76.09
75.88
78.39
79.03
79.95
78.87
79.24
78.76
80.63
80.06
80.08
78.61
79.75
78.93
77.14
73.48
70.99
72.12
67.40
67.36
73.64
71.30
74.60
72.18
71.23
132079200
170108400
140644800
121532000
161954400
121923600
108829200
137816400
110843200
101832400
104472000
146537600
161940000
162234000
216229200
126743200
199588400
173985600
136616400
118826800
105425600
117684000
109348800
94323200
113730400
94747600
80113600
152531200
93984000
100566000
129554000
222195200
230673600
198054800
320605600
426884800
341397200
319475600
219178400
187572800
226176800
3/9/2020
3/10/2020
3/11/2020
3/12/2020
3/13/2020
3/16/2020
3/17/2020
3/18/2020
3/19/2020
3/20/2020
3/23/2020
3/24/2020
3/25/2020
3/26/2020
3/27/2020
3/30/2020
3/31/2020
4/1/2020
4/2/2020
4/3/2020
4/6/2020
4/7/2020
4/8/2020
4/9/2020
4/13/2020
4/14/2020
4/15/2020
4/16/2020
4/17/2020
4/20/2020
4/21/2020
4/22/2020
4/23/2020
4/24/2020
4/27/2020
4/28/2020
4/29/2020
4/30/2020
5/1/2020
5/4/2020
5/5/2020
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
65.59
70.32
67.87
61.17
68.50
59.69
62.31
60.79
60.32
56.49
55.29
60.84
60.50
63.69
61.05
62.79
62.66
59.37
60.36
59.49
64.68
63.93
65.57
66.04
67.34
70.74
70.09
70.65
69.69
68.24
66.13
68.04
67.78
69.73
69.78
68.65
70.91
72.40
71.24
72.24
73.33
286744800
285290000
255598800
418474000
370732000
322423600
324056000
300233600
271857200
401693200
336752800
287531200
303602000
252087200
204216800
167976400
197002000
176218400
165934000
129880000
201820400
202887200
168895200
162116400
131022800
194994800
131154400
157125200
215250000
130015200
180991600
117057200
124814400
126508800
117087600
112004800
137280800
183064000
60154200
33392000
36937800
5/6/2020
5/7/2020
5/8/2020
5/11/2020
5/12/2020
5/13/2020
5/14/2020
5/15/2020
5/18/2020
5/19/2020
5/20/2020
5/21/2020
5/22/2020
5/26/2020
5/27/2020
5/28/2020
5/29/2020
6/1/2020
6/2/2020
6/3/2020
6/4/2020
6/5/2020
6/8/2020
6/9/2020
6/10/2020
6/11/2020
6/12/2020
6/15/2020
6/16/2020
6/17/2020
6/18/2020
6/19/2020
6/22/2020
6/23/2020
6/24/2020
6/25/2020
6/26/2020
6/29/2020
6/30/2020
7/1/2020
7/2/2020
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
74.08
74.85
77.26
78.48
77.58
76.64
77.11
76.66
78.46
78.01
79.53
78.93
79.44
78.90
79.25
79.28
79.21
80.18
80.55
80.99
80.30
82.58
83.07
85.69
87.90
83.68
84.40
85.45
87.71
87.59
87.62
87.12
89.40
91.31
89.70
90.89
88.10
90.13
90.88
90.71
90.71
35583400
28803800
33459600
145946400
162301200
200622400
158929200
166348400
135372400
101729600
111504800
102688800
81803200
125522000
112945200
133560800
153598000
80791200
87642800
104491200
87560400
137250400
95654400
147712400
166651600
201662400
200146000
138808800
165428800
114406400
96820400
264476000
135445200
212155600
192623200
137522400
205256800
130646000
140223200
110737200
114041600
7/6/2020
7/7/2020
7/8/2020
7/9/2020
7/10/2020
7/13/2020
7/14/2020
7/15/2020
7/16/2020
7/17/2020
7/20/2020
7/21/2020
7/22/2020
7/23/2020
7/24/2020
7/27/2020
7/28/2020
7/29/2020
7/30/2020
7/31/2020
8/3/2020
8/4/2020
8/5/2020
8/6/2020
8/7/2020
8/10/2020
8/11/2020
8/12/2020
8/13/2020
8/14/2020
8/17/2020
8/18/2020
8/19/2020
8/20/2020
8/21/2020
8/24/2020
8/25/2020
8/26/2020
8/27/2020
8/28/2020
8/31/2020
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
93.13
92.84
95.01
95.42
95.58
95.14
96.72
97.38
96.18
95.99
98.01
96.66
96.93
92.52
92.29
94.48
92.92
94.71
95.85
105.89
108.55
109.28
109.68
113.50
110.92
112.53
109.19
112.82
114.81
114.71
114.41
115.36
115.51
118.07
124.16
125.64
124.61
126.30
124.79
124.59
128.82
118655600
112424400
117092000
125642800
90257200
191649200
170989200
153198000
110577600
92186800
90318000
103646000
89001600
197004400
185438800
121214000
103625600
90329200
158130000
374336800
308151200
173071600
121992000
202428800
198045600
212403600
187902400
165944800
210082000
165565200
119561600
105633600
145538000
126907200
338054800
345937600
211495600
163022400
155552400
187630000
225702700
9/1/2020
9/2/2020
9/3/2020
9/4/2020
9/8/2020
9/9/2020
9/10/2020
9/11/2020
9/14/2020
9/15/2020
9/16/2020
9/17/2020
9/18/2020
9/21/2020
9/22/2020
9/23/2020
9/24/2020
9/25/2020
9/28/2020
9/29/2020
9/30/2020
10/1/2020
10/2/2020
10/5/2020
10/6/2020
10/7/2020
10/8/2020
10/9/2020
10/12/2020
10/13/2020
10/14/2020
10/15/2020
10/16/2020
10/19/2020
10/20/2020
10/21/2020
10/22/2020
10/23/2020
10/26/2020
10/27/2020
10/28/2020
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
133.95
131.17
120.67
120.75
112.63
117.12
113.29
111.81
115.16
115.34
111.94
110.15
106.66
109.89
111.62
106.94
108.03
112.09
114.76
113.89
115.61
116.59
112.83
116.30
112.97
114.88
114.77
116.77
124.19
120.89
120.98
120.50
118.82
115.78
117.31
116.67
115.55
114.84
114.85
116.40
111.01
152470100
200119000
257599600
332607200
231366600
176940500
182274400
180860300
140150100
184642000
154679000
178011000
287104900
195713800
183055400
150718700
167743300
149981400
137672400
99382200
142675200
116120400
144712000
106243800
161498200
96849000
83477200
100506900
240226800
262330500
151062300
112559200
115393800
120639300
124423700
89946000
101988000
82572600
111850700
92276800
143937800
10/29/2020
10/30/2020
11/2/2020
11/3/2020
11/4/2020
11/5/2020
11/6/2020
11/9/2020
11/10/2020
11/11/2020
11/12/2020
11/13/2020
246
247
248
249
250
251
252
253
254
255
256
257
115.12
108.67
108.58
110.25
114.75
118.82
118.69
146129200
190272600
122866900
107624400
138235500
126387100
114283600
HON (Honeywell Inc) / $
177.03
176.66
177.81
177.75
176.38
178.44
176.53
176.84
173.99
173.31
173.57
173.29
175.27
176.15
175.30
171.14
169.41
170.06
170.84
172.26
171.31
170.87
172.80
174.16
173.76
173.19
173.48
171.46
173.29
173.20
173.22
173.10
173.66
173.27
173.21
173.78
177.50
175.60
174.28
174.37
HON (Honeywell Inc) Volume
1636800
1594600
1816900
1855200
2208300
3242700
2405800
2673200
4190700
3135100
1852200
2657500
4578900
1044800
1633100
3053500
3775500
2933400
2342100
2118000
1556500
2027800
2174100
2277600
2050200
3207600
3039800
3614700
2680600
4351900
2577700
625500
1269700
1303900
1670100
1728900
2857400
2805200
3277900
3002800
174.52
175.81
175.43
177.97
177.16
177.44
178.94
179.89
177.63
176.77
176.31
173.90
170.38
172.26
172.47
175.09
170.06
168.20
172.02
173.68
173.14
172.09
173.73
175.89
177.88
176.84
177.52
176.15
177.57
177.41
176.60
172.08
164.74
164.13
157.49
160.08
162.12
159.80
168.98
162.79
161.91
2545500
1789500
1671700
2261900
2191200
2600800
2215400
2608000
2188600
1881700
2434000
2737000
2491500
2178400
2199000
3076100
5500000
3542700
2992500
2818100
2427500
3254500
2399700
2948500
2950800
1985700
2489000
1818600
2464500
2336800
1940400
3204300
4092200
3411700
3951300
9558100
6744900
6108500
4532500
5394700
5021600
150.89
159.60
151.41
133.11
147.48
133.52
130.10
118.07
117.43
111.05
102.52
117.97
127.98
135.63
129.58
130.05
132.06
128.04
131.10
125.81
132.27
133.50
137.45
141.58
136.16
138.78
133.10
130.62
136.54
133.95
130.30
131.31
132.94
133.77
138.08
140.92
144.27
140.07
135.48
133.46
133.13
5849000
5477600
4826900
7170500
6324800
5891000
8524800
7633900
6814100
6801200
8200400
5799100
7159100
5594400
3924900
5035700
5296000
4246100
3504200
4031500
4874300
4051700
3890600
4365000
3016300
3486600
3252800
4016700
4750700
2529000
2418100
2629700
2786400
2837900
3137700
3377900
2651200
4492600
3681100
4123000
3122300
131.32
131.08
135.14
132.55
125.94
121.38
126.34
124.70
135.28
131.21
135.27
136.92
138.40
144.13
147.75
146.73
145.03
145.36
147.52
152.49
155.03
160.46
162.00
157.21
153.25
142.63
143.70
145.81
148.27
147.51
147.40
144.55
144.13
144.05
137.57
141.66
137.43
142.43
143.78
143.30
144.20
2349500
3096500
2740400
2356400
4870400
5786200
5226200
4660300
6405800
4427800
2949700
2374300
2958000
4370200
4291700
3481800
4135500
2071100
3625800
2992700
3768200
4524900
3573400
3679100
3309800
4184900
3612400
3314000
3804500
3507600
2581600
5265900
2529900
2309800
3371200
4019000
10255300
2971200
3688000
2609500
2758500
146.39
144.15
144.77
140.58
141.65
142.68
147.27
151.08
152.22
154.13
152.53
153.89
153.74
152.87
148.59
149.91
151.16
153.71
148.32
148.53
147.69
146.50
149.97
151.72
154.24
158.53
159.38
159.17
158.98
160.28
158.76
157.38
156.85
156.17
157.50
159.37
164.53
165.31
165.99
168.38
165.55
2336700
2622000
3587800
3167200
2325000
2585700
2649800
2984600
3697600
4886500
4876200
2394000
1798600
2625600
4368300
3378300
3904200
3311500
2749100
4061200
2105400
3078300
4181000
2502700
2519500
2858800
3773700
2670100
2574900
2844700
2817200
1869300
2098100
1600300
2507800
2087000
7400500
3466600
4281100
13011800
4561900
167.97
172.47
166.30
166.69
164.27
165.75
164.27
166.45
168.47
168.30
170.00
170.34
168.70
161.37
162.68
158.79
158.76
161.49
164.64
164.51
164.61
163.68
165.61
168.72
166.89
171.55
173.78
174.38
175.36
171.55
173.47
172.61
174.86
171.59
173.26
172.87
176.85
175.54
170.17
166.75
161.16
3975100
4111900
3527700
3326500
2796800
2807500
2814900
2116700
2134000
1851200
3152000
2661400
4908000
4459600
2501000
2507600
2238300
2593900
2512600
2169300
2883400
2409300
2339900
1750000
2345800
2030200
1977900
2636900
3396300
2315300
2386400
2436600
3628800
2103500
1580300
1827000
1882100
1987900
2323700
2009300
3233500
164.60
164.95
173.61
179.21
178.91
183.28
184.27
3113600
4389500
4198300
3719800
4318600
4585100
3080300
