Project of Financial Econometrics_M2QF_University of Paris Saclay [http://www.math-evry.cnrs.fr/departement/doku.php?id=formation:master:m2if]
The aim is to test if the volatility was higher, during the years 2009-2011, in the sector of banking, than for other sectors. Thus, we will do a statistical test for the equality of the volatility between two time series. The first time series is the sequence of the daily returns of the stock prices of a french bank. The second time series is the daily returns of a general index (CAC40 for instance). It should be taken into account that the squared returns exhibit correlations, and thus the usual statistical test for equality between the means of two i.i.d. sequences should be modified accordingly. In particular, it is asked to compute the p-value of the test result. The data of the stock prices may be found on the internet (on the yahoo site for instance).