Exercise

# Examining risk factors for international equity portfolio

The UK investor in UK, US, and Swiss equities is exposed to 5 risk factors; the data is contained in `riskfactors`

, a multivariate dataset.

In this exercise, you will recall some of the tests and techniques that you learned earlier for showing that these risk factors are heavier tailed than normal, highly volatile and subject to profound serial dependencies.

Instructions

**100 XP**

- Use the appropriate function to plot
`riskfactors`

. - Calculate the log-returns of
`riskfactors`

, remove the first`NA`

value for all series, and assign to`returns`

. Use the appropriate function to plot`returns`

. - Use
`apply()`

with 3 parameters to carry out the Jarque-Bera test of normality for all series. - Use
`qqnorm()`

to make a Q-Q plot against normal for only the 5th return series in`returns`

. Then, add a reference line with`qqline()`

. - Use
`acf()`

to make a picture of the sample acfs for the returns and then the absolute values of the returns.