Testing interest-rate returns for normality

The object zcbx_m contains monthly log-return series for the 1-year, 5-year and 10-year Canadian zero-coupon bond yields. The object zcbx2_m contains the corresponding simple returns. Both are multivariate; they are loaded into your workspace.

In this exercise, you will plot these interest rate return series and then examine their normality with Q-Q plots and Jarque-Bera tests.

The log-returns show clearer evidence of non-normality than the simple returns in this case.

This exercise is part of the course

Quantitative Risk Management in R

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Exercise instructions

Plot zcbx_m and zcbx2_m with the appropriate plotting function and the parameter type = "h".
Use brackets for indexing and qqnorm() to create Q-Q plots of the 3rd component series of zcbx_m and zcbx2_m.
Use apply() to compute the kurtosis of each component series in zcbx_m and zcbx2_m.
Use apply() to conduct the Jarque-Bera test on each component series in zcbx_m and zcbx2_m.

Hands-on interactive exercise

Have a go at this exercise by completing this sample code.

# Plot the interest-rate return series zcbx_m and zcbx2_m
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# Make Q-Q plots of the 3rd component series of zcbx_m and zcbx2_m
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# Compute the kurtosis of each series in zcbx_m and zcbx2_m
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# Conduct the Jarque-Bera test on each series in zcbx_m and zcbx2_m
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