Exercise

# 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.

Instructions

**100 XP**

- 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`

.