Financial Econometrics Homework 2

Using Python, perform the following for the KOSPI index returns during the period 2021:01:02-2021:12:30 (on the basis of daily, closing prices).



(2 points) Find a proper ARMA model for the log KOSPI index.



(2 points) Test whether the log KOSPI index has a unit root or not using the augmented Dickey-Fuller test.



(2 points) Find a proper SARIMA model for the monthly Korean unemployment rate during the period 2010:01-2021:12.