In EViews open 'RVdata.wf1' file that contains 1480 observations of historical volatility for the foreign exchange, equity and bond markets in...

2. In EViews open 'RVdata.wf1' file that contains 1480 observations of historical volatility for the foreign exchange, equity and bond markets in Japan, Europe and the US.

a) Determine whether each of the 9 volatility series in their raw levels forms are stationary [20 marks]

b) Estimate VAR with 9 volatility variables. How many lags you need to include in your model? Using this VAR explain which market is the most influential. [20 marks]

c) If you rely on the VAR from part b) can you say which market will be the most volatile in future? [20 marks]