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Forecasting the Volatility of Healthcare stocks in regards of the changing pharmaceutical industry

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Forecasting the Volatility of Healthcare stocks in regards of the changing pharmaceutical industry

I will upload the instruction word file and articles for you to reference. However, they are from **class** so, do not use them! except for the three articles I will mention in the instructions.

The topic I wrote can change if you have better suggestions. Feel free to ask any questions and suggestions.

**This paper requires “Stata” or “R” data

 

Instructions

This is an Econometrics Seminar class.

I will first label the topics we learned that should be use for the paper.

  1. Characteristics of Financial Time Series and Macro Time Series.
  2. Linear time series analysis and its applications
  3. Regression applications in Finance CAPM, Bond Portfolio applications
  4. Autocorrelation and partial autocorrelation
  5. Unit Root and Non-stationary
  6. Stochastic process
  7. Modeling Univariate Time series: Autoregressive Models (AR)
  8. Autoregressive integrated moving average models (ARMA and ARIMA)
  9. Forecasting with univariate models
  10. Conditional heteroskedastic models
  11. Modeling Volatility: ARCH, GARCH, GARCH-M, EGARCH
  12. Multivariate time series analysis and its applications
  13. Vector Autoregression (VAR) models
  14. Impulse Response Functions
  15. Vector ARMA models
  16. Testing for Cointegration
  17. Error Correction and VAR representation
  18. Cointegrated VAR models
  19. Forecasting of cointegrated VAR models
  20. VECM (Vector Error Correction Models)

I want the topic based from this article

  • Forecasting The Volatility of Healthcare Stocks by Bradley T. Ewing, Jamie B. Kruse, Mark A. Tompson

The data used from the article is 2001. So, I think it might be a good idea to progress from that timeline and attain recent data and compare how the healthcare industry has changed. The article says that GARCH model was the more suitable forecasting model for healthcare industry at the time, 2001, which was also more suitable for forecasting emerging market. Can we use VECM to forecast this industry?

The paper can try to answer; however, would that forecasting model still holding after ten + years? Did the industry obtain enough information and knowledge that EGARCH is the more suitable model as of now?

Also, the article used three indices for the descriptive statistics: payor, provider, product. I want to focus on the product (pharmaceutical companies) part. I have attached articles,

  • Identifying R&D outliers by Peter Tollman, Yves Morieux, Jeanine Kelly Murphy
  • Lesson from 60 years of pharmaceutical innovation
  • Intelligent Pharmaceuticals: Beyond the tipping point

The articles, Identifying R&D outliers and Lesson from 60 years of pharmaceutical innovation, can give a good guideline for the research paper. Although they seem to have data, it doesn’t really have any econometrics data.

 

Data comparison for 2001 and a more recent data, perhaps 2010+, on how the industry changed using measurements from the article, Forecasting the volatility of healthcare stocks, such as AR, AIC, GARCH, EGARCH, MSE, etc might work in my opinion. And as mentioned, focusing the healthcare industry specific to the pharmaceutical companies; product.

 

The teacher emphasized dickey-fuller test, time series, panel data when talking about research paper.

 

Summary

As you have probably assumed, I do not have a clear topic right now. The ideas I wrote above are just a suggestion. If you think other ideas will make a better paper, please let me know and we can probably come to an agreement easily.

 

Except for the data search and running it through “Stata” or “R” program, the paper content itself does not have to be too complicated. Yet, I would prefer shorter explanation on the instruments, equations being used and rather focus on the observation and the analysis of the data.

 

The articles and information with exception of the three pharmaceutical articles above are from class. So it would be wise to avoid similar structure.

 

I have listed number of sources as 15, but it can be whatever you want; anything more than 10 would suffice.

The page nubmer can exceed what I’ve selected if the data charts take up too much space.

 

The number of days for the research paper is 10 days, but if I could have I would have chosen 20 days. I will extend the time as much as I can and as much as you need. Just let me know.

 

I had great experience with Reliablepapers, and realize it is very reliable.

Thank you so much, and let’s keep in touch !

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