Sensitivity of Normal Theory Tests for Equality of Variances and Co-variance Matrics Against Kurtosis Co-efficient

Abstract

The study attempts to provide a systematic analysis of doily closing stock price of four Companies. Askari Commercial Bank. Shell, Sui Northern Gas and PIA. The weekly averages of trie daily prices are used Box- Jenkins procedure of forecasting is adopted. A variety of AFTIMA models are obtained and best models are proposed- The assumption of Vadat-rarity is followed and to identify the best model two sets of statistics AC's and PASrs are applied. The estimates of the parameters are derived. According to the process of validation, three components, residua; diagnostic, parameter validation, and model validation are followed. To see the behaviour of residua) the normal probability plot of residuals together with the mots of auto- correlation function and partial auto-correlation fiilletion aro obtained. These show that residuals are indeperIdenly and normally distributed.