Conclusion:

We have collected three Data sets mainly 1 st one is KSE -100, 2nd one is Gold, and
the 3rd one is forex for calculating market risk we have calculate Var, beta and risk
premium manually on excel for KSE-100, Gold, and Forex but for gold and forex we
have not calculate VaR. Extending our work we have start building models first
wehave imported some libraries than we have started from KSE-100 we have
performed some discriptive statistics on the data and benchmark data(KSE-All) than
we have run OLS model on this considering KSE-100 as Y variable and KSE-All as
X variable from this we have got the results that overall model is significant. Now we
have calculated Var, beta and risk premium of KSE-100 in python and got results like
Beta >1 (more volitile than market), Var there was a increment in potential losses
over the time period, and Risk premium (investment has continuously under
performed relative to the risk-free rate). On the KSE-100 data we have calculated All
models (Adaboost, KNN, ANN, LR, RF, SGD, SVM, DT) combine error in this test
LR and SGD performed best than we calculate the predicted errors and compare both
actual versus predicted the losest we get are RF, Adaboost, KNN, and DT. From
predicted models we have done evaluation on the basis of MAPE, MSLE, and
SMAPE the best Model we got is Random Forest. In the prediction graph predicted
data from 2024 onwards shows increasing trend or suggests continued growth but
with higher volatility.

Moving towards the Gold model as we start working on python we have calculated
daily return and standard deviation to calculate sharpe ratio to evaluate the
performance of an investment compared to a risk-free asset we got negative value
suggest under-performing than we calculate Var and Risk premium we got negative
risk premium suggest investment has continuously under performed relative to the
risk-free rate and VaR indicating that in some years there was a potential losses
relatively low and in some year potential losses were relatively high. Moving towards
to calculate all combine errors and we got negative values of R^2 which suggest that
overall, these models are not providing reliable or accurate predictions based on the
given metrics so we have stopped working here.

Lastly we have worked on forex model on python we have calculated daily return and
standard deviation for forex data and by the help of them we calculate sharpe ratio to
evaluate the performance of an investment compared to a risk-free asset we got
negative value of sharpe ratio suggest that investment is under-performing compared
to a riskfre than we calculate Var and Risk premium we got negative risk premium
that suggest the same “investment has continuously under performed relative to the
risk-free rate” and VaR indicating that “in some years there was a potential losses
relatively low and in some year potential losses were relatively high”. Moving
towards to calculate all combine errors and we got negative values of R^2 which
suggest that, “overall these models are not providing reliable or accurate predictions
based on the given metrics” so we have stopped working here.