Describe the purpose of a Vector Autoregression (VAR), and estimate and interpret a VAR model describing the dynamic relationship between returns on the market and returns on the industry portfolios.

From the Kenneth French Data Library, which you can access directly here:
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
download four years’ worth of daily return data covering the period from January 2018 to December 2021 on the market return and two industry portfolios of your choice from the “30 Industry Portfolios” section of the website. If you wish, you can download daily returns on the market from the CRSP database via WRDS.

Describe the purpose of a Vector Autoregression (VAR), and estimate and interpret a VAR model describing the dynamic relationship between returns on the market and returns on the industry portfolios. You should include a discussion.

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