The worksheets presented here are arranged by topics covered in lectures.

Lecture topics are identified in the tabs at the bottoms of the worksheets.
It may be useful to use these worksheets in conjunction with your
lecture notes to follow the computations. Also, these worksheets may
be useful to students who were unable to attend certain lectures.
Perhaps, most students will find this collection of worksheets useful in
understanding many of the more quantitative topics discussed in the
course and provide opportunities to practice many of the computations.
In many instances, students can use these worksheets to create
additional problems which can be worked through by hand and then
checked with solutions given on the worksheets.

covered in lectures.
of the worksheets.
with your
orksheets may
n lectures.
heets useful in
scussed in the
he computations.
o create
and and then

Computing Geometric Mean Return on Investment: Real Price Data

On this worksheet, we make use of use historical stock price quotes provided by Yahoo (See http://webpage.pace.edu/jteall/sp
Two years of monthly price quote for GM and PCS are downloaded in spreadsheet format from Yahoo. Then monthly returns a
is added to each of the returns in column H. Geometric mean returns are computed in Column J.

GM Stock: October, 2000 to September 2002, Monthly Returns

Date
Open
High
Low
Close
Volume
3-Sep-02
47.5
47.51
38.11
38.9 5414895
1-Aug-02
46.4
50.05
41.08
47.86 4259440
1-Jul-02
53.3
54.08
40.5
46.55 6527578
3-Jun-02
62.5
63.1
50
53.45 5193919
1-May-02
64
67.8
62.15
62.15 3616043
1-Apr-02
59.56
65.94
58.32
63.68 3917782
1-Mar-02
52.81
61.55
52.81
60.01 5743195
1-Feb-02
50.35
55.39
47.24
52.59 5055470
2-Jan-02
47.9
50.27
47.09
50.25 3096881
3-Dec-01
47.66
52.3
46.01
47.76 2938333
1-Nov-01
40.13
49.3
39.52
48.84 2470372
1-Oct-01
41.28
44.51
39.35
40.13 2847620
4-Sep-01
52.47
54.32
38.04
41.66 3648700
1-Aug-01
61.62
62.63
51.96
53.17 2548600
2-Jul-01
61.67
65.33
59.14
61.28 2346600
1-Jun-01
54.83
62.52
54.63
62 2721754
1-May-01
52.48
56.17
51.66
54.83 2021760
2-Apr-01
49.58
55.25
47.94
52.34 2472395
1-Mar-01
50.93
57.01
47.99
49.51 3011243
1-Feb-01
50.91
55.13
48.51
50.92 2980480
2-Jan-01
48.21
54.06
48.09
50.82 3771677
1-Dec-00
46.85
51.7
46.08
48.21 2857576
1-Nov-00
58.27
59.8
45.84
46.85 2963281
2-Oct-00
61.32
64.02
51.12
58.27 2658817

r(t)
-0.18721
0.028142
-0.12909
-0.13998
-0.02403
0.061156
0.141091
0.046567
0.052136
-0.02211
0.217045
-0.03673
-0.21648
-0.13234
-0.01161
0.130768
0.047574
0.05716
-0.02769
0.001968
0.054138
0.029029
-0.19598
N/A

1+r(t)
0.812787
1.028142
0.870907
0.860016
0.975974
1.061156
1.141091
1.046567
1.052136
0.977887
1.217045
0.963274
0.783525
0.867657
0.988387
1.130768
1.047574
1.05716
0.97231
1.001968
1.054138
1.029029
0.804016
#VALUE!

PI(1+r(t))
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr

PCS Stock: October, 2000 to September 2002, Monthly Returns

Date
Open
High
Low
Close
Volume
r(t)
1+r(t)
3-Sep-02
3.82
3.93
1.75
1.96 11035885 -0.50505 0.494949
1-Aug-02
3.8
5.14
3.15
3.96 7020356 -0.03415 0.965854
1-Jul-02
4.52
6.93
2.36
4.1 11209278 -0.08277 0.917226
3-Jun-02
10.13
10.44
3.5
4.47 15463276 -0.57184 0.428161
1-May-02
11.25
12
9.34
10.44 7701569 -0.06869 0.931311
1-Apr-02
10.25
13.45
9
11.21 10386886 0.089407 1.089407
1-Mar-02
10
12.2
8.12
10.29 12611519 0.112432 1.112432
1-Feb-02
16.09
16.7
7.22
9.25 21943820 -0.43529 0.564713
2-Jan-02
24.45
25.2
15.01
16.38 15091195 -0.32896 0.671036
3-Dec-01
25
26.37
22.3
24.41 6145352 -0.02164 0.978357
1-Nov-01
22.5
27.5
22.25
24.95 5252709 0.118834 1.118834
1-Oct-01
26.4
29.05
21.5
22.3 10553704 -0.15177 0.848231
4-Sep-01
25.05
27.1
22.25
26.29 10464787 0.052442 1.052442
1-Aug-01
25.98
26.5
22.43
24.98 11239554 -0.03627 0.963735
2-Jul-01
24.15
27
22.7
25.92 6663486 0.073292 1.073292
1-Jun-01
22.03
24.16
19.21
24.15 4679895 0.097727 1.097727
1-May-01
25.63
27.5
20.25
22 5211639 -0.14163 0.858369

PI(1+r(t))
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr

2-Apr-01
1-Mar-01
1-Feb-01
2-Jan-01
1-Dec-00
1-Nov-00
2-Oct-00

19.25
24
30.75
20.75
23.12
38.25
37

26.9
24.35
32.4
33.25
29.38
38.44
39.19

16.43
15.72
20
17.62
19.38
21.88
29

25.63
19
25.18
30.5
20.44
22.69
38.12

7444519 0.348947 1.348947

6083813 -0.24543 0.754567
5503705 -0.17443 0.825574
8484931 0.492172 1.492172
5440242 -0.09916 0.900837
7432204 -0.40477 0.595226
5709582 N/A
#VALUE!

ee http://webpage.pace.edu/jteall/spreadsheets.htm for information).

from Yahoo. Then monthly returns are computed in Column G. One

0.667582
-0.0167
-0.18294
-0.0167
-0.18294

The product of (1+r(t)) for 24 months

The geometric mean return over the 24 month period
The annualized geometric mean rate of return
The geometric mean return over the 24 month period
The annualized geometric mean rate of return

0.051417
-0.11632
-0.77325
-0.11632
-0.77325

The product of (1+r(t)) for 24 months

The geometric mean return over the 24 month period
The annualized geometric mean rate of return
The geometric mean return over the 24 month period
The annualized geometric mean rate of return

Expected Return, Variance and Standard Deviation

Stock A
i
1
2
3

R(i)
-0.2
0.1
0.4
E[R] =

P(i) R(i)P(i) R(i)-E[R(i)] (R(i)-E[R(i)])^2 (R(i)-E[R(i)])^2*P(i)

0.2
-0.04
-0.33
0.1089
0.02178
0.5
0.05
-0.03
0.0009
0.00045
0.3
0.12
0.27
0.0729
0.02187
0.13
Variance =
0.0441
Standard Deviation =
0.21

Historical Variances for Stocks A and B

t
1
2
3
4
5
6
7
8

R(A,t)
R(B,t)
0.4
0.2
0.9
0.1
-0.8
0.12
0.9
0.05
0.9
0.02
0.9
0.09
-0.2
0.11
-0.1
0.12
0.3625 0.1013
Average Returns

0.00017578
0.03611328
0.16892578
0.03611328
0.03611328
0.03611328
0.03955078
0.02673828
0.37984375
0.61631465

0.001218945
1.95313E-07
4.39453E-05
0.00032832
0.000825195
1.58203E-05
9.57031E-06
4.39453E-05
0.002485938
0.049859177

Squared
Differences
for A and B
divided by eight

Variances of A and B
Standard Deviations of A and B

Computing Variances and Standard Deviations of Returns: Real Price Data

Returns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute variances and standard

GM Stock: October, 2000 to September 2002, Monthly Returns

Date
Close
r(t)
1+r(t)
(Ri-E[Ri])^2 / 23
3-Sep-02
38.9 -0.18721 0.812787
0.001347717
1-Aug-02
47.86 0.028142 1.028142
6.71292E-05
1-Jul-02
46.55 -0.12909 0.870907
0.000604786
3-Jun-02
53.45 -0.13998 0.860016
0.000721642
1-May-02
62.15 -0.02403 0.975974
7.20692E-06
1-Apr-02
63.68 0.061156 1.061156
0.000227324
1-Mar-02
60.01 0.141091 1.141091
0.001007737
1-Feb-02
52.59 0.046567 1.046567
0.000144846
2-Jan-02
50.25 0.052136 1.052136
0.000174143
3-Dec-01
47.76 -0.02211 0.977887
5.224E-06
1-Nov-01
48.84 0.217045 1.217045
0.002264066
1-Oct-01
40.13 -0.03673 0.963274
2.84366E-05
4-Sep-01
41.66 -0.21648 0.783525
0.001832951
1-Aug-01
53.17 -0.13234 0.867657
0.000638584
2-Jul-01
61.28 -0.01161 0.988387
9.25098E-09
1-Jun-01
62 0.130768 1.130768
0.000875701
1-May-01
54.83 0.047574 1.047574
0.000149941
2-Apr-01
52.34 0.05716 1.05716
0.000202891
1-Mar-01
49.51 -0.02769 0.97231
1.18928E-05
1-Feb-01
50.92 0.001968 1.001968
7.48337E-06
2-Jan-01
50.82 0.054138 1.054138
0.000185337
1-Dec-00
48.21 0.029029 1.029029
7.01943E-05
1-Nov-00
46.85 -0.19598 0.804016
0.001485351
2-Oct-00
58.27 N/A
#VALUE!
E[R] =
-0.01115 VAR =
0.012060596

PI(1+r(t))
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr
VAR(GM)
StD(GM)
StD(GM)

0.667582
-0.0167
-0.18294
-0.0167
-0.18294
0.012061
0.109821
0.38043

The product of (1+r(t)) for 24 months

The geometric mean return over the 24
The annualized geometric mean rate of
The geometric mean return over the 24
The annualized geometric mean rate of
The monthly return variance
The monthly return standard deviation
The annual return standard deviation

PCS Stock: October, 2000 to September 2002, Monthly Returns

Date
Close
r(t)
1+r(t)
(Ri-E[Ri])^2 / 23
3-Sep-02
1.96 -0.50505 0.494949
0.007732515
1-Aug-02
3.96 -0.03415 0.965854
0.000105177
1-Jul-02
4.1 -0.08277 0.917226
1.34576E-08
3-Jun-02
4.47 -0.57184 0.428161
0.010375684
1-May-02
10.44 -0.06869 0.931311
9.32088E-06
1-Apr-02
11.21 0.089407 1.089407
0.001297316
1-Mar-02
10.29 0.112432 1.112432
0.001666221
1-Feb-02
9.25 -0.43529 0.564713
0.0053858
2-Jan-02
16.38 -0.32896 0.671036
0.002623289
3-Dec-01
24.41 -0.02164 0.978357
0.000165448
1-Nov-01
24.95 0.118834 1.118834
0.001776977
1-Oct-01
22.3 -0.15177 0.848231
0.000203644
4-Sep-01
26.29 0.052442 1.052442
0.000801484
1-Aug-01
24.98 -0.03627 0.963735
9.63092E-05
2-Jul-01
25.92 0.073292 1.073292
0.001066546
1-Jun-01
24.15 0.097727 1.097727
0.001425299
1-May-01
22 -0.14163 0.858369
0.00014778
2-Apr-01
25.63 0.348947 1.348947
0.008124525
1-Mar-01
19 -0.24543 0.754567
0.001142488

PI(1+r(t))
0.051417 The product of (1+r(t)) for 24 months
ROG(g)
-0.11632 The geometric mean return over the 24
ROI(g)/Yr
-0.77325 The annualized geometric mean rate of
ROG(g)
-0.11632 The geometric mean return over the 24
ROI(g)/Yr
-0.77325 The annualized geometric mean rate of
VAR(PCS) 0.06341 The monthly return variance
StD(PCS) 0.251814 The monthly return standard deviation
StD(PCS) 0.872308 The annual return standard deviation

1-Feb-01
2-Jan-01
1-Dec-00
1-Nov-00
2-Oct-00

25.18 -0.17443 0.825574

30.5 0.492172 1.492172
20.44 -0.09916 0.900837
22.69 -0.40477 0.595226
38.12 N/A
#VALUE!
E[R] =
-0.08333 VAR =

0.000360802
0.014400141
1.08982E-05
0.004492445
0.063410124

Price Data

mpute variances and standard deviations in Column G.

uct of (1+r(t)) for 24 months

metric mean return over the 24 month period
alized geometric mean rate of return
metric mean return over the 24 month period
alized geometric mean rate of return
hly return variance
hly return standard deviation
al return standard deviation

uct of (1+r(t)) for 24 months

metric mean return over the 24 month period
alized geometric mean rate of return
metric mean return over the 24 month period
alized geometric mean rate of return
hly return variance
hly return standard deviation
al return standard deviation

Returns Covariance
Stocks A and B
i
1
2
3

R(A,i)
-0.2
0.1
0.4

R(B,i)
0.5
0.4
-0.2

E[R(A)] =
0.13
E[R(B)] =
0.24
s(A) =
0.21
s(B) =
0.29052
r (A,B) = -0.90479
r2(A,B) = 0.81865

P(i) (R(A,i)-E[R(A)]) (R(B,i)-E[R(B)]) Product of Deviations and Probability

0.2
-0.33
0.26 -0.01716
0.5
-0.03
0.16
-0.0024
0.3
0.27
-0.44 -0.03564
Covariance =
-0.0552

ns and Probability

Computing Variances and Standard Deviations of Returns

Returns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute variances and standard

GM Stock: October, 2000 to September 2002, Monthly Returns

Date
Close
r(t)
1+r(t)
(Ri-E[Ri])^2 / 23
3-Sep-02
38.9 -0.18721 0.812787
0.001347717
1-Aug-02
47.86 0.028142 1.028142
6.71292E-05
1-Jul-02
46.55 -0.12909 0.870907
0.000604786
3-Jun-02
53.45 -0.13998 0.860016
0.000721642
1-May-02
62.15 -0.02403 0.975974
7.20692E-06
1-Apr-02
63.68 0.061156 1.061156
0.000227324
1-Mar-02
60.01 0.141091 1.141091
0.001007737
1-Feb-02
52.59 0.046567 1.046567
0.000144846
2-Jan-02
50.25 0.052136 1.052136
0.000174143
3-Dec-01
47.76 -0.02211 0.977887
5.224E-06
1-Nov-01
48.84 0.217045 1.217045
0.002264066
1-Oct-01
40.13 -0.03673 0.963274
2.84366E-05
4-Sep-01
41.66 -0.21648 0.783525
0.001832951
1-Aug-01
53.17 -0.13234 0.867657
0.000638584
2-Jul-01
61.28 -0.01161 0.988387
9.25098E-09
1-Jun-01
62 0.130768 1.130768
0.000875701
1-May-01
54.83 0.047574 1.047574
0.000149941
2-Apr-01
52.34 0.05716 1.05716
0.000202891
1-Mar-01
49.51 -0.02769 0.97231
1.18928E-05
1-Feb-01
50.92 0.001968 1.001968
7.48337E-06
2-Jan-01
50.82 0.054138 1.054138
0.000185337
1-Dec-00
48.21 0.029029 1.029029
7.01943E-05
1-Nov-00
46.85 -0.19598 0.804016
0.001485351
2-Oct-00
58.27 N/A
#VALUE!
E[R] =
-0.01115 VAR =
0.012060596

PI(1+r(t))
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr
VAR(GM)
StD(GM)
StD(GM)

0.667582
-0.0167
-0.18294
-0.0167
-0.18294
0.012061
0.109821
0.38043

The product of (1+r(t)) for 24 months

The geometric mean return over the 24
The annualized geometric mean rate of
The geometric mean return over the 24
The annualized geometric mean rate of
The monthly return variance
The monthly return standard deviation
The annual return standard deviation

PCS Stock: October, 2000 to September 2002, Monthly Returns

Date
Close
r(t)
1+r(t)
(Ri-E[Ri])^2 / 23
3-Sep-02
1.96 -0.50505 0.494949
0.007732515
1-Aug-02
3.96 -0.03415 0.965854
0.000105177
1-Jul-02
4.1 -0.08277 0.917226
1.34576E-08
3-Jun-02
4.47 -0.57184 0.428161
0.010375684
1-May-02
10.44 -0.06869 0.931311
9.32088E-06
1-Apr-02
11.21 0.089407 1.089407
0.001297316
1-Mar-02
10.29 0.112432 1.112432
0.001666221
1-Feb-02
9.25 -0.43529 0.564713
0.0053858
2-Jan-02
16.38 -0.32896 0.671036
0.002623289
3-Dec-01
24.41 -0.02164 0.978357
0.000165448
1-Nov-01
24.95 0.118834 1.118834
0.001776977
1-Oct-01
22.3 -0.15177 0.848231
0.000203644
4-Sep-01
26.29 0.052442 1.052442
0.000801484
1-Aug-01
24.98 -0.03627 0.963735
9.63092E-05
2-Jul-01
25.92 0.073292 1.073292
0.001066546
1-Jun-01
24.15 0.097727 1.097727
0.001425299
1-May-01
22 -0.14163 0.858369
0.00014778
2-Apr-01
25.63 0.348947 1.348947
0.008124525
1-Mar-01
19 -0.24543 0.754567
0.001142488

PI(1+r(t))
0.051417 The product of (1+r(t)) for 24 months
ROG(g)
-0.11632 The geometric mean return over the 24
ROI(g)/Yr
-0.77325 The annualized geometric mean rate of
ROG(g)
-0.11632 The geometric mean return over the 24
ROI(g)/Yr
-0.77325 The annualized geometric mean rate of
VAR(PCS) 0.06341 The monthly return variance
StD(PCS) 0.251814 The monthly return standard deviation
StD(PCS) 0.872308 The annual return standard deviation

1-Feb-01
2-Jan-01
1-Dec-00
1-Nov-00
2-Oct-00

25.18 -0.17443 0.825574

30.5 0.492172 1.492172
20.44 -0.09916 0.900837
22.69 -0.40477 0.595226
38.12 N/A
#VALUE!
E[R] =
-0.08333 VAR =

0.000360802
0.014400141
1.08982E-05
0.004492445
0.063410124

mpute variances and standard deviations in Column G.

uct of (1+r(t)) for 24 months

metric mean return over the 24 month period
alized geometric mean rate of return
metric mean return over the 24 month period
alized geometric mean rate of return
hly return variance
hly return standard deviation
al return standard deviation

uct of (1+r(t)) for 24 months

metric mean return over the 24 month period
alized geometric mean rate of return
metric mean return over the 24 month period
alized geometric mean rate of return
hly return variance
hly return standard deviation
al return standard deviation

Computing Return Covariances: Real Price Data

Returns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute covariances and Corela

GM And PCS Stock: October 2000 to September 2002, Monthly Returns

Date
Close P(GM)
3-Sep-02
38.9
1-Aug-02
47.86
1-Jul-02
46.55
3-Jun-02
53.45
1-May-02
62.15
1-Apr-02
63.68
1-Mar-02
60.01
1-Feb-02
52.59
2-Jan-02
50.25
3-Dec-01
47.76
1-Nov-01
48.84
1-Oct-01
40.13
4-Sep-01
41.66
1-Aug-01
53.17
2-Jul-01
61.28
1-Jun-01
62
1-May-01
54.83
2-Apr-01
52.34
1-Mar-01
49.51
1-Feb-01
50.92
2-Jan-01
50.82
1-Dec-00
48.21
1-Nov-00
46.85
2-Oct-00
58.27
E[R] =

r(t)GM
(RiGM-E[RiGM]) Close P(PCS)
-0.18721
-0.176061073
1.96
0.028142
0.039293413
3.96
-0.12909
-0.11794098
4.1
-0.13998
-0.128832279
4.47
-0.02403
-0.012874752
10.44
0.061156
0.072308104
11.21
0.141091
0.152243093
10.29
0.046567
0.057718795
9.25
0.052136
0.063287309
16.38
-0.02211
-0.010961392
24.41
0.217045
0.228196235
24.95
-0.03673
-0.025574246
22.3
-0.21648
-0.205323826
26.29
-0.13234
-0.121191712
24.98
-0.01161
-0.000461273
25.92
0.130768
0.141919458
24.15
0.047574
0.058725188
22
0.05716
0.0683118
25.63
-0.02769
-0.016538864
19
0.001968
0.01311936
25.18
0.054138
0.065289776
30.5
0.029029
0.040180446
20.44
-0.19598
-0.184832581
22.69
N/A
38.12
-0.01115
E[R] =

r(t)PCS
(RiPCS-E[RiPCS])
-0.50505
-0.421720106
-0.03415
0.049184057
-0.08277
0.00055635
-0.57184
-0.488508682
-0.06869
0.014641728
0.089407
0.17273759
0.112432
0.195762831
-0.43529
-0.351956536
-0.32896
-0.245633141
-0.02164
0.061687112
0.118834
0.20216448
-0.15177
-0.068438334
0.052442
0.135772352
-0.03627
0.047064967
0.073292
0.156622324
0.097727
0.181057672
-0.14163
-0.058300502
0.348947
0.432277767
-0.24543
-0.162102484
-0.17443
-0.091095831
0.492172
0.57550261
-0.09916
-0.015832228
-0.40477
-0.321443998
N/A
-0.08333 COV[GM,PCS] =
VAR[GM] =
VAR[PCS] =
StD[GM] =
StD[PCS] =
Corr.Coef[GM,PCS]=

compute covariances and Corelation Coefficients in Column G.

0.074248495
0.00193261
-6.56164E-05
0.062935687
-0.000188509
0.012490328
0.029803539
-0.020314507
-0.01554546
-0.000676177
0.046133173
0.001750259
-0.027877299
-0.005703884
-7.22456E-05
0.025695607
-0.003423708
0.029529672
0.002680991
-0.001195119
0.037574437
-0.000636146
0.059413324
0.013412585 Covariance
0.012060596
0.063410124
0.109820743
0.251813668
0.485007886 Correlation Coefficient
0.23523265 r-square

Yield to Maturity Example

Enter Bond data into Column B of the Yellow Region. Revise your y estimate until you are sufficiently close to the bond's correc
Bond Details
F
1000
c
0.1
Guess for y
0.15
n
30
Initial Bond Price
1000
PV Bond
671.701
DECREASE YOUR y ESTIMATE

Note: This calculator assumes that coupon payments are made annually beginning in one year.

ufficiently close to the bond's correct yield.

2X2 Matrix Inversion: Gauss-Jordan Elimination

This worksheet provides a step-by-step example on how to invert a 2X2 matrix by hand.
Suppose that we wish to invert the following matrix one step at a time using a Gauss-Jordan elimination procedure:
1
2
3
4
First, we augment the matrix with the identity matrix (a matrix with 1's in the Principal Diagonal and zeros elsewhere):
1
2
1
0
3
4
0
1
We start in the first column and the first row. Simply perform row operations to obtain a 1 in the first row of the first column:
1
2
1
0 Row 1 * 1/A7
3
4
0
1
Now, perform row operations to obtain a zero in the second row of the first column:
1
2
1
0
0
-2
-3
1 Row 2 - A11 * Row 1
Now, perform a row operation to obtain a 1 in the second row of the second column:
1
2
1
0
0
1
1.5
-0.5 Row 2 * 1/B14
Now, perform row operations to obtain a zero in the first row of the second column:
1
0
-2
1 Row 1 - B16 * Row 2
0
1
1.5
-0.5
The last two columns represent the inverse of our original matrix. We can check our work below:
-2
1
1.5
-0.5
You may use this worksheet for any 2X2 matrix. Simply enter elements into the yellow input area A4:B5
and output will appear in the red areas just above here. The matrix will be solved step-by-step.

n elimination procedure:

onal and zeros elsewhere):

n the first row of the first column:

ut area A4:B5

Matrix Inversion: Gauss-Jordan Elimination

This worksheet provides a step-by-step example on how to invert a 3X3 matrix by hand.
Suppose that we wish to invert the following matrix one step at a time using a Gauss-Jordan elimination procedure:
5
0
8
2
4
0
4
8
4
First, we augment the matrix with the identity matrix (a matrix with 1's in the Principal Diagonal and zeros elsewhere):
5
0
8
1
0
0
2
4
0
0
1
0
4
8
4
0
0
1
We start in the first column and the first row. Simply perform row operations to obtain a 1 in the first row of the first column:
1
0
1.6
0.2
0
0 Row 1 * 1/A8
2
4
0
0
1
0
4
8
4
0
0
1
Now, perform row operations to obtain a zero in the second row of the first column:
1
0
1.6
0.2
0
0
0
-4
3.2
0.4
-1
0 Row 1 * A13 - Row 2
4
8
4
0
0
1
Now, perform row operations to obtain a zero in the third row of the first column:
1
0
1.6
0.2
0
0
0
-4
3.2
0.4
-1
0
0
-8
2.4
0.8
0
-1 Row 1*A18 - Row 3
Now, perform a row operation to obtain a 1 in the second row of the second column:
1
0
1.6
0.2
0
0
0
1
-0.8
-0.1
0.25
0 Row 2 * 1/B21
0
-8
2.4
0.8
0
-1
Now, perform row operations to obtain a zero in the first row of the second column:
1
0
1.6
0.2
0
0 Row 1 - Row 2 * B24
0
1
-0.8
-0.1
0.25
0
0
-8
2.4
0.8
0
-1
Now, perform row operations to obtain a zero in the third row of the second column:
1
0
1.6
0.2
0
0
0
1
-0.8
-0.1
0.25
0
0
0
-4
0
2
-1 Row 3 - B30 * Row 2
Now, perform a row operation to obtain a 1 in the third row of the third column:
1
0
1.6
0.2
0
0
0
1
-0.8
-0.1
0.25
0
0
0
1
0
-0.5
0.25 Row 3 * 1/C34
Now, perform row operations to obtain a zero in the first row of the third column:
1
0
0
0.2
0.8
-0.4 Row 1 - C36 * Row 3
0
1
-0.8
-0.1
0.25
0
0
0
1
0
-0.5
0.25
Now, perform row operations to obtain a zero in the second row of the third column:
1
0
0
0.2
0.8
-0.4
0
1
0
-0.1
-0.15
0.2 Row 2 - $C41 * Row 3
0
0
1
0
-0.5
0.25
The last three columns represent the inverse of our original matrix. We can check our work below:
0.2
0.8
-0.4
-0.1
-0.15
0.2
0
-0.5
0.25
You may use this worksheet for any 3X3 matrix. Simply enter elements into the yellow input area A4:C6

and output will appear in the red areas just above here. The matrix will be solved step-by-step.

n elimination procedure:

onal and zeros elsewhere):

n the first row of the first column:

ut area A4:C6

Inverting Matrices and Solving Systems of Linear Equations

0.01
0
0.02

0
0.04
0.03
V

0.02
0.03
0.09

245.5 54.55 -72.73

54.55 45.45 -27.27
-72.73 -27.27 36.36
V-1

Let V represent a 3X3 matrix that we wish to invert

V-1 is the inverse

of Matrix V

1 1E-16
0
1
0
0
I

Steps:
1. Enter elements of matrix to be inverted into cells A3:C5.
2. Highlight A8:C10 for location of inverse matrix.
3. Left click the "Paste Function" (fx) button on the menu bar.
4. Select "MATH & TRIG" in the Dialogue Box.
5. Select "MINVERSE" in the Dialogue Box and left click OK.
6. Enter A3:C5 as the array to invert. Do not click OK.
7. Simultaneously enter "Ctrl" "Shift" and "Enter."
8. The inverted matrix should now appear in the highlighted region.

0
0
1

We check to see if
V X V-1 = I

We check to see if

Portfolio Variance Matrices: w'Vw = s2p

Assume three securities with w(1) =.2, w(2) = .3 and w(3) = .5. Security variances are .01, .04 and .09.
Covariances are COV(1,2) = 0, COV(1,3) = .02 and COV(2,3) = .03. Find portfolio standard deviation.
Weights Vector
Variance/Covariance Matrix

0.2
0.3
0.5
w

0.01
0
0.02

0
0.04
0.03
V

0.02
0.03
0.09

These are the weights and

variance/covariance matrices
to be multiplied
First, multiply w'V

0.2

0.012

0.3
w'

0.027
w'V

0.5

0.058

0.01
0
0.02

0.2
0.3
0.5
w

0
0.04
0.03
V

0.02
0.03
0.09

0.012

0.027
w'V

Next, multiply w'V by w

0.04 Portfolio Variance

Standard deviation is the square root of variance

0.199 Portfolio Standard Deviation

0.058

root of variance

dard Deviation

Holmes and Market Risk Premiums:

Calculating Beta

0.14
0.12

Year Holmes Co.

Market T-Bill
2006
12%
10%
6%
2007
18%
14%
6%
2008
7%
6%
6%
2009
3%
2%
6%
2010
10%
8%
6%

0.1
0.08
0.06
0.04
0.02

rH-rf
0.06
0.12
0.01
-0.03
0.04

rM-rf
0.04
0.08
0
-0.04
0.02

-0.04

0.006

X Variable
1 Residual Plot
0.004
Residuals

0.0032 0.00252

H,M =
b1 =
H,M =

.04

-0.02

Summary Output: Excel Functions

H2 =
M2 =

.02

-.04

0.002
0.0025
1.25
0.996

-0.06

0.0016

0.002

0.5
-0.04
0
0

0
-0.02
-0.002 0

0.02

0.01
-0.004

0.02

0.002

0.04

0.03

X Variable 1

-0.006

1.25

0.996

2H,M = 0.99206 0.99206

b0 =
0.015
0.015
Summary Output with Matrix Mathematics

0.04

0.08

0 -0.04

0.02

0.04

0.08

1
1
1

0
-0.04
0.02
X

0.06

0.25
-2.5

-2.5
125

1
0.04

1
0.08

(XTX)-1

1
0

1
-0.04

1
0.02

XT

0.15

0.05

0.25

0.35

2.5

7.5

-2.5

-7.5 4E-16

(XTX)-1XT

0.2

0.06

0.015

0.12
0.01
-0.03
0.04
y

1.25
=

SUMMARY OUTPU

Regression Stat
Multiple R
R Square
Standard Error
Observations
ANOVA
Regression
Residual
Total

-0.03

0.01
0.04
0.06

0.12

SUMMARY OUTPUT: Excel Spreadsheet Regression

Regression Statistics
Multiple R

0.996023841

R Square

0.992063492

Adjusted R Square

0.989417989

Standard Error

0.005773503

Observations

ANOVA
.08

df

0.0125

0.0125

Residual

1E-04

3.33E-05

Total

0.0126

Coefficients

0.03

X Variable 1

0.1

0.04

Intercept
0.08

MS

Regression

Residual Plot
0.06

SS

Standard Error

t Stat

375

P-value

0.015

0.002886751 5.196152 0.013847

1.25

0.064549722 19.36492 0.000301

RESIDUAL OUTPUT

0.05

Observation

0.1

0.1

0.01
XTX

Predicted Y

Residuals
Standard Residuals

0.065

-0.005

-1

0.115

0.005

0.015

-0.005

-1

4
5

-0.035
0.04

0.005
-6.939E-18

1
-1E-15

xi

xi

xi2

0.15
2.5

0.05
7.5

0.25
-2.5

0.35
-7.5

0.2
4.44E-16

(XTX)-1XT

= b0
= b1

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.996024
R Square
0.992063
Adjusted R Square
0.989418
Standard Error 0.005774
Observations
5
ANOVA
df
1
3
4

MS
0.0125
0.0125
1E-04 3.33333E-05
0.0126

Coefficients
0.015
1.25

Standard Error
t Stat
0.002886751 5.196152423
0.064549722 19.36491673

Regression
Residual
Total

Intercept
X Variable 1

SS

RESIDUAL OUTPUT
Observation Predicted Y
1
0.065
2
0.115
3
0.015
4
-0.035
5
0.04

Residuals
-0.005
0.005
-0.005
0.005
-6.93889E-18

Significance F
375 0.000301

P-value
Lower 95%Upper 95%
0.013846833 0.005813 0.024187
0.000300795 1.044574 1.455426

Significance F
0.000300795

Lower 95%

Upper 95%Lower 95.0%

Upper 95.0%

0.005813069 0.024187 0.005813 0.024187

1.044573974 1.455426 1.044574 1.455426

Lower 95.0% Upper 95.0%

0.005813069 0.024187
1.044573974 1.455426

Jensen's Alpha Illustration: Simple OLS

Rp-rf Rm-rf
0.11
0.09
0.02
0.13
0.01
0.11
0.22
0.21
0.08
-0.12
0.06
0.16
0.15
-0.07
-0.01
0.22
0.15
0.13
-0.11
0.13

0.02
0.01
0.03
0.08
-0.14
0.06
0.09
0.13
-0.01
-0.15
0.02
0.11
0.09
-0.11
-0.13
0.15
0.04
0.03
-0.18
0.07

SUMMARY OUTPUT

Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
Observations

0.930122286
0.865127468
0.857634549
0.038425474
20

ANOVA

df
Regression
Residual
Total

SS
1
18
19

Coefficients
Intercept
X Variable 1

0.073509121
0.951512255

MS

0.170477693 0.170477693 115.4593

0.026577307 0.001476517
0.197055

Standard Error

t Stat

0.00864236 8.505677269
0.088552299 10.74520108

P-value
1.01E-07
2.92E-09

Significance F
2.92226E-09

Lower 95%

Upper 95%Lower 95.0%

Upper 95.0%

0.055352198 0.091666 0.055352 0.091666

0.765470779 1.137554 0.765471 1.137554

Back Test for Mean Reversion or Momentum Evidence

Date
t Pricet
2/1/2007 1
49
2/2/2007 2
50
2/3/2007 3
51
2/4/2007 4
52
2/5/2007 5
55
2/6/2007 6
57
2/7/2007 7
58
2/8/2007 8
59
2/9/2007 9
58
2/10/2007 10
55
2/11/2007 11
53
2/12/2007 12
52

Returnt

Returnt-1

0.020408163
0.02
0.019607843
0.057692308
0.036363636
0.01754386
0.017241379
-0.016949153
-0.051724138
-0.036363636
-0.018867925

0.020408163
0.02
0.019607843
0.057692308
0.036363636
0.01754386
0.017241379
-0.016949153
-0.051724138
-0.036363636

Test for Significance of Momentum Coefficient

t Returnt Returnt-1
3
4
5
se(b)=
6
0.23679 7
8
t=
9
3.2593291 10
11
12

0.02
0.01961
0.05769
0.03636
0.01754
0.01724
-0.0169
-0.0517
-0.0364
-0.0189

0.020408163
0.02
0.019607843
0.057692308
0.036363636
0.01754386
0.017241379
-0.016949153
-0.051724138
-0.036363636

r = .002

E[Rt]

,i

0.013735899
0.013420889
0.013118232
0.042510901
0.026049948
0.011525299
0.011291852
-0.015095574
-0.041934067
-0.030079203

0.00626
0.00619
0.04457
-0.0061
-0.0085
0.00572
-0.0282
-0.0366
0.00557
0.01121
SSR=

0.000775 = COV(rt, rt-1)

0.001004 = VAR( rt-1)
0.771776 = b

Evidence for Momentum

-0.00201 = a

r = .0020142 .7717758 rt 1

, i2
3.92E-05
3.83E-05
0.001987
3.78E-05
SSE
7.24E-05
n2
3.27E-05 se(b) =
=
2
(
r

r
)
0.000798
t
t
0.001342
3.1E-05
0.000126 Significant at .025 level
0.004503

.000562888
= .056069 = .23679
.01003

69 = .23679

Stock Y against the Market and Industry

On this sheet, we use matrices to compute regression coefficients b0, b1 and b2 for our stock return illustration.

Original Data
Year

Stock Y

Market

2000

0.15

2001
2002

Industry
0.1

0.4

0.25

0.1

-0.02

0.5

0.25

0.5

2003

0.35

0.25

0.5

2004

-0.18

-0.03

-0.4

2005

-0.3

0.08

-0.5

2006

0.4

0.3

0.6

2007

-0.17

-0.05

-0.23

2008

-0.35

-0.25

-0.4

2009

0.35

0.15

0.65

1
-0.03
-0.4

1
0.08
-0.5

1
0.3
0.6

1
-0.05
-0.23

1
-0.25
-0.4

1
0.15
0.65

1
0.08
-0.5

1
0.3
0.6

1
-0.05
-0.23

1
-0.25
-0.4

1
0.15
0.65

0.1
X
1
0.1
0.4

1
0.1
-0.02

1
0.25
0.5

1
0.25
0.5

XT

0.143411 -0.6315 0.122029

-0.6315 10.72305 -3.03254
0.122029 -3.03254 1.37181
(XTX)-1
1
0.1
0.4

1
0.1
-0.02

1
0.25
0.5

1
0.25
0.5

1
-0.03
-0.4
XT

1
1
1
1
1
1
1
1
1
1

0.1

0.4

0.1

-0.02

0.25

0.5

0.25

0.5

-0.03

-0.4

0.08

-0.5

0.3

0.6

-0.05

-0.23

-0.25

-0.4

0.15

0.65

10
0.9
1.1

0.9
0.3298
0.649

1.1
0.649
2.0658

XTX

-0.00928 = b0

0.666086 = b1
0.15
0.25
0.5
0.35
-0.18
-0.3
0.4
-0.17
-0.35
0.35
y

1
0.5024
1.3486
Xty

0.448505 = b2
b

Stock Y against the Market and Industry

On this sheet, we use the Excel Add-in regression function to compute regression coefficients b0, b1 and b2 for our stock return

Original Data
Year

Stock Y

Market

Industry

2000

0.15

0.1

0.4

2001

0.25

0.1

-0.02

2002

0.5

0.25

0.5

2003

0.35

0.25

0.5

2004

-0.18

-0.03

-0.4

2005

-0.3

0.08

-0.5

2006

0.4

0.3

0.6

2007

-0.17

-0.05

-0.23

2008

-0.35

-0.25

-0.4

2009

0.35

0.15

0.65

SS
0.830212274
0.083587726
0.9138

MS
0.415106137
0.011941104

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.953167
R Square
0.90852733
Adjusted R Square
0.882392281
Standard Error
0.109275357
Observations
10
ANOVA
df
Regression
Residual
Total

2
7
9

F
Significance F
34.7627946 0.000231483

Coefficients
Standard Error
t Stat
P-value
-0.009283302
0.041382246 -0.224330555 0.828907356
0.666086037
0.357833902 1.861439158 0.104989409
0.44850508
0.127987984 3.504274896 0.009935665

Intercept
X Variable 1
X Variable 2

RESIDUAL OUTPUT
Observation
1
2
3

Predicted Y
0.236727334
0.0483552
0.381490747

Residuals
-0.086727334
0.2016448
0.118509253

Lower 95%
-0.107136764
-0.180056685
0.145861589

4
5
6
7
8
9
10

0.381490747
-0.208667915
-0.180248959
0.459645557
-0.145743772
-0.355206843
0.382157905

-0.031490747
0.028667915
-0.119751041
-0.059645557
-0.024256228
0.005206843
-0.032157905

s b0, b1 and b2 for our stock return illustration.

Upper 95% Lower 95.0%

0.088570159 -0.107136764
1.512228759 -0.180056685
0.751148571 0.145861589

Upper 95.0%
0.088570159
1.512228759
0.751148571

Stock Y against the Market and Industry

On this sheet, we conduct simple calculations to verify regression coefficients b0, b1 and b2 and other outputs for our stock retu

Original Data
Year

Stock Y

Market

2000

0.15

2001
2002

Industry
0.1

0.4

0.25

0.1

-0.02

0.5

0.25

0.5

2003

0.35

0.25

0.5

2004

-0.18

-0.03

-0.4

2005

-0.3

0.08

-0.5

2006

0.4

0.3

0.6

2007

-0.17

-0.05

-0.23

2008

-0.35

-0.25

-0.4

2009

0.35

0.15

0.65

y=

0.1
0.3298
SUM (Rm)2

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.953167
R Square
0.90852733
Adjusted R Square
0.88239228
Standard Error
0.10927536
Observations
10

0.953167
0.90852733
0.882392281
0.109275357

= Multiple r
= r-square
= adjusted r-square
= Standard Error

ANOVA
df
Regression
Residual
Total

2
7
9

SS
MS
F
Significance F
0.830212274 0.415106 34.7627946 0.0002315
0.083587726 0.011941 34.7627946 = F
0.9138
0.9138 = SS

Coefficients Standard Error t Stat

P-value
Lower 95%
-0.0092833 0.041382246 -0.22433 0.828907356 -0.1071368
0.66608604 0.357833902 1.861439 0.104989409 -0.1800567
0.44850508 0.127987984 3.504275 0.009935665 0.1458616
T-Dist =
0.828907356 0.5887499
T-Dist =
0.104989409 0.0313411
T-Dist =
0.009935665 0.0002289

Intercept
X Variable 1
X Variable 2

Upper 95%
0.0885702
1.5122288
0.7511486
p-Value (Normal Distribution)
p-Value (Normal Distribution)
p-Value (Normal Distribution)

RESIDUAL OUTPUT
Observation
1
2

Predicted Y
Residuals
0.23672733 -0.086727334
0.0483552
0.2016448

Squared Residuals
0.00752163
0.040660625

-0.086727

3
4
5
6
7
8
9
10

0.38149075
0.38149075
-0.20866792
-0.18024896
0.45964556
-0.14574377
-0.35520684
0.38215791

0.118509253
-0.031490747
0.028667915
-0.119751041
-0.059645557
-0.024256228
0.005206843
-0.032157905
0.009287525
0.083587726

0.014044443
0.000991667
0.000821849
0.014340312
0.003557592
0.000588365
2.71112E-05
0.001034131
0.083587726

0.0119411 34.762795
130.09091
119.25
110.07692
102.21429
95.4
89.4375
84.176471

and other outputs for our stock return illustration.

yi - y
0.05
0.15
0.4
0.25
-0.28
-0.4
0.3
-0.27
-0.45
0.25
0

(yi - y ) 2
0.0025
0.0225
0.16
0.0625
0.0784
0.16
0.09
0.0729
0.2025
0.0625
0.9138 = SS
0.4569 = SS/m

r(y,m) =
r(y,I) =
r(m,I) =

0.864904
0.929112
0.790679

R-square = 0.908527
0.15
0.1
0.4

0.25
0.1
-0.02

0.34756
0.654304

0.0119411

Lower 95.0% Upper 95.0%

-0.10713676 0.0885702
-0.18005669 1.5122288
0.145861589 0.7511486
p-Value (Normal Distribution)
p-Value (Normal Distribution)
p-Value (Normal Distribution)

0.3108

0.5
0.25
0.5

0.35
0.25
0.5

=F

96.36363636

112.72727 41.73913

42.12

-0.18
-0.03
-0.4

-0.3
0.08
-0.5

0.4
0.3
0.6

-0.17
-0.05
-0.23

-0.35
-0.25
-0.4

0.35
0.15
0.65

Stock Y against the Market and Industry

On this sheet, we use matrices to compute regression coefficients b0, b1 and b2 for our stock return illustration.

Original Data
Year

Stock Y

Market

2000

0.15

2001
2002

Industry
0.1

0.4

0.25

0.1

-0.02

0.5

0.25

0.5

2003

0.35

0.25

0.5

2004

-0.18

-0.03

-0.4

2005

-0.3

0.08

-0.5

2006

0.4

0.3

0.6

2007

-0.17

-0.05

-0.23

2008

-0.35

-0.25

-0.4

2009

0.35

0.15

0.65

1
-0.03
-0.4

1
0.08
-0.5

1
0.3
0.6

1
-0.05
-0.23

1
-0.25
-0.4

1
0.15
0.65

1
0.08
-0.5

1
0.3
0.6

1
-0.05
-0.23

1
-0.25
-0.4

1
0.15
0.65

0.1
X
1
0.1
0.4

1
0.1
-0.02

1
0.25
0.5

1
0.25
0.5

XT

0.143411 -0.6315 0.122029

-0.6315 10.72305 -3.03254
0.122029 -3.03254 1.37181
(XTX)-1
1
0.1
0.4

1
0.1
-0.02

1
0.25
0.5

1
0.25
0.5

1
-0.03
-0.4
XT

0.129074 -0.77221 0.367499

0.236727

Residuals
-0.08673

-0.08673 0.201645

0.077821

0.50146 -0.20866

0.048355

0.201645

0.0498
0.0498

0.381491
0.381491

0.118509
-0.03149

0.113545 0.259828 -0.33572

0.031877 1.742618 -0.80648
0.02718 0.765898 0.035354

-0.20867
-0.18025
0.459646

0.028668
-0.11975
-0.05965

0.146919 -0.47016 -0.04186

-0.14574

-0.02426

-0.00754 0.128045

0.252474 -2.09924

0.33144

-0.35521

0.005207

0.001457 -0.03621

0.128006 -0.99419 0.558825

0.382158

-0.03216

0.046552 0.532999
0.046552 0.532999

X(XTX)-1

X(XTX)-1XTy
Predicted Values

e = y - X(XTX)-1XTy
Residuals

0.083588
eTe

= Sum of Squared Resid

0.001712 -0.00754

Est. Var.[b|X] = (1/(n-m-1))*e e(X X

1
1
1
1
1
1
1
1
1
1

0.1

0.4

0.1

-0.02

0.25

0.5

0.25

0.5

-0.03

-0.4

0.08

-0.5

0.3

0.6

-0.05

-0.23

-0.25

-0.4

0.15

0.65

10
0.9
1.1

0.9
0.3298
0.649

1.1
0.649
2.0658

XTX

-0.00928 = b0

0.666086 = b1
0.15
0.25
0.5
0.35
-0.18
-0.3
0.4
-0.17
-0.35
0.35

1
0.5024
1.3486

0.448505 = b2
b

XTy

0.118509 -0.03149 0.028668 -0.11975 -0.05965 -0.02426 0.005207 -0.03216

eT
= Sum of Squared Residuals
0.001457

0.041382 = SE(b0)

-0.22433 = t(b0)

-0.03621

0.357834 = SE(b1)

1.861439 = t(b1)

0.127988 = SE(b2)

3.504275 = t(b2)

0.016381
T

|X] = (1/(n-m-1))*e e(X X)

-1

Bond Yields: Dt Against t and t2

1
1
1

D(2.5) =

0.7999402

y(0,2.5)=

0.09339477

1
2
4

1
3
9
X

3.323076923 -2.1961538
-2.196153846 1.7173077
0.326923077 -0.2788462
(XTX)-1
1
1
1
2
1
4

1
4
14

1
5
25

1
4
14

1
5
25

0.326923077
-0.278846154
0.048076923
1
3
9
XT

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.999731062
R Square
0.999462196
Adjusted R Square 0.998924391
Standard Error
0.005092511
Observations
5
ANOVA
df
Regression
Residual

SS
2 0.0963909
2 5.1867E-05

MS
F
Significance F
0.048195451 1858.41211 0.0005378
2.59337E-05

Total

4 0.09644277
Coefficients Standard Error
1.044110521 0.0092833
-0.097281394 0.00667354
-0.000154693 0.00111661

Intercept
X Variable 1
X Variable 2

t Stat
P-value
Lower 95%
112.4719606 7.9042E-05 1.0041677
-14.57718677 0.00467305 -0.1259953
-0.138538637 0.90250508 -0.0049591

RESIDUAL OUTPUT
Observation

Upper 95%
1.08405332
-0.0685675
0.00464968

Residual Maker:

1
2
3

Predicted Y
Residuals Residuals-Squared
0.946674434 -0.0032782
1.07466E-05
0.848928961 0.00524333
2.74925E-05
0.750874101 0.0004407
1.94217E-07

1
1
1
1

1
2
3
4

4
5

0.652819241 -0.0034986
0.553836221 0.00109274

1.22399E-05
1.19407E-06

5
15
53

15
55
217

53
217
919

3.3230769
-2.1961538
0.3269231

XX

1.453846154 -0.7576923
0.238461538 0.1230769
-0.323076923 0.4461538
-0.884615385 0.7692308
0.515384615 -0.5807692

0.096153846
-0.038461538
-0.076923077
-0.115384615
0.134615385

0.7923077 0.3230769
0.3230769 0.3307692
0.0461538 0.2615385
-0.2307692 0.1923077
0.0692308 -0.1076923

X(XTX)-1
1
0
0
0
0

0
1
0
0
0

0
0
1
0
0
I

0
0
0
1
0

0
0
0
0
1

Original Data
2

y0,t

Dt

1
2
3
4
5

0.06
0.082
0.1
0.114
0.125

0.943396226
0.85417229
0.751314801
0.649320683
0.554928957

1
2
3
4
5

1
4
9
14
25

1
1
1
1

1
2
3
4

1
4
9
14

25

5
15
53

15
55
217
T

XX

0.94339623
0.85417229
0.7513148
0.64932068
0.55492896
y

3.753132957
10.27761273
34.08563209

1.044110521
-0.09728139
-0.00015469
b

Xy

53
217
919

Lower 95.0% Upper 95.0%

1.00416772 1.08405332
-0.12599531 -0.06856748
-0.00495907 0.00464968

Residual Maker:

1
1
1

1
4
9
14

1
2
4

1
3
9

1
4
14
X

25

1
5
25

-2.1961538 0.32692308
1.71730769 -0.27884615
-0.2788462 0.04807692
T

(X X)

-1

0.04615385
0.26153846
0.32307692
0.38461538
-0.0153846

-0.23076923
0.19230769
0.38461538
0.57692308
0.07692308

0.069230769
-0.10769231
-0.01538462
0.076923077
0.976923077

X(XTX)-1XT
0.20769231
-0.3230769
-0.0461538
0.23076923
-0.0692308

-0.32307692
0.66923077
-0.26153846
-0.19230769
0.10769231

-0.04615385
-0.26153846
0.676923077
-0.38461538
0.015384615

0.230769
-0.19231
-0.38462
0.423077
-0.07692

I - X(XTX)-1XT
M = The Residual Maker
M is idempotent and symetric

-0.06923
0.107692
0.015385
-0.07692
0.023077

0.943396
0.854172
0.751315
0.649321
0.554929
y

Residuals
-0.00328
0.005243
0.000441
-0.0035
0.001093
e

Multi-Index Model: Index 1 and Index 2

On this sheet, we use matrices to compute regression coefficients b0, b1 and b2 for our 2-index model.

Original Data
Year

Return

Index 1

2001

0.15

2002
2003

Index 2
0.1

-0.2

0.25

0.1

-0.02

0.5

0.25

0.5

2004

0.35

0.25

-0.5

2005

-0.27

-0.03

-0.4

2006

-0.3

0.08

-0.5

2007

0.4

0.3

-0.2

2008

-0.28

-0.05

-0.23

2009

-0.1

-0.25

-0.34

2010

0.5

0.15

0.1

1
-0.03
-0.4

1
0.08
-0.5

1
0.3
-0.2

1
-0.05
-0.23

1
-0.25
-0.34

1
0.15
0.1

1
0.08
-0.5

1
0.3
-0.2

1
-0.05
-0.23

1
-0.25
-0.34

1
0.15
0.1

0.12
X
1
0.1
-0.2

1
0.1
-0.02

1
0.25
0.5

1
0.25
-0.5

0.208756 -0.57114 0.320413

-0.57114 4.594739 -0.88051
0.320413 -0.88051 1.347301
T

(X X)
1
0.1
-0.2

-1

1
0.1
-0.02

1
0.25
0.5

1
0.25
-0.5

1
-0.03
-0.4
XT

0.1

0.1

0.25

0.25

0.1

-0.2

-0.03

0.08

0.3

-0.05

10
0.9
-1.79

0.9
0.3298
0.0015

-1.79
0.0015
1.1689

-0.25

0.15

0.13355 =E[R(i)]
0.690847

(i)2

1
1
1
1
1
1
1
1
1
1

0.1

-0.02

0.25

0.5

0.25

-0.5

-0.03

-0.4

0.08

-0.5

0.3

-0.2

-0.05

-0.23

-0.25

-0.34

0.15

0.1

XX

0.099129 = b0

1.154299 = b1
0.15
0.25
0.5
0.35
-0.27
-0.3
0.4
-0.28
-0.1
0.5
y

1.2
0.4706
0.3664
Xty

0.463778 = b2
b

0.3298
1.1689

-0.2
-0.02
0.5
-0.5
-0.4 =
-0.5
-0.2
-0.23
-0.34
0.1

=VAR[I(1)]
=VAR[I(2)]

0.0015

Annual S&P500 Returns Regressed on Changes in 10-Yr. T-Bond Rates and Presidential Party

S&P 500 returns are reflected for the year ending prior to the start of the year (e.g., the return for year 1971 was .104931009).
The variable 10-T Rate is the change in the prior year 10-year Treasury bond rate from one year earlier (e.g., the rate increased
The Dummy variable for the presidential party affiliation takes a value of 1 is the president as of the year start is a Republican (e

Annual S&P500 Returns Regressed on Changes in 10-Yr. T-Bo

DATE
1972-01-01
1973-01-01
1974-01-01
1975-01-01
1976-01-01
1977-01-01
1978-01-01
1979-01-01
1980-01-01
1981-01-01
1982-01-01
1983-01-01
1984-01-01
1985-01-01
1986-01-01
1987-01-01
1988-01-01
1989-01-01
1990-01-01
1991-01-01

S&P Return 10-T Rate D/R

0.104931009
1
0.146176186
0.51
1
-0.188260135
0.53
1
-0.245031734
0.51
1
0.334895259
0.24
1
0.071649804
-0.53
1
-0.130539499
0.75
0
0.104819945
1.14
0
0.112225454
1.7
0
0.199278629
1.77
0
-0.118045113
2.02
1
0.230179028
-4.13
1
0.153153153
1.21
1
0.03125
-0.29
1
0.213286713
-2.19
1
0.270413064
-2.11
1
-0.052930057
1.59
1
0.139321357
0.42
1
0.191205326
-0.88
1
-0.042591993
-0.12
1

1992-01-01
1993-01-01
1994-01-01
1995-01-01
1996-01-01
1997-01-01
1998-01-01
1999-01-01
2000-01-01
2001-01-01
2002-01-01
2003-01-01
2004-01-01
2005-01-01
2006-01-01
2007-01-01
2008-01-01
2009-01-01
2010-01-01

0.278318842
0.046024803
0.086758725
-0.016363982
0.320623321
0.24706227
0.257289029
0.296265155
0.14159533
-0.063103697
-0.146312976
-0.214320169
0.264198964
0.043169216
0.082376144
0.113730029
-0.031878441
-0.372204009
0.298066037
0.131979921

-1.06
-0.43
-0.85
2.03
-2.13
0.93
-1.04
-0.82
1.94
-1.5
-0.12
-0.99
0.1
0.07
0.2
0.34
-1.02
-1.22
1.21

1
1
0
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1
0

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.347311871
R Square
0.120625535
Adjusted R Square 0.070375566
Standard Error
0.17044471
Observations
38
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

2
35
37

SS
0.139476326
1.016798967
1.156275293

Coefficients Standard Error

0.154900697
0.048006201
-0.031136909
0.02118257
-0.116144017
0.060079523

Annual S&P500 Returns Regressed on Changes in 10-Yr. T-Bo

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.137999705
R Square
0.019043918
Adjusted R Square -0.037010715
Standard Error
0.179889907
Observations
38
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

2
35
37

SS
0.021988135
1.132613259
1.154601393

Coefficients Standard Error

0.114025259
0.050666466
-0.002926917
0.022356403
-0.052076156
0.063408832

and Presidential Party Affiliation; 1973 to 2010

year 1971 was .104931009).

earlier (e.g., the rate increased by .51% in 1972).
e year start is a Republican (e.g., on January 1, 1977, the president was a Republican).

on Changes in 10-Yr. T-Bond Rates and Presidential Party Affiliation; 1973 to 2010

MS
F
Significance F
0.069738163 2.400509629 0.105449
0.029051399

t Stat
P-value
Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
3.226680989 0.002717375 0.057443 0.252358 0.057443 0.252358
-1.469930621 0.150513397 -0.07414 0.011866 -0.07414 0.011866
-1.933171414 0.061337043 -0.23811 0.005824 -0.23811 0.005824

on Changes in 10-Yr. T-Bond Rates and Presidential Party Affiliation; 1974 (lagged independent variables) to 2011

MS
F
Significance F
0.010994067 0.339738526 0.714278
0.032360379

t Stat
P-value
Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
2.250507454 0.030802901 0.011167 0.216884 0.011167 0.216884
-0.13092077 0.896587624 -0.04831 0.042459 -0.04831 0.042459
-0.821276069 0.41704832
-0.1808 0.076651
-0.1808 0.076651

t variables) to 2011

Management Compensation = f(merger, stock performance, interaction)

Firm
1
2
3
4
5
6
7
8
9
10

(000's)
Stock Merger Interaction
Compensation Return Dummy
Term
1309.057596
0.15
0
0
968.3782619
0.1
0
0
1507.801144
0.22
0
0
1764.293366
0.45
0
0
861.3526143 -0.07
0
0
3265.62936
0.18
1
0.18
1845.469454 -0.02
1
-0.02
4155.041237
0.31
1
0.31
2910.433255
0.15
1
0.15
3180.97272
0.17
1
0.17

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.996832
R Square 0.993674
Adjusted R Square
0.990512
Standard Error
109.2285
Observations
10
ANOVA
df
Regression
Residual
Total

SS
3 11245146
6 71585.23
9 11316731

Coefficients
Standard Error
Intercept 964.5202 69.16621
X Variable 1 1868.567 288.0425
X Variable 2 996.8745 111.9759
X Variable 3 5157.474 545.909

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.94846
R Square 0.899575
Adjusted R Square
0.870883
Standard Error
402.9317
Observations
10
ANOVA
df
Regression
Residual
Total

SS
2 10180254
7 1136478
9 11316731

Coefficients
Standard Error
Intercept 720.4253 236.6764
X Variable 1 3304.419 902.6088
X Variable 2 1828.986 255.0665

Compensation on return, merger dummy and interaction

MS
F
Significance F
3748382 314.1751 5.52E-07
11930.87

t Stat
13.94496
6.487122
8.902582
9.447497

P-value Lower 95% Upper 95%Lower 95.0%

Upper 95.0%
8.48E-06 795.2766 1133.764 795.2766 1133.764
0.000638 1163.752 2573.382 1163.752 2573.382
0.000112 722.8794 1270.87 722.8794 1270.87
8E-05 3821.683 6493.265 3821.683 6493.265

Compensation on return and merger dummy

MS
F
Significance F
5090127 31.35204 0.000321
162353.9

t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
3.043926 0.018743 160.7747 1280.076 160.7747 1280.076
3.660965 0.00806 1170.089 5438.75 1170.089 5438.75
7.170624 0.000182 1225.849 2432.122 1225.849 2432.122

Price Data for Three Target Firms

Target Firm
Fleet Boston
Disney
AT&T Wireless

FBF
Date

Symbol Announcement Date

FBF
10/27/2003
DIS
2/11/2004
AWE
1/18/2004

Calendar Date
Open
10
9
8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10

High

Low

Close Volume

10-Nov-03

40.32

40.6

40.21

40.35

7-Nov-03

41

41.02

40.5

40.5

4,188,800
6,886,200

6-Nov-03

40.55

40.94

40.1

40.93

10,945,000

5-Nov-03

40.02

40.57

40

40.55

11,056,600

4-Nov-03

40.45

40.8

40.14

40.26

13,285,900

3-Nov-03

40.3

40.57

39.91

40.52

12,562,300

31-Oct-03

40

40.48

40

40.39

11,617,100

30-Oct-03

39.95

40.23

39.46

40.1

18,065,700

29-Oct-03

38.62

39.9

38.6

39.55

27,672,400

28-Oct-03

39.05

39.5

38.39

38.8

29,173,800

27-Oct-03

39.81

40.44

39

39.2

57,491,700

24-Oct-03

32.04

32.05

31.56

31.8

2,836,800

23-Oct-03

31.99

32.23

31.84

32.06

4,354,300

22-Oct-03

32.02

32.29

31.9

31.99

3,514,300

21-Oct-03

32.76

32.76

32.4

32.41

3,773,000

20-Oct-03

32.73

32.74

32.35

32.7

2,893,400

17-Oct-03

32.97

32.98

32.51

32.61

2,856,100

16-Oct-03

32.4

32.99

32.31

32.85

4,096,100

15-Oct-03

32.8

32.95

32.35

32.52

3,479,400

14-Oct-03

32.5

32.69

32.26

32.63

3,323,900

13-Oct-03

32.16

32.77

32.16

32.4

2,393,700

DIS
Adj. Close Date Calendar Date Open High Low Close Volume
39.69
26.55 26.98 26.43
26.73
11,276,200
10
26-Feb-04
39.84
26 26.39 25.91
26.3
11,904,100
9
25-Feb-04
40.26
26.39 26.43
25.8
25.96
15,608,700
8
24-Feb-04
39.89
26.55 26.75 26.02
26.75
13,472,900
7
23-Feb-04
39.6
26.99 26.99 26.39
26.55
12,971,100
6
20-Feb-04
39.86
27
27.05
26.7
27
9,837,000
5
19-Feb-04
39.73
26.8
26.86
26.56
26.71
11,572,900
4
18-Feb-04
39.45
27.4 27.51 26.49
26.9
28,275,500
3
17-Feb-04
38.9
27.6 27.75 26.85
26.92
42,695,100
2
13-Feb-04
38.17
27.95 28.41 27.61
28
57,864,600
1
12-Feb-04
38.56
27.92
28 27.27
27.6 115,014,800
0
11-Feb-04
31.28
23.85
24.3 23.75
24.08
7,287,000
-1
10-Feb-04
31.54
23.35 23.98 23.28
23.77
10,311,600
-2
9-Feb-04
31.47
23.1 23.53
22.9
23.35
10,002,400
-3
6-Feb-04
31.88
23.3 23.52 23.14
23.2
7,344,900
-4
5-Feb-04
32.17
23.06 23.72 23.05
23.19
8,963,500
-5
4-Feb-04
32.08
23.43
23.88
23.1
23.26
10,004,600
-6
3-Feb-04
32.31
23.8 24.03
23.6
23.8
9,242,300
-7
2-Feb-04
31.99
23.72 24.18
23.7
24
17,033,000
-8
30-Jan-04
32.1
23.8 24.65 22.98
24.45
15,418,200
-9
29-Jan-04
31.87
24.07 24.13 23.51
23.67
7,306,500
-10
28-Jan-04

AWE
Adj. Close Date Calendar Date
Open High
26.73
11.09
10
3-Feb-04
26.3
11.12
9
2-Feb-04
25.96
8 30-Jan-04 11.05
26.75
7 29-Jan-04 11.18
26.55
6 28-Jan-04 11.17
27
5 27-Jan-04 10.83
26.71
4 26-Jan-04 10.85
26.9
3 23-Jan-04 10.73
26.92
2 22-Jan-04 10.86
28
1 21-Jan-04 10.61
27.6
0 20-Jan-04 10.43
24.08
9.93
-1 16-Jan-04
23.77
9.89
-2 15-Jan-04
23.35
9.45
-3 14-Jan-04
23.2
8.23
-4 13-Jan-04
23.19
8.16
-5 12-Jan-04
23.26
8.19
-6
9-Jan-04
23.8
8.25
-7
8-Jan-04
24
8.47
-8
7-Jan-04
24.45
7.98
-9
6-Jan-04
23.67
8
-10
5-Jan-04

Low

Close

Volume

Adj. Close

11.18

11.03

11.08

14,936,800

11.08

11.22

10.94

11.16

15,673,900

11.16

11.23

11

11.05

28,907,200

11.05

11.22

10.91

11.03

25,697,400

11.03

11.42

11

11.02

31,273,600

11.02

11.3

10.83

11.17

39,559,300

11.17

10.95

10.81

10.93

24,564,500

10.93

10.73

10.38

10.61

33,173,600

10.61

10.88

10.55

10.56

48,225,200

10.56

11

10.58

10.99

47,392,700

10.99

10.75

10.25

10.39

53,621,200

10.39

10.05

9.86

9.99

36,760,400

9.99

10.17

9.53

9.81

55,545,100

9.81

10.1

9.15

9.99

73,782,600

9.99

8.63

8.15

8.55

26,165,300

8.55

8.16

7.94

8.13

16,523,200

8.13

8.21

8.08

8.15

14,415,300

8.15

8.32

8.16

8.24

14,480,700

8.24

8.5

8.1

8.21

16,616,700

8.21

8.31

7.92

8.29

16,318,100

8.29

8.08

7.76

8.03

27,337,700

8.03

Returns Data for Three Target Firms

Target Firm
Symbol Announcement Date
Fleet Boston
FBF
10/27/2003
Disney
DIS
2/11/2004
AT&T Wireless AWE
1/18/2004
PRICES
RETURNS
Date FBF
DIS
AWE
FBF
DIS
AWE
10
39.69
26.73
11.08 -0.004 0.016 -0.01
9
39.84
26.3
11.16 -0.01 0.013 0.01
8
40.26
25.96
11.05 0.009 -0.03 0.002
7
39.89
26.75
11.03 0.007 0.008 9E-04
6
39.6
26.55
11.02 -0.007 -0.02 -0.01
5
39.86
27
11.17 0.003 0.011 0.022
4
39.73
26.71
10.93 0.007 -0.01 0.03
3
39.45
26.9
10.61 0.014
-0 0.005
2
38.9
26.92
10.56 0.019 -0.04 -0.04
1
38.17
28
10.99 -0.01 0.014 0.058
0
38.56
27.6
10.39 0.233 0.146 0.04
-1
31.28
24.08
9.99 -0.008 0.013 0.018
-2
31.54
23.77
9.81 0.002 0.018 -0.02
-3
31.47
23.35
9.99 -0.013 0.006 0.168
-4
31.88
23.2
8.55 -0.009 4E-04 0.052
-5
32.17
23.19
8.13 0.003
-0
-0
-6
32.08
23.26
8.15 -0.007 -0.02 -0.01
-7
32.31
23.8
8.24
0.01 -0.01 0.004
-8
31.99
24
8.21 -0.003 -0.02 -0.01
-9
32.1
24.45
8.29 0.007 0.033 0.032
-10
31.87
23.67
8.03 N/A
N/A
N/A

DATA FOR THE S&P 500 (^GSPC)

Calendar Date
Open

High

Low

Close

Volume

26-Feb-04

1,140.94

1,147.22

1,138.67

1,144.91

1,620,109,952

25-Feb-04

1,140.30

1,145.18

1,138.76

1,143.67

1,607,939,968

24-Feb-04

1,137.74

1,144.52

1,134.61

1,139.09

1,994,489,984

23-Feb-04

1,146.56

1,146.66

1,137.35

1,140.99

1,820,160,000

20-Feb-04

1,147.06

1,149.68

1,139.07

1,144.11

1,850,130,048

19-Feb-04

1,157.82

1,158.54

1,146.83

1,147.06

1,975,500,032

18-Feb-04

1,156.99

1,157.32

1,149.85

1,151.82

1,674,780,032

17-Feb-04

1,153.76

1,158.99

1,145.81

1,156.99

1,667,270,016

13-Feb-04

1,153.28

1,156.75

1,143.76

1,145.81

1,624,380,032

12-Feb-04

1,154.88

1,157.76

1,151.43

1,152.11

1,697,430,016

11-Feb-04

1,144.79

1,158.76

1,142.38

1,157.76

2,102,109,952

10-Feb-04

1,139.38

1,146.87

1,138.91

1,145.54

1,554,960,000

9-Feb-04

1,143.23

1,144.45

1,139.21

1,139.81

1,507,350,016

6-Feb-04

1,128.89

1,142.77

1,128.58

1,142.76

1,772,659,968

5-Feb-04

1,128.42

1,131.10

1,124.45

1,128.59

1,941,209,984

4-Feb-04

1,128.74

1,136.03

1,124.84

1,126.52

2,146,780,032

3-Feb-04

1,134.86

1,137.31

1,131.45

1,136.03

1,740,009,984

2-Feb-04

1,132.58

1,142.47

1,127.88

1,135.26

1,948,329,984

30-Jan-04

1,133.06

1,133.20

1,127.81

1,131.13

1,309,560,064

29-Jan-04

1,130.06

1,134.19

1,122.41

1,134.11

1,631,110,016

28-Jan-04

1,146.31

1,149.08

1,126.61

1,128.48

1,483,849,984

27-Jan-04

1,154.38

1,155.14

1,144.05

1,144.05

1,379,830,016

26-Jan-04

1,141.15

1,155.37

1,141.15

1,155.37

1,180,950,016

23-Jan-04

1,145.98

1,150.21

1,136.84

1,141.55

1,322,759,936

22-Jan-04

1,147.99

1,150.43

1,143.04

1,143.94

1,390,669,952

21-Jan-04

1,137.85

1,148.91

1,134.65

1,147.62

1,404,349,952

20-Jan-04

1,140.80

1,142.80

1,135.41

1,138.77

1,444,819,968

16-Jan-04

1,134.57

1,139.83

1,133.52

1,139.83

1,580,880,000

15-Jan-04

1,128.67

1,136.35

1,123.76

1,132.05

1,451,590,016

14-Jan-04

1,122.68

1,130.74

1,122.68

1,130.52

1,218,739,968

13-Jan-04

1,127.11

1,129.04

1,115.24

1,121.22

1,292,179,968

12-Jan-04

1,123.10

1,127.85

1,121.06

1,127.23

1,162,499,968

9-Jan-04

1,128.92

1,131.30

1,120.97

1,121.86

1,386,509,952

8-Jan-04

1,126.33

1,131.92

1,124.91

1,131.92

1,571,629,952

7-Jan-04

1,122.32

1,126.33

1,116.45

1,126.33

1,376,790,016

6-Jan-04

1,120.74

1,124.44

1,118.52

1,123.67

1,239,250,048

5-Jan-04

1,112.35

1,122.22

1,112.35

1,122.22

1,306,880,000

2-Jan-04

1,112.61

1,118.70

1,105.02

1,108.48

951,875,008

31-Dec-03

1,109.54

1,112.52

1,106.26

1,111.92

817,198,976

30-Dec-03

1,108.65

1,109.75

1,106.40

1,109.64

774,324,992

29-Dec-03

1,097.53

1,109.48

1,097.53

1,109.48

813,236,992

26-Dec-03

1,094.75

1,098.46

1,094.75

1,095.89

258,871,008

24-Dec-03

1,094.56

1,096.38

1,092.75

1,094.04

392,068,000

23-Dec-03

1,091.88

1,096.79

1,091.77

1,096.02

934,430,976

22-Dec-03

1,086.58

1,092.94

1,085.82

1,092.94

984,177,984

19-Dec-03

1,090.02

1,091.03

1,084.24

1,088.67

1,445,660,032

18-Dec-03

1,076.92

1,089.45

1,076.92

1,089.18

1,257,990,016

17-Dec-03

1,074.16

1,076.52

1,071.16

1,076.48

1,094,589,952

16-Dec-03

1,068.37

1,075.91

1,068.34

1,075.13

1,245,350,016

Adj. Close Return

FBF
1,144.91 0.001084
1,143.67 0.004021
1,139.09 -0.00167
1,140.99 -0.00273
1,144.11 -0.00257
1,147.06 -0.00413
1,151.82 -0.00447
1,156.99 0.009757
1,145.81 -0.00547
1,152.11 -0.00488
1,157.76 0.010667
1,145.54 0.005027
1,139.81 -0.00258
1,142.76 0.012555
1,128.59 0.001838
1,126.52 -0.00837
1,136.03 0.000678
1,135.26 0.003651
1,131.13 -0.00263
1,134.11 0.004989
1,128.48 -0.01361
1,144.05
-0.0098
1,155.37 0.012106
1,141.55 -0.00209
1,143.94 -0.00321
1,147.62 0.007772
1,138.77 -0.00093
1,139.83 0.006872
1,132.05 0.001353
1,130.52 0.008295
1,121.22 -0.00533
1,127.23 0.004787
1,121.86 -0.00889
1,131.92 0.004963
1,126.33 0.002367
1,123.67 0.001292
1,122.22 0.012395
1,108.48 -0.00309
1,111.92 0.002055
1,109.64 0.000144
1,109.48 0.012401
1,095.89 0.001691
1,094.04 -0.00181
1,096.02 0.002818
1,092.94 0.003922
1,088.67 -0.00047
1,089.18 0.011798
1,076.48 0.001256
1,075.13 0.006638

15-Dec-03

1,080.11

1,082.82

1,068.04

1,068.04

1,248,720,000

1,068.04

12-Dec-03

1,072.14

1,074.77

1,067.83

1,074.14

948,680,000

1,074.14

11-Dec-03

1,059.55

1,073.62

1,059.55

1,071.21

1,159,949,952

1,071.21

10-Dec-03

1,061.06

1,063.01

1,053.52

1,059.05

1,187,289,984

1,059.05

9-Dec-03

1,070.74

1,071.77

1,059.26

1,060.18

1,194,749,952

1,060.18

8-Dec-03

1,061.12

1,069.53

1,061.02

1,069.30

975,227,008

1,069.30

5-Dec-03

1,066.88

1,068.26

1,060.06

1,061.50

1,041,070,016

1,061.50

4-Dec-03

1,065.28

1,070.32

1,063.15

1,069.72

1,239,149,952

1,069.72

3-Dec-03

1,067.73

1,074.21

1,064.64

1,064.73

1,266,130,048

1,064.73

2-Dec-03

1,069.01

1,071.20

1,065.31

1,066.62

1,136,499,968

1,066.62

1-Dec-03

1,061.89

1,070.43

1,061.89

1,070.12

1,143,100,032

1,070.12

28-Nov-03

1,057.92

1,060.64

1,056.79

1,058.20

396,096,992

1,058.20

26-Nov-03

1,055.76

1,058.45

1,048.52

1,058.45

912,113,024

1,058.45

25-Nov-03

1,051.73

1,058.00

1,049.29

1,053.89

1,100,470,016

1,053.89

24-Nov-03

1,038.54

1,052.08

1,038.54

1,052.08

1,089,609,984

1,052.08

21-Nov-03

1,035.77

1,037.52

1,031.24

1,035.28

1,054,049,984

1,035.28

20-Nov-03

1,040.56

1,046.46

1,033.39

1,033.65

1,103,810,048

1,033.65

19-Nov-03

1,034.74

1,043.79

1,034.19

1,042.44

1,126,210,048

1,042.44

18-Nov-03

1,045.19

1,048.73

1,034.09

1,034.15

1,190,979,968

1,034.15

17-Nov-03

1,048.68

1,048.68

1,035.23

1,043.63

1,125,090,048

1,043.63

14-Nov-03

1,057.86

1,063.65

1,048.11

1,050.35

1,162,480,000

1,050.35

13-Nov-03

1,055.98

1,059.65

1,052.97

1,058.41

1,188,499,968

1,058.41

12-Nov-03

1,046.64

1,059.14

1,046.64

1,058.56

1,076,380,032

1,058.56

11-Nov-03

1,046.93

1,048.25

1,043.46

1,046.57

931,601,984

1,046.57

10-Nov-03

1,053.16

1,053.58

1,045.58

1,047.11

1,013,539,968

1,047.11

7-Nov-03

1,059.01

1,062.39

1,052.19

1,053.21

1,244,009,984

1,053.21

6-Nov-03

1,053.14

1,058.97

1,046.89

1,058.05

1,285,590,016

1,058.05

5-Nov-03

1,052.99

1,054.58

1,044.89

1,051.81

1,180,329,984

1,051.81

4-Nov-03

1,058.01

1,058.12

1,051.64

1,053.25

1,244,120,064

1,053.25

3-Nov-03

1,051.75

1,061.44

1,051.75

1,059.02

1,185,389,952

1,059.02

31-Oct-03

1,047.79

1,053.10

1,047.79

1,050.71

1,216,169,984

1,050.71

30-Oct-03

1,050.13

1,052.89

1,043.83

1,046.94

1,384,019,968

1,046.94

29-Oct-03

1,045.91

1,049.85

1,043.34

1,048.11

1,302,809,984

1,048.11

28-Oct-03

1,032.94

1,046.79

1,032.94

1,046.79

1,468,050,048

1,046.79

27-Oct-03

1,030.50

1,037.78

1,029.17

1,031.13

1,154,749,952

1,031.13

24-Oct-03

1,030.75

1,030.75

1,018.27

1,028.91

1,312,199,936

1,028.91

23-Oct-03

1,027.98

1,035.45

1,025.83

1,033.77

1,375,010,048

1,033.77

22-Oct-03

1,043.93

1,043.93

1,028.39

1,030.36

1,287,069,952

1,030.36

21-Oct-03

1,045.20

1,049.40

1,042.53

1,046.03

1,212,889,984

1,046.03

20-Oct-03

1,039.39

1,044.69

1,036.13

1,044.68

1,007,980,032

1,044.68

17-Oct-03

1,050.02

1,051.92

1,036.56

1,039.32

1,185,810,048

1,039.32

16-Oct-03

1,045.14

1,052.98

1,043.99

1,050.07

1,212,999,936

1,050.07

15-Oct-03

1,052.95

1,053.72

1,043.10

1,046.76

1,361,500,032

1,046.76

14-Oct-03

1,044.69

1,049.49

1,040.84

1,049.48

1,043,310,016

1,049.48

13-Oct-03

1,039.60

1,048.93

1,039.60

1,045.35

908,182,976

1,045.35

-0.00568
0.002735
0.011482
-0.00107
-0.00853
0.007348
-0.00768
0.004687
-0.00177
-0.00327
0.011264
-0.00024
0.004327
0.00172
0.016227
0.001577
-0.00843
0.008016
-0.00908
-0.0064
-0.00762
-0.00014
0.011456
-0.00052
-0.00579
-0.00457
0.005933
-0.00137
-0.00545
0.007909
0.003601
-0.00112
0.001261
0.015187
0.002158
-0.0047
0.00331
-0.01498
0.001292
0.005157
-0.01024
0.003162
-0.00259
0.003951
#DIV/0!

10
9
8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10

DIS

AWE
10
9
8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10

10
9
8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10

Abnormal Returns Data for Three Target Firms

Target Firm
Symbol Announcement Date
Fleet Boston
FBF
10/27/2003
Disney
DIS
2/11/2004
AT&T Wireless
AWE
1/18/2004
Abnormal Returns
Average
Date
FBF
DIS
AWE
Residuals (ARs)
10 0.002027 0.015266 -0.0078467
0.00314854
9 -0.00586 0.009076 0.0063035
0.003174039
8 0.003343 -0.02787 0.0044408
-0.006694588
7 0.00869 0.01026 -0.0040816
0.004956275
6 -0.00107 -0.01409 0.0001807
-0.004996184
5 -0.00464 0.01499 0.0317556
0.014036246
4 0.003497 -0.00259 0.0180539
0.006318598
3 0.015255
-0.0105 0.0068241
0.003859667
2 0.017864
-0.0331 -0.0359198
-0.017053025
1
-0.0253 0.019373 0.0499763
0.01468261
0 0.230579 0.135512
0.04097
0.135686966
-1 -0.00354 0.008014 0.0114761
0.005316123
-2 -0.00109 0.020569 -0.0193714
3.73539E-05
-3 0.00212 -0.00609 0.1601265
0.052052089
-4 -0.01031 -0.00141 0.0569922
0.015093001
-5 -0.00235 0.005362 -0.0072407
-0.001410205
-6 0.003119 -0.02337 -0.0020348
-0.007427746
-7 0.006841 -0.01198 -0.0013089
-0.002150834
-8 -0.00084 -0.01578 -0.0120174
-0.009543251
-9 0.003266 0.027964 0.0310865
0.020772193
-10 N/A
N/A
N/A
N/A

Residual
s
0.0116
0.00794
0.01834
0.00787
0.0079
0.01821
0.01061
0.01313
0.03027
0.03786
0.0948
0.00786
0.01999
0.09369
0.03656
0.00635
0.01404
0.00944
0.00777
0.01524
N/A

Normal
Deviate
0.2715
0.39957
-0.3649
0.63007
-0.6321
0.77059
0.59555
0.29393
-0.5633
0.38784
1.43123
0.67597
0.00187
0.55561
0.41285
-0.2219
-0.5289
-0.2278
-1.2279
1.36292
N/A

CAR
0.229858
0.226709
0.223535
0.23023
0.225274
0.23027
0.216234
0.209915
0.206055
0.223108
0.208426
0.072739
0.067423
0.067385
0.015333
0.00024
0.00165
0.009078
0.011229
0.020772
N/A

CAR
FBF
0.241609
0.239582
0.24544
0.242097
0.233407
0.234481
0.239118
0.235621
0.220366
0.202502
0.227803
-0.00278
0.000767
0.001852
-0.00027
0.010039
0.012391
0.009272
0.002431
0.003266
N/A

CAR
DIS
0.1196
0.104334
0.095258
0.123125
0.112865
0.12696
0.11197
0.114565
0.125065
0.158168
0.138796
0.003284
-0.00473
-0.0253
-0.01921
-0.0178
-0.02317
0.000202
0.012187
0.027964
N/A

CAR
AWE
0.328365
0.336212
0.329908
0.325467
0.329549
0.329368
0.297613
0.279559
0.272735
0.308654
0.258678
0.217708
0.206232
0.225603
0.065477
0.008485
0.015725
0.01776
0.019069
0.031086
N/A

CAR
0.229858
0.226709
0.223535
0.23023
0.225274
0.23027
0.216234
0.209915
0.206055
0.223108
0.208426
0.072739
0.067423
0.067385
0.015333
0.00024
0.00165
0.009078
0.011229
0.020772
N/A

CAR
s
0.104878
0.116474
0.118849
0.101692
0.108571
0.10127
0.094913
0.085448
0.074868
0.07733
0.062246
0.125584
0.120244
0.137692
0.044446
0.015645
0.021555
0.008781
0.00836
0.015241
N/A

Normal
Deviate
2.191678
1.946444
1.880836
2.263999
2.074906
2.273827
2.278221
2.456643
2.752261
2.885135
3.348411
0.579205
0.560715
0.489392
0.34498
0.01535
0.076564
1.033889
1.343124
1.362916
N/A

Normally Distributed Random Variables with a Known Event Disturbance

Mean return for stocks is zero
=
0.02
Disturbances:
Day 15 =
Day
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31

Stock 1
-0.02133
0.015773
-0.01916
0.017415
0.025689
-0.01876
-0.01072
0.00216
-0.00472
0.029143
0.004585
-0.03029
-0.02533
-0.01699
-0.01917
0.106761
0.010656
0.007613
0.013551
-0.02974
-0.00667
-0.00836
-0.00221
-0.00128
-0.01382
-0.03214
-0.02543
-0.02439
0.003008
0.015923
-0.01271

Stock 2
-0.03944
-0.02728
0.024521
-0.02116
0.023127
0.001734
-0.02337
-0.00315
-0.00629
-0.02718
0.010937
-0.01757
-0.00744
0.024913
0.014273
0.066392
0.020415
-0.00832
0.014452
-0.00764
-0.01979
0.02472
0.015561
0.031332
0.004126
-0.00242
-0.02197
0.005896
-0.02399
-0.01956
-0.01835

Stock 3
-0.04063
-0.04608
0.021839
0.01447
0.010833
-0.01694
-0.03337
-0.00324
-0.02614
0.016767
0.060108
0.020814
0.027665
-0.01844
0.001384
0.114192
0.015694
-0.01971
0.00883
0.009313
-0.00178
-0.01234
-0.01557
0.041078
0.00842
0.016916
0.007834
-0.00592
0.015248
0.022825
-0.01987

0.02 Day 16 =
Stock 4
0.013753
0.036016
-0.01059
0.053503
0.050723
0.036527
-0.01564
0.001318
0.018582
-0.01752
-0.00965
-0.00673
0.014545
-0.00421
0.011203
0.128066
0.032765
-0.0292
0.013437
0.000268
-0.01232
0.001888
0.011987
0.00423
0.013696
-0.03128
0.023475
0.005561
-0.00081
0.009641
0.008931

Stock 5
0.024338
-0.01579
0.015296
0.031664
-0.01718
0.022324
0.001881
0.002044
-0.00741
-0.01263
-0.0124
0.018264
0.010801
0.002734
0.03121
0.106272
0.00482
-0.00726
0.017094
-0.04274
-0.02101
0.011671
-0.00782
-0.02593
0.003421
-0.0125
-0.01929
0.010012
0.014718
0.005737
-0.01053

0.1 Day 17 =
Stock 6
0.013901
0.020201
0.003858
0.0114
0.009295
0.017004
0.03148
0.018464
-0.04172
0.014528
-0.01598
0.012137
0.03043
-0.00533
0.039011
0.12978
0.016734
-0.01084
-0.01235
-0.01019
8.93E-06
-0.01718
0.004691
-0.01894
0.028837
-0.00611
-0.00766
-0.00781
0.02874
-0.01406
-0.02104

Stock 7
0.002214
-0.01644
0.008798
-0.01967
0.022964
0.004413
-0.02824
0.016201
-0.02901
-0.01582
-0.01194
0.008318
0.00987
-0.02348
0.021403
0.100843
0.031472
0.015776
-0.00264
0.004781
0.007307
-0.00104
-0.009
0.008255
-0.00805
-0.03522
-0.00279
-0.01585
-0.02566
0.005194
-0.03053

0.02
Stock 8
-0.00786
0.000586
-0.01135
0.022197
-0.0097
-0.0153
-0.00838
0.017189
0.010515
-0.0085
-0.00724
0.00511
-0.00304
-0.00064
0.03697
0.112434
0.024403
0.005767
-0.01017
-0.00481
-0.00158
0.025131
0.035956
-0.0101
-0.05296
-0.00394
0.007546
-0.0102
-0.01668
0.000836
0.003643

Stock 9
-0.0221
0.047479
0.006264
-0.04761
0.015227
-0.04079
0.024362
-0.001
-0.00245
-0.02511
-0.00955
-0.02764
0.002565
0.033674
-0.00857
0.08292
0.003825
0.006824
-0.01576
0.005346
0.028634
0.011139
-0.00646
0.013808
0.007706
-0.00854
-0.01022
-0.02482
0.020984
-0.02827
-0.02711

Stock 10
0.021087
-0.01646
-0.00213
-0.02857
-0.04834
0.019562
-0.01798
-0.00966
0.017057
-0.00598
-0.00416
0.016869
0.02285
-0.00753
-0.00816
0.093259
0.018472
0.035206
-0.01148
0.014929
-0.0017
0.001011
0.021277
0.001965
0.0156
0.017427
0.010563
-0.00132
-0.04635
0.007682
0.012813

Average Residuals
ARt
t
Normal Deviate
-0.0056064
-0.00019872
0.003735327
0.003365117
0.008263766
0.000978712
-0.00799727
0.004031824
-0.00715971
-0.00523023
0.000469207
-7.1639E-05
0.008290974
-0.00152889
0.011955126
0.104092048
0.017925548
-0.00041351
0.001495071
-0.00604884
-0.00289113
0.003663406
0.004842045
0.004441952
0.000698365
-0.00978096
-0.00379523
-0.0068832
-0.00307908
0.000595317
-0.01147522

0.024316
0.029563
0.014593
0.031277
0.027434
0.023696
0.021496
0.009785
0.020064
0.019038
0.022503
0.019233
0.017207
0.018324
0.020359
0.019481
0.009899
0.018573
0.013184
0.017925
0.014252
0.014498
0.016159
0.020781
0.022303
0.018776
0.016019
0.012273
0.024245
0.016203
0.015107

-0.23056279
-0.00672202
0.255961867
0.107590806
0.301218451
0.041302543
-0.37204036
0.412047361
-0.35684533
-0.2747229
0.020850837
-0.00372472
0.481845111
-0.08343793
0.587229672
5.343287332
1.810760682
-0.02226351
0.113403536
-0.33745768
-0.20286412
0.252676017
0.299647653
0.213748429
0.03131315
-0.5209155
-0.23692451
-0.56081869
-0.12699609
0.036741347
-0.75958633

Averages: 0.003441412 0.018986

0.2004433

Day
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31

Cumulative Average Residuals for Ind

Stock 1
Stock 2
Stock 3
-0.02133 -0.03944 -0.04063
-0.00555 -0.06672 -0.08671
-0.02471 -0.0422 -0.06487
-0.0073 -0.06336 -0.0504
0.01839 -0.04023 -0.03956
-0.00037 -0.0385 -0.0565
-0.01108 -0.06186 -0.08987
-0.00892 -0.06501 -0.09311
-0.01364 -0.07131 -0.11925
0.015499 -0.09849 -0.10248
0.020084 -0.08755 -0.04237
-0.01021 -0.10512 -0.02156
-0.03554 -0.11256 0.006105
-0.05253 -0.08765 -0.01233
-0.0717 -0.07338 -0.01095
0.035059 -0.00698 0.103246
0.045715 0.01343 0.11894
0.053328 0.00511 0.099234
0.066879 0.019563 0.108064
0.037139 0.01192 0.117377
0.030468 -0.00788 0.115594
0.022103 0.016844 0.103249
0.019893 0.032406 0.087677
0.01861 0.063738 0.128755
0.004794 0.067864 0.137174
-0.02734 0.065447 0.154091
-0.05277 0.04348 0.161925
-0.07716 0.049376 0.156006
-0.07415 0.025385 0.171254
-0.05823 0.005825 0.194079
-0.07094 -0.01252 0.174205

verage Residuals for Individual Stocks

Stock 4
Stock 5
Stock 6
0.013753 0.024338 0.013901
0.04977 0.008547 0.034101
0.039183 0.023843 0.037959
0.092686 0.055508 0.049359
0.143409 0.038329 0.058654
0.179936 0.060652 0.075658
0.164293 0.062534 0.107138
0.165611 0.064578 0.125602
0.184194 0.057169 0.08388
0.166679 0.044536 0.098408
0.157026 0.032131 0.08243
0.150296 0.050394 0.094567
0.16484 0.061195 0.124997
0.160627 0.063929 0.119671
0.17183 0.095139 0.158681
0.299896 0.201411 0.288462
0.332661 0.206231 0.305196
0.30346 0.198975 0.294357
0.316897 0.216069 0.282002
0.317165 0.173331 0.271807
0.304846 0.152318 0.271816
0.306734 0.163989 0.254637
0.318721 0.156172 0.259328
0.322951 0.130247 0.240391
0.336647 0.133668 0.269229
0.305368 0.121164 0.263114
0.328843 0.101869 0.255449
0.334404 0.111881 0.247639
0.33359
0.1266 0.276379
0.343231 0.132336 0.262323
0.352162 0.121804 0.241287

Stock 7
0.002214
-0.01422
-0.00542
-0.02509
-0.00213
0.002286
-0.02596
-0.00976
-0.03877
-0.05459
-0.06653
-0.05822
-0.04835
-0.07183
-0.05042
0.050421
0.081894
0.097669
0.09503
0.099811
0.107119
0.106083
0.097085
0.105341
0.097289
0.062065
0.059272
0.043423
0.017764
0.022958
-0.00757

Stock 8
-0.00786
-0.00727
-0.01862
0.003581
-0.00612
-0.02142
-0.02979
-0.01261
-0.00209
-0.01059
-0.01784
-0.01273
-0.01577
-0.01641
0.020562
0.132996
0.157399
0.163166
0.152995
0.148185
0.146609
0.17174
0.207696
0.197592
0.144637
0.140694
0.14824
0.138041
0.121366
0.122202
0.125845

Stock 9
-0.0221
0.025376
0.031639
-0.01597
-0.00074
-0.04153
-0.01716
-0.01816
-0.02061
-0.04572
-0.05528
-0.08291
-0.08035
-0.04667
-0.05524
0.027677
0.031503
0.038326
0.022562
0.027908
0.056543
0.067681
0.061224
0.075032
0.082738
0.074202
0.063982
0.039166
0.06015
0.031881
0.004769

Stock 10
0.021087
0.00463
0.002501
-0.02607
-0.07441
-0.05485
-0.07283
-0.0825
-0.06544
-0.07141
-0.07558
-0.05871
-0.03586
-0.04339
-0.05155
0.041709
0.06018
0.095386
0.083903
0.098832
0.097127
0.098139
0.119416
0.121381
0.136981
0.154409
0.164972
0.163651
0.117302
0.124984
0.137797

Cumulative Average Residual Stati

CARt
Day
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31

-0.00561
-0.00581
-0.00207
0.001295
0.009559
0.010538
0.002541
0.006572
-0.00059
-0.00582
-0.00535
-0.00542
0.002871
0.001342
0.013297
0.117389
0.135315
0.134901
0.136396
0.130348
0.127456
0.13112
0.135962
0.140404
0.141102
0.131321
0.127526
0.120643
0.117564
0.118159
0.106684
Averages:

ulative Average Residual Statistics

t
Normal Deviate
0.024316 -0.23056
0.042554 -0.13642
0.035722 -0.05794
0.04975 0.026037
0.061158
0.1563
0.074937 0.140622
0.082666 0.030732
0.086478
0.076
0.08815 -0.00666
0.088089 -0.06604
0.078581 -0.06806
0.081152 -0.06679
0.088668 0.032379
0.084508 0.015881
0.095049 0.139899
0.110848 1.059011
0.113407 1.19318
0.103166 1.307613
0.103878 1.313047
0.101313 1.286589
0.09861 1.292524
0.094449 1.388253
0.098923 1.374417
0.090312 1.55465
0.096623 1.460336
0.098023 1.339697
0.109966 1.159683
0.11648 1.03574
0.121736 0.965728
0.123696 0.955235
0.130682 0.81636
0.08948 0.628627

Normally Distributed Random Variables with a Known Event Disturbance

Mean return for stocks is zero
=
0.02
Disturbances:
Day 3 =
Day
1
2
3
4
5
6
7

Stock 1
0.00318
-0.00288
0.013999
0.04621
0.035914
-0.04138
-0.03061

Stock 2
-0.0026
-0.00708
-0.00835
0.092033
-0.00261
-0.0159
0.031943

Stock 3
-0.00347
0.021229
0.005475
0.051475
0.014795
-0.04062
-0.00187

0 Day 4=
Stock 4
-0.00122
0.009362
0.014003
0.023577
0.03354
0.022924
-0.0097

Stock 5
-0.00875
-0.02235
0.008172
0.028341
0.033865
0.014363
0.00519

0.05 Day 5 =
Stock 6
0.024333
0.018954
0.010376
0.075461
0.007626
0.008188
0.003875

Stock 7
0.028207
0.013334
-0.01584
0.014567
-0.01289
-0.00821
0.006989

Normally Distributed Random Variables with a Known Event Disturbance

Mean return for stocks is zero
=
0.01
Disturbances:
Day 3 =
0 Day 4=
0.05 Day 5 =
Day
-3
-2
-1
0
1
2
3

Stock 1
-0.00378
0.01016
-0.0107
0.056038
0.027321
-0.0079
0.013774

Stock 2
0.018743
-0.01003
-0.00437
0.049864
0.004862
0.015381
-0.00935

Stock 3
-0.00634
-0.0116
-0.00469
0.053117
0.032417
0.015806
0.003762

Stock 4
0.019228
0.009446
-0.00562
0.038451
0.038128
-0.00549
-0.00397

Stock 5
-0.00426
-0.00836
0.001884
0.073299
0.021311
0.016388
-0.00168

Stock 6
-0.01817
-0.00897
-0.01665
0.058178
0.014303
0.009416
-0.00976

Stock 7
0.008591
0.005675
-0.00129
0.055564
0.034802
0.002636
0.005142

Normally Distributed Random Variables with a Known Event Disturbance

Mean return for stocks is zero
=
0.02
Disturbances:
Day 3 =
0 Day 4=
0.05 Day 5 =
Day
-3
-2
-1
0
1
2
3

Stock 1
0.043863
0.03598
-0.01593
0.071611
0.00084
-0.00275
-0.02504

Stock 2
0.043183
-0.02902
0.011724
0.032228
0.038864
0.010675
-0.00957

Stock 3
0.018956
0.047024
-0.00297
0.050559
0.007568
-0.01687
-0.0027

Stock 4
-0.01272
0.009618
0.032047
0.027148
0.004719
-0.00832
-0.03424

Stock 5
0.003188
-0.00858
0.02854
0.031698
0.04624
-0.01089
-0.01744

Stock 6
0.008026
0.003285
-0.00151
0.032934
0.010986
-0.01277
-0.00145

Stock 7
-0.01812
0.004673
-0.00846
0.074865
0.002
0.038231
-0.03445

0.02
Stock 8
0.032912
-0.0391
-0.04022
0.087915
0.013571
0.019581
0.008317

Stock 9
0.022793
0.003159
-0.03256
0.061385
0.004919
0.009966
0.027909

0.02
Stock 8
-0.00556
-0.00263
-0.00795
0.053724
0.012471
-0.01348
0.009899

Stock 9
-0.00883
0.010073
0.010509
0.037404
0.015684
0.002745
0.01582

0.02
Stock 8
-0.04478
0.029908
0.012117
0.045448
0.036629
0.01076
0.001693

Stock 9
-0.02437
0.003578
-0.00533
0.054037
0.022253
-0.01551
0.01658

Average Residuals
ARt
t
Normal Deviate

Day
1
2
3
4
5
6
7

Cumulative Average Residuals for Ind

Stock 1
Stock 2
Stock 3
0.00318 -0.0026 -0.00347
0.000295 -0.00968 0.017757
0.014294 -0.01804 0.023232
0.060504 0.073996 0.074707
0.096418 0.071385 0.089502
0.055042 0.055483 0.048887
0.024435 0.087426 0.047015

-3
-2
-1
0
1
2
3

Average Residuals
ARt
t
Normal Deviate
0.000140959 0.012061 0.011687539
-0.00071146 0.008908 -0.07986364
-0.00213311 0.010028 -0.21270907
0.051526657 0.01094 4.71002395
0.022382602 0.010769 2.078396361
0.001420697 0.013189 0.107718447
0.002813911 0.00895 0.314410681

Day
1
2
3
4
5
6
7

Cumulative Average Residuals for Ind

Stock 1
Stock 2
Stock 3
-0.00378 0.018743 -0.00634
0.006384 0.008718 -0.01794
-0.00431 0.00435 -0.02262
0.051724 0.054215 0.030494
0.079045 0.059077 0.062911
0.071148 0.074458 0.078717
0.084922 0.065105 0.082479

-3
-2
-1
0
1
2
3

Average Residuals
ARt
t
Normal Deviate
-0.00081726 0.029721 -0.02749757
0.010619319 0.022164 0.479130267
0.004409405 0.016103 0.273825859
0.046764675 0.016635 2.811231325
0.021620524 0.018684 1.15719514
-0.00154511 0.017046 -0.0906435
-0.01316934 0.016876 -0.78033693

Day
1
2
3
4
5
6
7

Cumulative Average Residuals for Ind

Stock 1
Stock 2
Stock 3
0.043863 0.043183 0.018956
0.079842 0.014159 0.06598
0.063915 0.025884 0.063008
0.135526 0.058112 0.113566
0.136367 0.096976 0.121134
0.133619 0.107651 0.104266
0.108576 0.098082 0.101562

Stock 10
-0.0241
0.014394
0.02553
0.094826
0.024658
0.028506
-0.00039

0.007128961
0.000901084
-0.00194264
0.057579064
0.015339231
-0.0002572
0.004165119

0.018767
0.019355
0.021627
0.029546
0.016583
0.025332
0.017702

0.379865237
0.046555079
-0.08982447
1.948810723
0.924997307
-0.01015315
0.235286034

Averages: 0.011844803 0.021273 0.490790966

Stock 10 Day
0.001769
-0.00088
0.017535
0.039626
0.022527
-0.02129
0.004503

Stock 10 Day
-0.02541
0.009727
-0.00614
0.047118
0.046106
-0.00802
-0.02507

verage Residuals for Individual Stocks

Stock 4
Stock 5
Stock 6
-0.00122 -0.00875 0.024333
0.008141 -0.0311 0.043288
0.022145 -0.02293 0.053663
0.045722 0.005415 0.129125
0.079262 0.03928 0.136751
0.102186 0.053643 0.144939
0.092485 0.058833 0.148813

Stock 7
0.028207
0.041541
0.025699
0.040266
0.027381
0.019175
0.026164

Stock 8
0.032912
-0.00619
-0.04641
0.041501
0.055072
0.074652
0.082969

Stock 9
0.022793
0.025953
-0.00661
0.054775
0.059694
0.06966
0.097569

Stock 10
-0.0241
-0.0097
0.015828
0.110655
0.135313
0.163819
0.163427

Cumulative Average Residual Stati

CARt
Day
1
2
3
4
5
6
7

0.007129
0.00803
0.006087
0.063666
0.079006
0.078749
0.082914
Averages:

verage Residuals for Individual Stocks

Stock 4
Stock 5
Stock 6
0.019228 -0.00426 -0.01817
0.028675 -0.01262 -0.02714
0.023054 -0.01074 -0.04379
0.061505 0.062559 0.014389
0.099633 0.08387 0.028692
0.094138 0.100258 0.038108
0.090171 0.098574 0.028352

Stock 7
0.008591
0.014266
0.012976
0.06854
0.103342
0.105978
0.11112

Stock 8
-0.00556
-0.00819
-0.01613
0.03759
0.050061
0.036576
0.046475

Stock 9
-0.00883
0.001247
0.011756
0.04916
0.064844
0.067589
0.083409

Stock 10
0.001769
0.000893
0.018428
0.058055
0.080582
0.059293
0.063797

Cumulative Average Residual Statis

Day
CARt
1 0.000141
2 -0.00057
3 -0.0027
4 0.048823
5 0.071206
6 0.072626
7 0.07544

verage Residuals for Individual Stocks

Stock 4
Stock 5
Stock 6
-0.01272 0.003188 0.008026
-0.0031 -0.00539 0.011311
0.028948 0.023152 0.009802
0.056096 0.05485 0.042736
0.060815 0.10109 0.053722
0.052496 0.090199 0.040957
0.018261 0.072762 0.039505

Stock 7
-0.01812
-0.01345
-0.02191
0.052957
0.054957
0.093188
0.058734

Stock 8
-0.04478
-0.01487
-0.00275
0.042698
0.079327
0.090087
0.09178

Stock 9
-0.02437
-0.02079
-0.02612
0.027916
0.050169
0.034662
0.051242

Stock 10
-0.02541
-0.01568
-0.02181
0.025304
0.07141
0.063389
0.038318

Cumulative Average Residual Statis

Day
CARt
1 -0.00082
2 0.009802
3 0.014211
4 0.060976
5 0.082597
6 0.081052
7 0.067882

ulative Average Residual Statistics

t
Normal Deviate
0.018767 0.379865
0.024044 0.333968
0.029257 0.20807
0.035846 1.776106
0.036766 2.148889
0.045266 1.739684
0.046739 1.773966
0.033812 1.194364

ulative Average Residual Statistics

t
Normal Deviate
0.012061 0.011688
0.016419 -0.03475
0.020942 -0.1291
0.016696 2.924155
0.022758 3.128764
0.023747 3.058281
0.024781 3.044296

ulative Average Residual Statistics

t
Normal Deviate
0.029721 -0.0275
0.035299 0.277684
0.033034 0.430207
0.03573 1.70659
0.030156 2.738962
0.031988 2.533773
0.031268 2.17096

Annual Stock Against S&P500 and Industry Returns; 1971 to 2010

Year
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010

Stock
Return
0.10744
-0.20158
-0.52248
0.43227
-0.05039
-0.37331
0.27566
0.20091
0.23306
-0.27492
0.27318
0.43995
0.11354
0.45988
0.33915
-0.39223
0.22408
0.21501
-0.13159
0.35984
-0.05446
0.20876
-0.16123
0.67425
0.42950
0.46644
0.40817
0.35882
-0.16301
-0.20730
-0.19424
0.43350
0.21498
0.06276
0.19643
-0.29032
-0.62574
0.56938
0.40864
0.24785

S&P
Return
0.146176
-0.18826
-0.24503
0.334895
0.07165
-0.13054
0.10482
0.112225
0.199279
-0.11805
0.230179
0.153153
0.03125
0.213287
0.270413
-0.05293
0.139321
0.191205
-0.04259
0.278319
0.046025
0.086759
-0.01636
0.320623
0.247062
0.257289
0.296265
0.141595
-0.0631
-0.14631
-0.21432
0.264199
0.043169
0.082376
0.11373
-0.03188
-0.3722
0.298066
0.13198
0.10493

Industry
Return
0.14585
-0.17561
-0.23107
0.33108
0.08910
-0.13011
0.09815
0.11660
0.19621
-0.13030
0.23046
0.16905
0.03702
0.21460
0.26119
-0.04328
0.14231
0.21137
-0.05571
0.27623
0.05752
0.09084
-0.01437
0.32173
0.24886
0.26269
0.31905
0.12999
-0.07217
-0.16259
-0.19132
0.24827
0.04769
0.07588
0.10720
-0.02119
-0.37522
0.29622
0.11869
0.09907

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.928733544
R Square
0.862545997
Adjusted R Square
0.85511605
Standard Error
0.121703412
Observations
40
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

SS
2 3.438999416
37 0.548033658
39 3.987033074

Coefficients
Standard Error
-0.021423527 0.021616345
3.006318797 1.856435223
-1.293186386 1.863567292

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.927769955
R Square
0.86075709
Adjusted R Square
0.857092802
Standard Error
0.120870319
Observations
40
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1

SS
1 3.431866985
38 0.555166089
39 3.987033074

Coefficients
Standard Error
-0.023684743 0.021223049
1.720471469 0.112254024

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.923473656
R Square
0.852803593

Adjusted R Square

0.848930003

Standard Error

0.124274415

Observations

40

ANOVA
df
Regression

Residual
Total

Intercept
X Variable 1

SS
3.40015613

38 0.586876945
39 3.987033074
Coefficients
Standard Error
-0.025774435 0.021901833
1.719083457 0.115858862

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.998144831
R Square
0.996293104
Adjusted R Square
0.996195554
Standard Error
0.010594144
Observations
40
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1

SS
1 1.146283555
38 0.004264964
39 1.150548519

Coefficients
Standard Error
0.001748561 0.001860176
0.994324825 0.009838936

Regression on Full Data Set

MS
F
Significance F
1.7195 116.0905 1.1374E-16

t Stat
P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
-0.99108 0.328084 -0.0652224 0.022375 -0.06522 0.022375
1.619404 0.113854 -0.75517623 6.767814 -0.75518 6.767814
-0.69393 0.49206 -5.06913236 2.48276 -5.06913 2.48276

Regression on the S&P500 Return Only

MS
F
Significance F
3.431867 234.9044 7.4422E-18

t Stat
P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
-1.11599 0.271433 -0.06664856 0.019279 -0.06665 0.019279
15.32659 7.44E-18 1.49322508 1.947718 1.493225 1.947718

Regression on Industry Return Only

0.066121

MS

3.400156 220.1585

Significance F
2.1476E-17

Table 5: SSE and r-Square Values

t Stat
P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
-1.17682 0.246588 -0.07011238 0.018564 -0.07011 0.018564
14.83774 2.15E-17 1.48453946 1.953627 1.484539 1.953627

Industry Returns Against S&P 500 Returns

MS
F
Significance F
1.146284 10213.16 8.3398E-48
0.000112

t Stat
P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
0.939998 0.353156 -0.00201717 0.005514 -0.00202 0.005514
101.0602 8.34E-48 0.97440694 1.014243 0.974407 1.014243

Table 2 Table 3
0.54803

Table 4

0.555166

0.58688
0.86255
0.86076
0.852804

SSE and r-Square Values

=

0.012847 0.012847

0.066186 0.066186

Annual Stock Against S&P500 and Industry Returns; 1971 to 2010

b0 =

Year
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010

0.03 b1 =
Stock
Return
0.10744
-0.20158
-0.52248
0.43227
-0.05039
-0.37331
0.27566
0.20091
0.23306
-0.27492
0.27318
0.43995
0.11354
0.45988
0.33915
-0.39223
0.22408
0.21501
-0.13159
0.35984
-0.05446
0.20876
-0.16123
0.67425
0.42950
0.46644
0.40817
0.35882
-0.16301
-0.20730
-0.19424
0.43350
0.21498
0.06276
0.19643
-0.29032
-0.62574
0.56938
0.40864
0.24785

S&P
Return
0.146176
-0.18826
-0.24503
0.334895
0.07165
-0.13054
0.10482
0.112225
0.199279
-0.11805
0.230179
0.153153
0.03125
0.213287
0.270413
-0.05293
0.139321
0.191205
-0.04259
0.278319
0.046025
0.086759
-0.01636
0.320623
0.247062
0.257289
0.296265
0.141595
-0.0631
-0.14631
-0.21432
0.264199
0.043169
0.082376
0.11373
-0.03188
-0.3722
0.298066
0.13198
0.10493

1.1 b2 =
Industry
Return
0.14585
-0.17561
-0.23107
0.33108
0.08910
-0.13011
0.09815
0.11660
0.19621
-0.13030
0.23046
0.16905
0.03702
0.21460
0.26119
-0.04328
0.14231
0.21137
-0.05571
0.27623
0.05752
0.09084
-0.01437
0.32173
0.24886
0.26269
0.31905
0.12999
-0.07217
-0.16259
-0.19132
0.24827
0.04769
0.07588
0.10720
-0.02119
-0.37522
0.29622
0.11869
0.09907

0.5 Stock Random

Industry Random

0.1
0.01

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.928733544
R Square
0.862545997
Adjusted R Square
0.85511605
Standard Error
0.121703412
Observations
40
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

SS
2 3.438999416
37 0.548033658
39 3.987033074

Coefficients
Standard Error
-0.021423527 0.021616345
3.006318797 1.856435223
-1.293186386 1.863567292

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.920531271
R Square
0.847377821
Adjusted R Square
0.829422271
Standard Error
0.125546038
Observations
20
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

SS
2
1.48769667
17 0.267950731
19 1.755647401

Coefficients
Standard Error
-0.060652437
0.03358933
0.835775754 2.977698112
0.867432923
3.00575536

SUMMARY OUTPUT
Regression Statistics

Multiple R
R Square
Adjusted R Square
Standard Error
Observations

0.947946432
0.898602438
0.886673313
0.114342085
20

ANOVA
df
Regression
Residual
Total

SS
2
1.96970512
17 0.222259911
19 2.191965031

Coefficients
Standard Error
0.010121213
0.02797532
3.853114475 2.329593717
-2.10816525
2.32890988

Intercept
X Variable 1
X Variable 2

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.998144831
R Square
0.996293104
Adjusted R Square
0.996195554
Standard Error
0.010594144
Observations
40
ANOVA
df
Regression
Residual
Total

SS
1 1.146283555
38 0.004264964
39 1.150548519

Coefficients
Standard Error
0.001748561 0.001860176
0.994324825 0.009838936

Intercept
X Variable 1

RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12

Predicted Y
0.147095172
-0.185443165
-0.241892575
0.334743231
0.07299174
-0.128050103
0.105973634
0.113337116
0.19989625
-0.115626625
0.230621283
0.154032544

Residuals
-0.001246474
0.009831554
0.010819001
-0.003659931
0.016111605
-0.002058562
-0.007820651
0.003262435
-0.003691056
-0.014670343
-0.000158338
0.015014626

13
14
15
16
17
18
19
20
21
22
23
24

0.032821212
0.213824835
0.270626984
-0.050881108
0.140279246
0.191868764
-0.040601715
0.278487896
0.047512165
0.088014916
-0.014522553
0.320552289

0.004198292
0.000772743
-0.009437844
0.007597783
0.002026339
0.019505077
-0.01511179
-0.002256866
0.010003142
0.002821106
0.000156001
0.001174978

25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40

0.24740871
0.25757743
0.29633236
0.142540313
-0.060997012
-0.143734063
-0.211355303
0.26444815
0.044672784
0.083657206
0.114833153
-0.029948964
-0.368343125
0.298123021
0.132979474
0.106084068

0.001446474
0.005110541
0.022714849
-0.012553393
-0.011168861
-0.018855007
0.020034081
-0.016173478
0.003012539
-0.007781895
-0.00763726
0.008757749
-0.006879428
-0.001907871
-0.014286527
-0.007015343

1.0420015

Regression on Full Data Set

MS
F
Significance F
1.7195 116.0905 1.1374E-16
0.014812

t Stat
P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
-0.99108 0.328084 -0.0652224 0.022375 -0.06522 0.022375
1.619404 0.113854 -0.75517623 6.767814 -0.75518 6.767814
-0.69393 0.49206 -5.06913236 2.48276 -5.06913 2.48276

Regression on 1971 to 1990

MS
F
Significance F
0.743848 47.19309 1.1501E-07
0.015762

t Stat
-1.80571
0.280678
0.288591

P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
0.088703 -0.13151973 0.010215 -0.13152 0.010215
0.782344 -5.44661805 7.11817 -5.44662 7.11817
0.776384 -5.4741565 7.209022 -5.47416 7.209022

Regression on 1991 to 2010

MS
F
Significance F
0.984853 75.32845 3.5582E-09
0.013074

t Stat
0.361791
1.653986
-0.90522

P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
0.721966 -0.04890155 0.069144
-0.0489 0.069144
0.116475 -1.0618986 8.768128
-1.0619 8.768128
0.378002 -7.02173555 2.805405 -7.02174 2.805405

Industry Returns Against S&P 500 Returns

MS
F
Significance F
1.146284 10213.16 8.3398E-48
0.000112

t Stat
P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
0.939998 0.353156 -0.00201717 0.005514 -0.00202 0.005514
101.0602 8.34E-48 0.97440694 1.014243 0.974407 1.014243

S&P ReturnStock Return

0.146176 0.10744
-0.18826 -0.20158
-0.24503 -0.52248
0.334895 0.43227
0.07165 -0.05039
-0.13054 -0.37331
0.10482 0.27566
0.112225 0.20091
0.199279 0.23306
-0.11805 -0.27492
0.230179 0.27318
0.153153 0.43995

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.928734
R Square 0.862546
Adjusted R Square
0.855116
Standard Error
0.121703
Observations
40

Stock Returns versus S&P and Residuals

ANOVA
df
Regression

SS
2 3.438999

MS
F
Significance F
1.7195 116.0905 1.14E-16

0.03125
0.213287
0.270413
-0.05293
0.139321
0.191205
-0.04259
0.278319
0.046025
0.086759
-0.01636
0.320623

0.11354
0.45988
0.33915
-0.39223
0.22408
0.21501
-0.13159
0.35984
-0.05446
0.20876
-0.16123
0.67425

Residual
Total

37 0.548034 0.014812
39 3.987033

0.247062
0.257289
0.296265
0.141595
-0.0631
-0.14631
-0.21432
0.264199
0.043169
0.082376
0.11373
-0.03188
-0.3722
0.298066
0.13198
0.104931

0.42950
0.46644
0.40817
0.35882
-0.16301
-0.20730
-0.19424
0.43350
0.21498
0.06276
0.19643
-0.29032
-0.62574
0.56938
0.40864
0.24785

b * 0 = (b 0 + b 2 0 ) and b * 1 = (b 1 + b 2 1 )

Coefficients
Standard Error t Stat
P-value Lower 95%
Intercept
-0.02368 0.021369 -1.10835 0.274863 -0.06698
X Variable 1 -1.29319 1.863567 -0.69393 0.49206 -5.06913
X Variable 2 1.720471 0.113028 15.22168 1.64E-17 1.491456

b(0) =
b(1) =

-0.02368
1.720471

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.92777
R Square 0.860757
Adjusted R Square
0.857093
Standard Error0.12087
Observations
40

Stock Returns versus S&P Returns

ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 3.431867 3.431867 234.9044 7.44E-18
38 0.555166 0.01461
39 3.987033

Coefficients
Standard Error t Stat
P-value Lower 95%
Intercept
-0.02368 0.021223 -1.11599 0.271433 -0.06665
X Variable 1 1.720471 0.112254 15.32659 7.44E-18 1.493225

s S&P and Residuals

Significance F

Upper 95%Lower 95.0%

Upper 95.0%
0.019614 -0.06698 0.019614
2.48276 -5.06913 2.48276
1.949487 1.491456 1.949487

s S&P Returns

Significance F

Upper 95%Lower 95.0%

Upper 95.0%
0.019279 -0.06665 0.019279
1.947718 1.493225 1.947718

Annual Stock Against S&P500 and Industry Returns; 1971 to 2010

b0 =

DATE
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010

0.03 b1 =
Stock
Return
0.30335
-0.16693
-0.35542
0.56112
0.09266
-0.18279
0.08344
0.11417
0.19288
-0.20901
0.46529
0.26144
0.08462
0.39854
0.42666
-0.23613
0.08345
0.46660
-0.15002
0.46888
-0.08639
0.05387
-0.17635
0.55110
0.58767
0.49014
0.41706
0.16288
-0.27923
-0.26047
-0.42351
0.43990
-0.04446
0.07893
0.09529
-0.03719
-0.35815
0.49065
0.29852
0.17781

S&P
Return
0.146176
-0.18826
-0.24503
0.334895
0.07165
-0.13054
0.10482
0.112225
0.199279
-0.11805
0.230179
0.153153
0.03125
0.213287
0.270413
-0.05293
0.139321
0.191205
-0.04259
0.278319
0.046025
0.086759
-0.01636
0.320623
0.247062
0.257289
0.296265
0.141595
-0.0631
-0.14631
-0.21432
0.264199
0.043169
0.082376
0.11373
-0.03188
-0.3722
0.298066
0.13198
0.10493

1.1 b2 =
Industry
Return
0.15529
-0.20214
-0.23339
0.33927
0.04997
-0.11245
0.11341
0.10090
0.21554
-0.12420
0.23265
0.15951
0.03841
0.21825
0.26306
-0.05486
0.13717
0.19386
-0.04624
0.30287
0.03572
0.08153
-0.02592
0.31768
0.25854
0.26550
0.29353
0.14462
-0.05263
-0.13519
-0.21259
0.26938
0.04913
0.07842
0.11230
-0.00878
-0.37721
0.29601
0.13849
0.09842

0.5 Stock Random

Industry Random

0.1
0.01

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.946649213
R Square
0.896144733
Adjusted R Square 0.890530935
Standard Error
0.100230848
Observations
40
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

SS
MS
2 3.207408 1.603704
37 0.37171 0.010046
39 3.579118

Coefficients Standard Error t Stat

-0.024556047 0.018054 -1.36017
1.270436474 1.738658 0.730699
0.38513495 1.702774 0.226181

SUMMARY OUTPUT
Regression Statistics
Multiple R
1
R Square
1
Adjusted R Square
1
Standard Error
7.39726E-17
Observations
20
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1
X Variable 2

SS
MS
2 1.261398 0.630699
17
9.3E-32 5.47E-33
19 1.261398

Coefficients Standard Error t Stat

-0.03 1.88E-17 -1.6E+15
1.1 2.94E-16 3.74E+15
0.5 2.69E-16 1.86E+15

-2.11133

F
Significance F
159.6325 6.37E-19

P-value Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
0.182005 -0.06114 0.012024 -0.06114 0.012024
0.469565 -2.25242 4.793293 -2.25242 4.793293
0.822306 -3.06501 3.835284 -3.06501 3.835284

F
Significance F
1.15E+32 2.4E-265

P-value Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
1.9E-249
-0.03
-0.03
-0.03
-0.03
1E-255
1.1
1.1
1.1
1.1
1.5E-250
0.5
0.5
0.5
0.5

CPWN Weekly Stock Prices, 2010 and Heteroskedasticity

Closing
Week Ending Price
1/4/2010
0.98
1/11/2010
1.35
1/19/2010
1.24
1/25/2010
1.2
2/1/2010
1.16
2/8/2010
1.24
2/16/2010
1.38
2/22/2010
1.29
3/1/2010
1.97
3/8/2010
2.3
3/15/2010
1.82
3/22/2010
2.34
3/29/2010
2.16
4/5/2010
3.54
4/12/2010
4.55
4/19/2010
5.47
4/26/2010
5.43
5/3/2010
4.8
5/10/2010
5.45
5/17/2010
4.8
5/24/2010
4.65
6/1/2010
5.28
6/7/2010
4.86
6/14/2010
4.77
6/21/2010
3.83
6/28/2010
3.37
7/6/2010
3.22
7/12/2010
3.2
7/19/2010
3.51
7/26/2010
3.43
8/2/2010
3.36
8/9/2010
3.17
8/16/2010
3.09
8/23/2010
3.52
8/30/2010
3.8
9/7/2010
3.78
9/13/2010
4
9/20/2010
4.07
9/27/2010
4.16
10/4/2010
5.14
10/11/2010
5.21
10/18/2010
5.25
10/25/2010
5.16

t
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.79215114
R Square
0.62750343
Adjusted R Square
0.6200535
Standard Error
1.57507506
Observations
52
ANOVA
df

SS
MS
1 208.9615 208.9615
50 124.0431 2.480861
51 333.0046

F
84.2294235

CoefficientsStandard Error t Stat

0.81047511 0.443225 1.828587
0.13356698 0.014553 9.177659

P-value
0.07342955
2.6589E-12

Regression
Residual
Total

Intercept
X Variable 1

RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

Predicted Y
0.94404209
1.07760907
1.21117604
1.34474302
1.47831
1.61187697
1.74544395
1.87901093
2.0125779
2.14614488
2.27971186
2.41327884
2.54684581
2.68041279
2.81397977
2.94754674
3.08111372
3.2146807
3.34824767

Residuals
0.035958
0.272391
0.028824
-0.14474
-0.31831
-0.37188
-0.36544
-0.58901
-0.04258
0.153855
-0.45971
-0.07328
-0.38685
0.859587
1.73602
2.522453
2.348886
1.585319
2.101752

eT
0.03595791
eeT
0.00129297
0.00979461
0.00103645
-0.00520466
-0.01144576
-0.01337192
-0.0131406
-0.0211796
-0.00153101
0.00553231
-0.01653028
-0.00263495
-0.01391017
0.03090896
0.06242366
0.09070215
0.08446104

11/1/2010
5.55
11/8/2010
5.28
11/15/2010
7.24
11/22/2010
7.83
11/29/2010
9.18
12/6/2010
10.3
12/13/2010
11.05
12/20/2010
11.77
12/27/2010
9.7
Date
Adj Close

44
45
46
47
48
49
50
51
52
T

20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52

3.48181465
3.61538163
3.7489486
3.88251558
4.01608256
4.14964953
4.28321651
4.41678349
4.55035047
4.68391744
4.81748442
4.9510514
5.08461837
5.21818535
5.35175233
5.4853193
5.61888628
5.75245326
5.88602023
6.01958721
6.15315419
6.28672116
6.42028814
6.55385512
6.6874221
6.82098907
6.95455605
7.08812303
7.22169
7.35525698
7.48882396
7.62239093
7.75595791

1.318185
0.05700477
1.034618
0.07557462
1.531051
0.04739919
0.977484
0.03720271
0.753917
0.05505341
-0.31965
0.0351483
-0.91322 0.984245
0.0271093
-1.19678
-0.01149393
-1.35035
-0.03283736
-1.17392
-0.04303383
-1.38748
-0.04855578
-1.59105
-0.04221162
-1.91462
-0.04989104
-2.12819
-0.05721088
-1.83175
-0.06884568
-1.68532
-0.0765251
-1.83889
-0.06586599
-1.75245
-0.06060056
-1.81602
-0.06612251
-1.85959
-0.06301456
-1.01315
-0.06530029
-1.07672
-0.06686687
-1.17029
-0.03643091
-1.39386
-0.03871664
-1.13742
-0.04208112
-1.54099
-0.05012012
0.285444
-0.04089932
0.741877
-0.05541075
1.95831
0.01026397
2.944743
0.02667635
3.561176
0.07041673
4.147609
0.1058868
1.944042 3.435193 0.12805245

0.14913935
0.06990369

Goldfeldt-Quant Test
Closing
Price

t
0.98
1.35
1.24
1.2
1.16
1.24

1
2
3
4
5
6

Closing
Price
t
5.21
5.25
5.16
5.55
5.28
7.24

41
42
43
44
45
46

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.844356
R Square 0.712938
Adjusted R Square
0.684232

1.38
1.29
1.97
2.3
1.82
2.34

7
8
9
10
11
12

7.83
9.18
10.3
11.05
11.77
9.7

47
48
49
50
51
52

Standard Error
0.260007
Observations
12
ANOVA
df
Regression
Residual
Total

1
10
11

SS
1.67898619
0.67603881
2.355025

CoefficientsStandard Error
Intercept
0.818182 0.16002353
X Variable 1 0.108357 0.02174292

RESIDUAL OUTPUT
ObservationPredicted Y
1 0.926538
2 1.034895
3 1.143252
4 1.251608
5 1.359965
6 1.468322
7 1.576678
8 1.685035
9 1.793392
10 1.901748
11 2.010105
12 2.118462

df2\df1
3
4
5
6
7
8
9

Residuals
0.05346154
0.3151049
0.09674825
-0.05160839
-0.19996503
-0.22832168
-0.19667832
-0.39503497
0.17660839
0.39825175
-0.1901049
0.22153846

10.13

9.55

9.28

7.71

6.94

6.59

6.61

5.79

5.41

5.99

5.14

4.76

5.59

4.74

4.35

5.32

4.46

4.07

5.12

4.26

3.86

10
11
12
13
14
15
16
17
18
19
20
22
24
26
28
30
35
40
45
50
60
70
80
100
200
500
1000
>1000
df2/df1

4.96

4.1

3.71

4.84

3.98

3.59

4.75

3.89

3.49

4.67

3.81

3.41

4.6

3.74

3.34

4.54

3.68

3.29

4.49

3.63

3.24

4.45

3.59

3.2

4.41

3.55

3.16

4.38

3.52

3.13

4.35

3.49

3.1

4.3

3.44

3.05

4.26

3.4

3.01

4.23

3.37

2.98

4.2

3.34

2.95

4.17

3.32

2.92

4.12

3.27

2.87

4.08

3.23

2.84

4.06

3.2

2.81

4.03

3.18

2.79

3.15

2.76

3.98

3.13

2.74

3.96

3.11

2.72

3.94

3.09

2.7

3.89

3.04

2.65

3.86

3.01

2.62

3.85

2.61

1.04

2.61

(eeT)-1

7.2917E+18
9.6233E+17
-1.534E+18
-1.55E+18
5.7858E+17

1.5981E+16
-2.284E+17
-1.175E+17
2.706E+18
-9.598E+17
3.9911E+17
3.0315E+18
1.5829E+17
6.2408E+16
7.0225E+16
-9.54E+16
6.4085E+15
1.326E+17
-5.86E+16
-2.999E+17
-2.331E+17
-7.859E+16
-8.212E+16
4.2892E+16
-1.134E+17
-1.571E+17
1.5158E+16
-9.227E+16
-1.394E+17
-7.914E+15
4.8806E+16
5.3527E+16
3.9165E+15
-4.041E+16
-1.654E+17
-6.46E+16
-1.531E+17
2.1675E+17
7.4251E+15
1.8084E+17
3.5306E+16
1.6466E+17
-1.41E+15
-2.106E+17
-6.706E+16
1.2311E+18
-2.01E+17
-3.986E+16
1.1944E+17
-6.092E+15
1.6638E+15
-8.554E+16

Significance F
2.65891E-12

Lower 95%
-0.079768262
0.10433543

Upper 95% Lower 95.0% Upper 95.0%

1.700718488 -0.07976826 1.700718488
0.162798523 0.10433543 0.162798523

0.272390933

0.028823956

0.009794609
0.07419682
0.007851384
-0.039426686
-0.086704757
-0.101295916
-0.099543619
-0.160441236
-0.011597835
0.041908739
-0.125221342
-0.01996049
-0.105373292
0.234143762
0.472876171
0.687093397
0.639815326

0.001036449
0.007851384
0.00083082
-0.004172066
-0.009174953
-0.010718966
-0.01053354
-0.016977625
-0.001227264
0.004434713
-0.013250715
-0.002112186
-0.011150427
0.024776704
0.050038971
0.072707082
0.067704195

-0.14474302 -0.318309997 -0.371876974 -0.365443951 -0.589010928

-0.00520466
-0.03942669
-0.00417207
0.020950542
0.046073151
0.053826597
0.052895461
0.085255221
0.006162855
-0.02226945
0.066540083
0.0106066
0.055993231
-0.12441925
-0.25127681
-0.3651075
-0.3399849

-0.011445762
-0.086704757
-0.009174953
0.046073151
0.101321254
0.118372159
0.116324463
0.187488067
0.013552973
-0.048973622
0.146330881
0.023325386
0.12313689
-0.273615203
-0.552592596
-0.80292209
-0.747673986

-0.013371919
-0.101295916
-0.010718966
0.053826597
0.118372159
0.138292484
0.135900191
0.219039602
0.015833742
-0.057215176
0.170956255
0.027250712
0.14385905
-0.319660691
-0.645585952
-0.938042285
-0.873496723

-0.013140601
-0.099543619
-0.01053354
0.052895461
0.116324463
0.135900191
0.133549281
0.215250481
0.015559838
-0.056225422
0.167998918
0.026779307
0.141370462
-0.314130947
-0.634418094
-0.921815285
-0.858386283

-0.021179602
-0.160441236
-0.016977625
0.085255221
0.187488067
0.219039602
0.215250481
0.346933873
0.025078851
-0.090622346
0.270775308
0.043162035
0.227856411
-0.506306261
-1.022534889
-1.485752534
-1.383519688

0.431826604
0.572498277
0.359061737
0.281820664
0.417044518
0.266257893
0.205360276
-0.087069635
-0.248751898
-0.325992971
-0.367823223
-0.319764468
-0.377938176
-0.433387974
-0.521524685
-0.579698393
-0.498952726
-0.459065698
-0.50089595
-0.477352378
-0.494667446
-0.506534696
-0.275974015
-0.293289083
-0.318775879
-0.379673496
-0.309823466
-0.419751451
0.077752344
0.202080561
0.533425888
0.802121299
0.970032066

1.129771104
0.529539439

-0.589543746
-0.781593296
-0.490202779
-0.38475075
-0.569362761
-0.363503948
-0.280364537
0.118870302
0.339604193
0.445056223
0.502164245
0.436552866
0.515973508
0.591675379
0.712002487
0.791423129
0.681186513
0.626731443
0.683839466
0.651697015
0.67533611
0.691537665
0.376768714
0.400407809
0.435203213
0.518342624
0.422981087
0.573058354
-0.106150033
-0.275886965
-0.728250397
-1.095082125
-1.324319372
0.119550502 -0.60033746 -1.320225431 -1.54240031
0.056034984 -0.28138652 -0.618808033 -0.72294449

0.045695174
0.060580817
0.037995317
0.029821795
0.044130959
0.028174968
0.021730883
-0.009213564
-0.026322513
-0.034496035
-0.038922443
-0.033836945
-0.03999279
-0.045860396
-0.055186876
-0.061342721
-0.052798349
-0.04857757
-0.053003978
-0.050512636
-0.052344888
-0.05360066
-0.029203112
-0.031035364
-0.033732334
-0.040176419
-0.032785005
-0.044417402
0.008227624
0.021383829
0.056446242
0.084879144
0.102647183

-0.2294639
-0.30421398
-0.19079813
-0.14975379
-0.221609
-0.14148405
-0.10912429
0.046267039
0.132181716
0.173226057
0.195453805
0.169916356
0.200828686
0.230293585
0.277127647
0.308039976
0.265133365
0.243938207
0.266165955
0.253655378
0.262856254
0.26916227
0.146646997
0.155847874
0.169391041
0.2017508
0.16463391
0.223047413
-0.04131602
-0.10738151
-0.2834517
-0.426231
-0.51545538

-0.504622983
-0.669008778
-0.419591575
-0.329329372
-0.487348966
-0.311143063
-0.239979459
0.101747643
0.290685945
0.380948149
0.429830053
0.373669658
0.441650162
0.506447566
0.609442169
0.677422673
0.583065078
0.536453983
0.585335887
0.557823392
0.578057396
0.5919252
0.322497107
0.342731111
0.372514415
0.443678019
0.362052824
0.490512228
-0.090859663
-0.236146858
-0.62334965
-0.937341143
-1.133557937

-0.57934535
-0.768072675
-0.481722863
-0.378095026
-0.559513472
-0.357215768
-0.275514569
0.116813989
0.33372945
0.437357287
0.493477409
0.429001028
0.507047788
0.581440109
0.699685703
0.777732463
0.669402808
0.615889745
0.672009868
0.640423442
0.66365361
0.679574898
0.370251069
0.393481237
0.427674722
0.509375922
0.415664025
0.563145135
-0.104313765
-0.271114453
-0.715652543
-1.076138525
-1.301410244
-1.515718645
-0.710438423

-0.933770394
-1.237955088
-0.776425576
-0.609401528
-0.901806004
-0.575749005
-0.444065612
0.188277069
0.537894505
0.704918553
0.795371181
0.691450202
0.817243485
0.937146659
1.127731145
1.253524428
1.078922138
0.992671487
1.083124114
1.032214119
1.069655763
1.095317189
0.596758888
0.634200532
0.689312504
0.820995897
0.669954044
0.907659403
-0.168129607
-0.436973645
-1.153465989
-1.734485819
-2.097571606
-2.442987066
-1.145062036

MS
1.678986189
0.067603881

F
Significance F
24.83564791 0.000550542

t Stat
5.112884393
4.98353769

P-value
Lower 95%
0.000455387 0.461627171
0.000550542 0.059910407

Upper 95%
Lower 95.0% Upper 95.0%
1.174736465 0.461627171 1.174736465
0.15680288 0.059910407
0.15680288

R=
F=
RSS
0.002858136
0.099291095
0.009360224
0.002663426
0.039986015
0.052130789
0.038682362
0.156052624
0.031190524
0.158604455
0.036139871
0.04907929

14.70450845
2.82
df =

(52-28-2*1)/2 = 11

0.676038811

10

9.12

9.01

8.94

8.89

8.85

8.81

8.79

6.39

6.26

6.16

6.09

6.04

5.96

5.19

5.05

4.95

4.88

4.82

4.77

4.74

4.53

4.39

4.28

4.21

4.15

4.1

4.06

4.12

3.97

3.87

3.79

3.73

3.68

3.64

3.84

3.69

3.58

3.5

3.44

3.39

3.35

3.63

3.48

3.37

3.29

3.23

3.18

3.14

3.48

3.33

3.22

3.14

3.07

3.02

2.98

3.36

3.2

3.09

3.01

2.95

2.9

2.85

3.26

3.11

2.91

2.85

2.8

2.75

3.18

3.03

2.92

2.83

2.77

2.71

2.67

3.11

2.96

2.85

2.76

2.7

2.65

2.6

3.06

2.9

2.79

2.71

2.64

2.59

2.54

3.01

2.85

2.74

2.66

2.59

2.54

2.49

2.96

2.81

2.7

2.61

2.55

2.49

2.45

2.93

2.77

2.66

2.58

2.51

2.46

2.41

2.9

2.74

2.63

2.54

2.48

2.42

2.38

2.87

2.71

2.6

2.51

2.45

2.39

2.35

2.82

2.66

2.55

2.46

2.4

2.34

2.3

2.78

2.62

2.51

2.42

2.36

2.3

2.25

2.74

2.59

2.47

2.39

2.32

2.27

2.22

2.71

2.56

2.45

2.36

2.29

2.24

2.19

2.69

2.53

2.42

2.33

2.27

2.21

2.16

2.64

2.49

2.37

2.29

2.22

2.16

2.11

2.61

2.45

2.34

2.25

2.18

2.12

2.08

2.58

2.42

2.31

2.22

2.15

2.1

2.05

2.56

2.4

2.29

2.2

2.13

2.07

2.03

2.53

2.37

2.25

2.17

2.1

2.04

1.99

2.5

2.35

2.23

2.14

2.07

2.02

1.97

2.49

2.33

2.21

2.13

2.06

1.95

2.46

2.31

2.19

2.1

2.03

1.97

1.93

2.42

2.26

2.14

2.06

1.98

1.93

1.88

2.39

2.23

2.12

2.03

1.96

1.9

1.85

2.38

2.22

2.11

2.02

1.95

1.89

1.84

2.37

2.21

2.1

2.01

1.94

1.88

1.83

10

-3.31396E+17 8.58835E+18 -1.7027E+18 4.04038E+16 -2.70376E+17 -5.62334E+17 1.47101E+17

-6.43224E+16
4.7838E+17 -9.676E+16 -2.16673E+15 -2.7569E+16 -6.92202E+16 1.09759E+16
-1.49355E+16 -3.76883E+18 5.31937E+17 -1.85256E+17 1.35414E+17 -6.66191E+16 -1.05155E+17
6.9143E+16 -1.72406E+18 3.77323E+17 -1.72463E+16 5.93284E+16 1.11595E+17 -2.96965E+16
-7.66099E+16 -4.83736E+17 7.34615E+16 -1.45799E+15 -2.36287E+16 -2.52982E+16 -2.31494E+16

-1.08271E+16
2.01536E+15
2.83975E+15
-1.77958E+17
4.05344E+16
-2.8213E+16
-1.71038E+17
-1.76287E+16
-5.53653E+15
-1.84419E+15
2.43738E+15
-2.06641E+15
-4.3305E+15
6.14798E+15
2.08925E+16
9.48364E+15
-1.53126E+15
-3.37965E+15
-1.4934E+16
1.65453E+16
-9.39192E+14
2.8989E+15
1.48537E+16
1.17858E+14
5.78687E+15
-5.30067E+15
-1.82015E+15
-5.92184E+15
8.9644E+15
1.01843E+16
-3.39685E+15
1.01333E+16
-8.02099E+15
-5.58564E+14
-7.63055E+15
-5.16039E+15
-1.52811E+16
-2.25083E+15
9.6812E+15
1.19444E+16
-4.45251E+16
1.62105E+15
1.86532E+15
-6.40122E+15
-4.61375E+14
-4.20569E+14
7.30325E+15

-2.97327E+17
-2.70427E+17
-2.25449E+17
3.9615E+18
-6.45093E+17
2.68569E+17
2.0991E+18
1.53417E+17
-1.19756E+17
1.22012E+17
-1.22145E+17
8.36913E+15
1.20938E+17
-3.30887E+16
-2.92069E+17
-3.50734E+17
-7.57807E+16
-1.82148E+17
-7.63512E+16
-4.06009E+16
-1.6706E+17
2.02829E+17
3.78172E+16
-2.6437E+17
5.8327E+16
-1.90756E+16
9.47392E+16
-1.04755E+17
6.30261E+16
-1.73364E+17
-2.42926E+17
-2.19589E+17
2.46587E+17
8.60434E+16
1.58221E+17
-3.05665E+16
1.13101E+17
-2.67611E+16
-2.25511E+17
1.0813E+17
1.5299E+18
-3.52626E+17
-7.20159E+16
1.20663E+17
9.0375E+15
-1.24705E+16
-6.45664E+16

3.76191E+16
5.77254E+16
5.5001E+16
-5.2964E+17
1.21941E+17
-8.5623E+16
-4.5221E+17
-2.318E+16
1.51272E+16
-2.5338E+16
3.28808E+16
-1.323E+15
-2.2363E+16
1.41491E+15
5.86919E+16
6.37992E+16
2.78481E+16
3.97943E+16
3.36988E+16
6.60304E+15
4.02729E+16
-3.9952E+16
-3.8016E+15
5.66825E+16
-8.1694E+15
-3.4477E+15
-1.9502E+16
2.60554E+16
-1.117E+16
3.16267E+16
4.57659E+16
4.10808E+16
-5.2248E+16
-1.7383E+16
-3.6492E+16
-4.9686E+14
-1.7006E+16
7.14824E+15
5.4096E+16
-1.6702E+16
-3.1177E+17
8.01297E+16
9.63164E+15
-2.6622E+16
-1.9126E+15
1.90841E+15
1.0362E+16

6.71378E+15
3.181E+15
-8.07192E+15
5.42421E+16
2.21788E+16
-1.00368E+16
-3.10055E+16
-6.15588E+15
-2.45399E+15
-1.5031E+14
4.31767E+14
4.06288E+14
5.14141E+15
-1.2076E+15
-2.20338E+15
-4.58473E+15
-2.47845E+15
-7.0703E+15
4.19233E+15
6.68274E+15
-1.44594E+15
1.56026E+15
1.70793E+15
-4.37408E+15
4.00917E+15
-3.81745E+14
-2.46344E+14
-2.16514E+15
-5.95247E+14
1.21775E+15
-1.23197E+15
-1.69023E+15
3.50071E+15
3.12006E+14
5.04812E+15
-4.52223E+15
-1.81512E+14
-7.58354E+14
-3.71353E+15
1.83837E+15
3.69309E+16
-3.3298E+15
-8.22964E+14
1.48419E+15
-9.08767E+14
-6.06981E+14
-2.63927E+15

-8.92541E+15
1.08172E+15
8.3033E+15
-1.85643E+17
2.41556E+16
-1.66853E+16
-1.17225E+17
-6.68836E+14
-4.58189E+15
-5.32762E+15
4.35121E+15
-2.08572E+15
-5.88614E+15
2.51065E+15
1.59598E+16
1.44255E+16
6.29505E+15
3.94519E+15
-4.768E+15
1.75935E+16
9.23661E+14
-2.30177E+15
3.71409E+15
7.5908E+15
2.37811E+15
-1.1453E+15
-2.36078E+15
3.12482E+15
1.50631E+15
9.25852E+15
2.87655E+15
8.53515E+15
-1.13419E+16
-1.75217E+15
-8.62756E+15
-1.76599E+15
-8.14519E+15
2.04788E+13
1.14934E+16
4.13006E+14
-7.18882E+16
1.16673E+16
2.36072E+15
-7.04016E+15
1.88016E+14
3.1238E+12
5.3386E+15

2.7158E+16
9.29037E+15
1.77944E+14
-2.08556E+17
9.58472E+16
-2.46509E+16
-2.68159E+17
-1.33924E+16
-3.70652E+15
-5.94032E+15
8.96669E+15
-6.10797E+14
-6.68923E+15
2.27875E+15
2.38128E+16
2.30496E+16
4.47406E+15
2.50834E+15
5.77046E+15
1.22188E+16
1.09395E+16
-7.3195E+15
9.67131E+15
1.33039E+16
1.41935E+15
-3.95429E+15
-7.36069E+15
-3.8408E+14
2.42288E+15
1.34928E+16
9.42101E+15
1.6953E+16
-1.59031E+16
-3.20152E+15
-9.79622E+15
-7.95258E+15
-1.56057E+16
-3.02138E+14
1.25362E+16
5.15418E+15
-6.84266E+16
2.00662E+16
4.25365E+15
-9.61745E+15
-1.67701E+15
-1.42589E+14
1.20036E+15

-7.16616E+15
-8.08356E+15
-9.37601E+15
5.82509E+16
-1.83275E+15
4.83386E+15
1.13947E+16
-2.19755E+15
-2.7086E+15
3.32006E+15
-3.69745E+15
7.28925E+14
4.34451E+15
-3.1745E+14
-5.5513E+15
-9.20558E+15
-4.603E+15
-3.68186E+15
-5.06701E+15
2.99224E+15
-4.48424E+15
6.806E+15
4.27031E+15
-7.13899E+15
2.79729E+15
-7.89348E+14
1.37393E+15
-3.8079E+15
4.17633E+15
-3.98602E+15
-6.82225E+15
-4.15793E+15
7.32525E+15
9.51044E+14
4.21792E+15
-6.76523E+14
3.5509E+14
-1.41717E+15
-7.88036E+15
5.23085E+15
4.53319E+16
-8.87998E+15
-2.36255E+15
2.21453E+15
-4.58563E+14
-4.7554E+14
-8.55277E+14

-0.042577905
-0.001531012
-0.011597835
-0.001227264
0.006162855
0.013552973
0.015833742
0.015559838
0.025078851
0.001812878
-0.006550829
0.019573568
0.003120059
0.016471084
-0.036599423
-0.073916104
-0.107400775
-0.100010657

0.153855118 -0.459711859 -0.073278835 -0.386845812

0.005532308
0.041908739
0.004434713
-0.022269455
-0.048973622
-0.057215176
-0.056225422
-0.090622346
-0.006550829
0.023671397
-0.070729022
-0.011274324
-0.059518208
0.132251892
0.267095598
0.388092344
0.361388176

-0.016530278
-0.125221342
-0.013250715
0.066540083
0.146330881
0.170956255
0.167998918
0.270775308
0.019573568
-0.070729022
0.211334993
0.03368715
0.177837607
-0.395162434
-0.798069088
-1.159601675
-1.079810878

-0.002634954
-0.01996049
-0.002112186
0.0106066
0.023325386
0.027250712
0.026779307
0.043162035
0.003120059
-0.011274324
0.03368715
0.005369788
0.028347611
-0.06298955
-0.127213541
-0.184842437
-0.172123651

-0.013910167
-0.105373292
-0.011150427
0.055993231
0.12313689
0.14385905
0.141370462
0.227856411
0.016471084
-0.059518208
0.177837607
0.028347611
0.149649683
-0.332527713
-0.671572158
-0.975800479
-0.908656821

0.859587211

1.736020234

0.03090896
0.234143762
0.024776704
-0.124419249
-0.273615203
-0.319660691
-0.314130947
-0.506306261
-0.036599423
0.132251892
-0.395162434
-0.06298955
-0.332527713
0.738890173
1.492260791
2.16826856
2.019072606

0.062423659
0.472876171
0.050038971
-0.251276812
-0.552592596
-0.645585952
-0.634418094
-1.022534889
-0.073916104
0.267095598
-0.798069088
-0.127213541
-0.671572158
1.492260791
3.013766253
4.379029893
4.07771411

-0.067499575
-0.089488211
-0.05612557
-0.044051883
-0.065188961
-0.041619239
-0.032100225
0.013610007
0.038882846
0.050956534
0.057495094
0.049982945
0.05907618
0.067743635
0.081520439
0.090613673
0.077992176
0.071757365
0.078295925
0.074615788
0.077322337
0.079177327
0.043137983
0.045844531
0.049828417
0.059347431
0.04842905
0.065612086
-0.012153605
-0.031587567
-0.083380737
-0.125380988
-0.151627415
-0.176596504
-0.082773239

0.243909489
0.323365353
0.202809563
0.159181332
0.235560094
0.150390981
0.115994057
-0.049179717
-0.140503034
-0.184131265
-0.207758331
-0.180613207
-0.213471579
-0.244791401
-0.294573836
-0.327432209
-0.281824471
-0.259295001
-0.282922066
-0.269623903
-0.279404008
-0.28610701
-0.155878957
-0.165659062
-0.18005482
-0.214451744
-0.174998211
-0.237089056
0.043917013
0.11414157
0.301296016
0.453063786
0.547905161
0.638130883
0.299100826

-0.728790083
-0.966200468
-0.605985437
-0.475626335
-0.703842483
-0.449361179
-0.346584789
0.146946682
0.41981646
0.550175562
0.620772122
0.539663769
0.637843041
0.731425194
0.880172771
0.978352043
0.842078267
0.774761269
0.84535783
0.805623544
0.834846037
0.854874293
0.465758995
0.494981488
0.537995337
0.640771727
0.522886425
0.70841095
-0.131221969
-0.341049643
-0.900258329
-1.353733287
-1.637114858
-1.906705073
-0.893699202

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.926270961
R Square
0.857977893
Adjusted R Square0.843775683

-0.116170352
-0.154013963
-0.096595087
-0.07581563
-0.112193663
-0.07162892
-0.055246192
0.023423546
0.066919443
0.0876989
0.09895211
0.086023303
0.101673242
0.116590393
0.140301005
0.155950944
0.134228677
0.123498236
0.134751445
0.128417734
0.133075848
0.136268385
0.074242759
0.078900873
0.085757352
0.10214008
0.083348967
0.112921885
-0.020917
-0.054363881
-0.143502676
-0.215787339
-0.260958833
-0.303931962
-0.14245714

-0.613274134
-0.813054086
-0.509934482
-0.400237785
-0.592280821
-0.378135754
-0.291649805
0.123655084
0.353273983
0.462970681
0.522377423
0.454125047
0.536742537
0.61549157
0.7406621
0.82327959
0.708605717
0.651958715
0.711365457
0.677929204
0.702519823
0.719373525
0.391934455
0.416525074
0.452721067
0.539207016
0.440006974
0.596125169
-0.110422797
-0.286992001
-0.757564022
-1.139161506
-1.37762604
-1.604485199
-0.752044542

1.362720198
1.80663942
1.133095268
0.889344721
1.316072199
0.840233105
0.648057791
-0.274766652
-0.784989234
-1.028739781
-1.16074399
-1.00908442
-1.192663862
-1.367647432
-1.645781467
-1.829360909
-1.574550873
-1.448678919
-1.580683129
-1.506386407
-1.561027768
-1.598477384
-0.870894382
-0.925535743
-1.005964719
-1.198140033
-0.977713486
-1.324614498
0.24536397
0.637707959
1.683338229
2.53126344
3.061141383
3.565231709
1.671073718

2.752146388
3.648684565
2.288396439
1.796118429
2.657936202
1.69693273
1.308815934
-0.55491806
-1.585362342
-2.077640352
-2.344235731
-2.037944433
-2.408701026
-2.762097416
-3.323816235
-3.694572828
-3.179959102
-2.925748411
-3.19234379
-3.042294313
-3.152647871
-3.228281025
-1.75885617
-1.869209728
-2.031643893
-2.419760688
-1.974587772
-2.675188209
0.495536475
1.287913438
3.39966578
5.112133467
6.182273668
7.200333262
3.374896404

Standard Error
Observations

0.99703653
12

ANOVA
df

MS
60.05404825
0.994081841

F
Significance F
60.41157352 1.51466E-05

Coefficients Standard Error

t Stat
-22.34061772 3.887670671 -5.746530406
0.648041958 0.083376383 7.772488245

P-value
Lower 95%
0.000186049 -31.00288774
1.51466E-05
0.4622678

Regression
Residual
Total

1
10
11

Intercept
X Variable 1

SS
60.05404825
9.940818415
69.99486667

RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12

Predicted Y
4.229102564
4.877144522
5.52518648
6.173228438
6.821270396
7.469312354
8.117354312
8.76539627
9.413438228
10.06148019
10.70952214
11.3575641

Residuals
0.980897436
0.372855478
-0.36518648
-0.623228438
-1.541270396
-0.229312354
-0.287354312
0.41460373
0.886561772
0.988519814
1.060477855
-1.657564103

RSS
0.96215978
0.139021207
0.133361165
0.388413686
2.375514434
0.052584156
0.082572501
0.171896253
0.785991775
0.977171422
1.124613282
2.747518754
9.940818415

11

12

13

14

15

16

17

8.76

8.74

8.73

8.71

8.7

8.69

8.68

5.94

5.91

5.89

5.87

5.86

5.84

5.83

4.7

4.68

4.66

4.64

4.62

4.6

4.59

4.03

3.98

3.96

3.94

3.92

3.91

3.6

3.57

3.55

3.53

3.51

3.49

3.48

3.31

3.28

3.26

3.24

3.22

3.2

3.19

3.1

3.07

3.05

3.03

3.01

2.99

2.97

2.94

2.91

2.89

2.86

2.85

2.83

2.81

2.82

2.79

2.76

2.74

2.72

2.7

2.69

2.72

2.69

2.66

2.64

2.62

2.6

2.58

2.63

2.6

2.58

2.55

2.53

2.51

2.5

2.57

2.53

2.51

2.48

2.46

2.44

2.43

2.51

2.48

2.45

2.42

2.4

2.38

2.37

2.46

2.42

2.4

2.37

2.35

2.33

2.32

2.41

2.38

2.35

2.33

2.31

2.29

2.27

2.37

2.34

2.31

2.29

2.27

2.25

2.23

2.34

2.31

2.28

2.26

2.23

2.21

2.2

2.31

2.28

2.25

2.23

2.2

2.18

2.17

2.26

2.23

2.2

2.17

2.15

2.13

2.11

2.22

2.18

2.15

2.13

2.11

2.09

2.07

2.18

2.15

2.12

2.09

2.07

2.05

2.03

2.15

2.12

2.09

2.06

2.04

2.02

2.13

2.09

2.06

2.04

2.01

1.99

1.98

2.08

2.04

2.01

1.99

1.96

1.94

1.92

2.04

1.97

1.95

1.92

1.9

1.89

2.01

1.97

1.94

1.92

1.89

1.87

1.86

1.99

1.95

1.92

1.89

1.87

1.85

1.83

1.95

1.92

1.89

1.86

1.84

1.82

1.8

1.93

1.89

1.86

1.84

1.81

1.79

1.77

1.91

1.88

1.84

1.82

1.79

1.77

1.75

1.89

1.85

1.82

1.79

1.77

1.75

1.73

1.84

1.8

1.77

1.74

1.72

1.69

1.67

1.81

1.77

1.74

1.71

1.69

1.66

1.64

1.8

1.76

1.73

1.7

1.68

1.65

1.63

1.79

11

1.75

12

1.72

13

1.69

14

1.67

15

1.64

16

6.22748E+18 1.08891E+17 -5.89749E+17 -1.95119E+18 6.51217E+16 -7.61306E+16

6.38642E+17 -1.00515E+17 -1.08931E+17 -2.05349E+17 2.10424E+16 -5.29037E+15
-1.87652E+18 -3.91443E+17 -6.69736E+16 2.02775E+17 -7.56534E+16 -1.17373E+16
-1.19466E+18 6.23873E+16 1.21414E+17 4.41891E+17 -7.06062E+15
1.4437E+16
2.73822E+17 -1.32218E+17 -9.8614E+16 -8.60908E+16 1.90757E+16 -1.5554E+15

1.62

17

1.23417E+17
1.66363E+16
9.70913E+15
-2.1322E+16
1.12782E+16

3.74011E+16
-5.19186E+16
-1.9724E+16
2.64501E+18
-4.43686E+17
2.64056E+17
2.11894E+18
9.43641E+16
4.65065E+16
8.25056E+16
-7.00129E+16
4.69932E+15
1.29004E+17
-4.9929E+16
-2.46189E+17
-2.16341E+17
-7.26917E+16
-7.64125E+16
-6.81104E+15
-1.59705E+17
-8.19458E+16
4.57454E+16
-7.135E+16
-1.21516E+17
2.58364E+16
2.47527E+16
4.21763E+16
-9.69368E+15
-1.34172E+16
-1.41774E+17
-4.40274E+16
-1.49604E+17
1.79607E+17
2.59548E+16
1.26987E+17
5.91574E+15
1.44207E+17
-2.0041E+16
-1.85876E+17
-2.0659E+16
1.17811E+18
-1.89722E+17
-2.79059E+16
1.12788E+17
-9.10959E+15
3.15337E+15
-8.12623E+16

-4.18374E+16
-1.21756E+16
-3.49263E+16
1.45495E+17
1.81827E+16
-2.43706E+16
-3.30934E+17
-6.92412E+15
-4.96793E+15
6.65211E+15
-7.02589E+14
-2.69562E+14
-1.87114E+15
4.59306E+15
1.11504E+16
-9.59958E+15
2.23505E+15
-1.46992E+16
-1.92857E+16
1.79404E+16
3.30991E+15
2.21607E+16
1.96084E+16
-1.41056E+16
-2.87324E+15
-5.57574E+15
3.10952E+14
-1.70955E+16
1.86882E+16
1.7101E+15
-1.89099E+16
2.43503E+15
3.67996E+15
4.86838E+15
-2.23847E+15
-6.45901E+15
-6.69269E+15
-6.16172E+15
-3.94723E+15
3.10557E+16
1.46274E+16
-8.29461E+15
-5.16628E+15
-5.71163E+15
2.52619E+15
-2.98806E+15
2.2985E+15

9.06237E+15
1.96262E+16
-9.29001E+15
-2.42643E+17
1.34307E+17
-4.56528E+16
-3.9168E+17
-1.8383E+16
-1.37121E+16
-5.27777E+15
7.48059E+15
-3.19214E+14
-5.75577E+15
5.44689E+15
2.79308E+16
1.73072E+16
1.56137E+15
-3.77784E+14
-4.70323E+15
2.12157E+16
1.09442E+16
4.14682E+15
1.86069E+16
5.31553E+15
5.88435E+15
-8.39501E+15
-5.95718E+15
-7.45214E+15
1.19004E+16
1.61995E+16
1.10376E+15
1.67434E+16
-1.62398E+16
-1.58386E+15
-1.3609E+16
-1.12531E+16
-2.43141E+16
-1.16169E+15
1.43542E+16
1.81492E+16
-6.33754E+16
1.66533E+16
3.41178E+15
-1.22787E+16
-1.55843E+15
-1.4429E+15
3.76419E+15

3.92293E+16
6.55926E+16
4.27447E+16
-9.09694E+17
3.03433E+17
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Lower 95.0% Upper 95.0%
-13.67834769 -31.00288774 -13.67834769
0.833816116
0.4622678 0.833816116

18

19

20

22

24

26

28

8.67

8.67

8.66

8.65

8.64

8.63

8.62

5.82

5.81

5.8

5.79

5.77

5.76

5.75

4.58

4.57

4.56

4.54

4.53

4.52

4.5

3.9

3.88

3.87

3.86

3.84

3.83

3.82

3.47

3.46

3.44

3.43

3.41

3.4

3.39

3.17

3.16

3.15

3.13

3.12

3.1

3.09

2.96

2.95

2.94

2.92

2.9

2.89

2.87

2.8

2.79

2.77

2.75

2.74

2.72

2.71

2.67

2.66

2.65

2.63

2.61

2.59

2.58

2.57

2.56

2.54

2.52

2.51

2.49

2.48

2.48

2.47

2.46

2.44

2.42

2.41

2.39

2.41

2.4

2.39

2.37

2.35

2.33

2.32

2.35

2.34

2.33

2.31

2.29

2.27

2.26

2.3

2.29

2.28

2.25

2.24

2.22

2.21

2.26

2.24

2.23

2.21

2.19

2.17

2.16

2.22

2.2

2.19

2.17

2.15

2.13

2.12

2.18

2.17

2.16

2.13

2.11

2.1

2.08

2.15

2.14

2.12

2.1

2.08

2.07

2.05

2.1

2.08

2.07

2.05

2.03

2.01

2.05

2.04

2.03

1.98

1.97

1.95

2.02

1.99

1.97

1.95

1.93

1.91

1.99

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1.93

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1.9

1.88

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1.93

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1.89

1.87

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1.89

1.88

1.85

1.83

1.82

1.8

1.87

1.85

1.84

1.81

1.79

1.77

1.76

1.84

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1.81

1.78

1.76

1.74

1.73

1.81

1.8

1.78

1.76

1.74

1.72

1.7

1.78

1.76

1.75

1.72

1.7

1.68

1.66

1.75

1.74

1.72

1.7

1.67

1.65

1.64

1.73

1.72

1.7

1.68

1.65

1.63

1.62

1.71

1.69

1.68

1.65

1.63

1.61

1.59

1.66

1.64

1.62

1.6

1.57

1.55

1.53

1.62

1.61

1.59

1.56

1.54

1.52

1.5

1.61

1.6

1.58

1.55

1.53

1.51

1.49

1.61

18

1.59

19

1.57

20

1.54

22

1.52

24

1.5

26

1.48

28

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-2.14995E+14
-8.10099E+14
-6.6312E+14
1.0856E+16
-1.69554E+15
7.31326E+13
6.0177E+14
-2.91207E+14
2.3182E+14
-6.1933E+14

8.90004E+14
6.18507E+15
3.00257E+15
-6.67355E+16
2.80272E+16
-1.06591E+16
-1.02619E+17
-5.39497E+15
-1.77136E+15
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2.99458E+15
3.28381E+14
-2.87844E+15
1.91054E+15
9.00618E+15
7.53409E+15
1.66899E+15
1.69009E+15
-7.64828E+13
1.49898E+15
3.96979E+15
-8.76502E+14
3.81329E+15
3.85641E+15
3.85322E+14
-1.30474E+15
-2.27341E+15
-8.25926E+14
1.74582E+15
4.55319E+15
1.8938E+15
5.56966E+15
-5.61813E+15
-9.05268E+14
-5.13825E+15
-1.43746E+15
-5.40017E+15
-1.24757E+14
6.01366E+15
3.19282E+15
-3.34521E+16
5.87112E+15
1.50074E+15
-3.5953E+15
-1.50573E+14
-2.9834E+14
1.80901E+15

-4.11651E+15
-2.48572E+15
-4.76796E+15
4.92561E+16
2.20391E+15
-2.50702E+13
-2.3749E+16
-3.17757E+14
-1.58904E+15
1.65452E+15
-7.84568E+14
-3.91174E+13
2.12368E+15
-7.38494E+14
-2.41103E+15
-3.9428E+15
-5.31974E+14
-1.5752E+15
1.47177E+15
1.39797E+15
9.32335E+14
2.53528E+15
1.26977E+15
-4.02631E+15
1.64691E+15
-9.25E+14
-1.08359E+14
-2.10915E+15
2.75739E+15
-1.64733E+15
-2.75904E+15
-1.05644E+15
3.04972E+15
6.45185E+14
2.2199E+15
-1.64437E+15
8.29223E+14
-4.41496E+14
-2.59015E+15
3.05261E+15
2.38742E+16
-3.87624E+15
-1.20078E+15
6.18738E+14
-5.54142E+13
-3.80498E+14
-1.3182E+15

-1.387484419 -1.591051396 -1.914618373

-0.04989104
-0.377938176
-0.03999279
0.200828686
0.441650162
0.515973508
0.507047788
0.817243485
0.05907618
-0.213471579
0.637843041
0.101673242
0.536742537
-1.192663862
-2.408701026
-3.499864592
-3.259043116

-0.057210883
-0.433387974
-0.045860396
0.230293585
0.506447566
0.591675379
0.581440109
0.937146659
0.067743635
-0.244791401
0.731425194
0.116590393
0.61549157
-1.367647432
-2.762097416
-4.013352776
-3.737198795

-0.068845675
-0.521524685
-0.055186876
0.277127647
0.609442169
0.712002487
0.699685703
1.127731145
0.081520439
-0.294573836
0.880172771
0.140301005
0.7406621
-1.645781467
-3.323816235
-4.82953535
-4.497220828

-2.12818535 -1.831752326 -1.685319303 -1.83888628

-0.076525097
-0.579698393
-0.061342721
0.308039976
0.677422673
0.791423129
0.777732463
1.253524428
0.090613673
-0.327432209
0.978352043
0.155950944
0.82327959
-1.829360909
-3.694572828
-5.368248067
-4.998865369

-0.065865985
-0.498952726
-0.052798349
0.265133365
0.583065078
0.681186513
0.669402808
1.078922138
0.077992176
-0.281824471
0.842078267
0.134228677
0.708605717
-1.574550873
-3.179959102
-4.620509622
-4.302577908

-0.06060056
-0.459065698
-0.04857757
0.243938207
0.536453983
0.626731443
0.615889745
0.992671487
0.071757365
-0.259295001
0.774761269
0.123498236
0.651958715
-1.448678919
-2.925748411
-4.251139166
-3.958623389

-0.06612251
-0.50089595
-0.05300398
0.266165955
0.585335887
0.683839466
0.672009868
1.083124114
0.078295925
-0.28292207
0.84535783
0.134751445
0.711365457
-1.58068313
-3.19234379
-4.63850469
-4.31933475

-2.199605833
-2.916148606
-1.828961634
-1.435516872
-2.124309957
-1.356244401
-1.046048704
0.443508749
1.267073681
1.660518443
1.873590231
1.62879216
1.925113013
2.207559022
2.656503161
2.952824013
2.541527812
2.338354274
2.551426062
2.431501589
2.519699779
2.580148281
1.405735649
1.493933839
1.623756562
1.933952259
1.578155435
2.138098327
-0.396049035
-1.029342743
-2.717124609
-4.085785059
-4.941076274
-5.754742956
-2.69732811

-2.52232449
-3.343995973
-2.097300641
-1.646131006
-2.435981461
-1.555227949
-1.199521399
0.508578838
1.452974405
1.90414404
2.148476993
1.867762985
2.207559022
2.531444544
3.046256235
3.386052271
2.914412096
2.68142963
2.925762583
2.788243201
2.889381528
2.958698827
1.611980385
1.713118712
1.861988581
2.217695132
1.809697012
2.451792814
-0.454155997
-1.180364396
-3.115771855
-4.685237493
-5.666014115
-6.599059195
-3.093070881

-3.035281465
-4.024053619
-2.523821889
-1.980899345
-2.931379132
-1.871509628
-1.443464186
0.612006872
1.748461111
2.291383655
2.585405811
2.247603903
2.656503161
3.046256235
3.665763513
4.074662771
3.507106659
3.226743302
3.520765457
3.355279203
3.476985705
3.56039984
1.939803622
2.061510124
2.240655177
2.668700618
2.177729241
2.950405989
-0.546516233
-1.420411285
-3.749416301
-5.63805909
-6.818293082
-7.941088522
-3.722098703

-3.373853316
-4.47291851
-2.805342749
-2.201859663
-3.25836115
-2.08026802
-1.604476055
0.680273457
1.943494001
2.546977087
2.873796077
2.498313902
2.952824013
3.386052271
4.074662771
4.529172882
3.898308465
3.586671851
3.913490841
3.729545348
3.864827656
3.957546258
2.156179899
2.291462208
2.490590077
2.966382042
2.420645039
3.279510367
-0.607477635
-1.578851708
-4.167646647
-6.266958955
-7.578842684
-8.826880852
-4.137281895

-2.903912322
-3.849889714
-2.414589081
-1.895164611
-2.804506956
-1.790509359
-1.380990029
0.585518779
1.67278647
2.192210939
2.473507606
2.150326006
2.541527812
2.914412096
3.507106659
3.898308465
3.355316586
3.087087555
3.368384222
3.210060331
3.326499288
3.4063032
1.85584754
1.972286498
2.143678026
2.553197356
2.083475569
2.822710318
-0.522862622
-1.358934874
-3.587138894
-5.394039879
-6.523192503
-7.597392558
-3.561003621

-2.671769224
-3.542123767
-2.221563215
-1.743662315
-2.580310472
-1.64737336
-1.270591618
0.538711531
1.539061415
2.016962315
2.275771705
1.978425726
2.338354274
2.68142963
3.226743302
3.586671851
3.087087555
2.840301154
3.099110545
2.953443302
3.060573955
3.133998223
1.70748831
1.814618963
1.972309195
2.349090937
1.916919413
2.597058629
-0.481064201
-1.250299585
-3.300377641
-4.962832256
-6.001718729
-6.990045623
-3.276331661

-2.91522192
-3.86488352
-2.42399295
-1.90254553
-2.81542941
-1.79748269
-1.38636844
0.587799144
1.679301314
2.200748737
2.483140944
2.158700678
2.551426062
2.925762583
3.520765457
3.913490841
3.368384222
3.099110545
3.381502752
3.222562251
3.339454693
3.419569409
1.863075335
1.979967777
2.152026807
2.563141054
2.091589885
2.833703662
-0.52489897
-1.36422739
-3.60110939
-5.41504754
-6.54859777
-7.62698141
-3.57487233

80

100

200

500

1000

>1000

8.56

8.55

8.54

8.53

8.53

8.54

5.67

5.66

5.65

5.64

5.63

5.63

4.42

4.41

4.39

4.37

4.37

4.36

3.72

3.71

3.69

3.68

3.67

3.67

3.29

3.27

3.25

3.24

3.23

3.23

2.99

2.97

2.95

2.94

2.93

2.93

2.77

2.76

2.73

2.72

2.71

2.71

df1/df2
3
4
5
6
7
8
9

2.6

2.59

2.56

2.55

2.54

2.54

2.47

2.46

2.43

2.42

2.41

2.41

2.36

2.35

2.32

2.31

2.3

2.3

2.27

2.26

2.23

2.22

2.21

2.21

2.2

2.19

2.16

2.14

2.14

2.13

2.14

2.12

2.1

2.08

2.07

2.07

2.08

2.07

2.04

2.02

2.02

2.01

2.03

2.02

1.99

1.97

1.97

1.96

1.99

1.98

1.95

1.93

1.92

1.92

1.96

1.94

1.91

1.89

1.88

1.88

1.92

1.91

1.88

1.86

1.85

1.84

1.86

1.85

1.82

1.8

1.79

1.78

1.82

1.8

1.77

1.75

1.74

1.73

1.78

1.76

1.73

1.71

1.7

1.69

1.74

1.73

1.69

1.67

1.66

1.66

1.71

1.7

1.66

1.64

1.63

1.62

1.65

1.63

1.6

1.57

1.57

1.56

1.61

1.59

1.55

1.53

1.52

1.51

1.57

1.55

1.51

1.49

1.48

1.47

1.54

1.52

1.48

1.46

1.45

1.44

1.5

1.48

1.44

1.41

1.4

1.39

1.47

1.45

1.4

1.37

1.36

1.35

1.45

1.43

1.38

1.35

1.34

1.33

1.41

1.39

1.34

1.31

1.3

1.28

1.35

1.32

1.26

1.22

1.21

1.19

1.3

1.28

1.21

1.16

1.14

1.12

1.29

1.26

1.19

1.13

1.11

1.08

1.28

80

1.25

100

1.17

200

1.11

500

1.08

1000

1.03

>1000

10
11
12
13
14
15
16
17
18
19
20
22
24
26
28
30
35
40
45
50
60
70
80
100
200
500
1000
>1000
df1\df2

8.33352E+16 -6.24436E+16 -5.43074E+16 1.97972E+16 5.95164E+16 8.91578E+16 1.56259E+17

1.71752E+16 -9.67623E+15 -7.56148E+15 -7.63813E+15 1.30617E+16 2.16787E+16 3.93245E+15
9.33403E+15 3.15453E+16 -1.21362E+16 -2.92887E+16 3.37169E+16 2.03095E+16 -7.0345E+16
-2.25076E+16 1.65771E+16 1.30763E+16 -1.11109E+15 -1.06455E+16 -2.96111E+16 -2.2486E+16
1.8434E+16 -8.07314E+15 -8.08319E+15 -1.32098E+16 1.11397E+16 1.97371E+16 -1.4001E+16

1.89893E+15
9.89376E+14
4.01895E+15
3.80094E+16
-2.86643E+16
1.00045E+16
7.44381E+16
1.09992E+15
2.13005E+15
7.06945E+14
-1.41912E+15
2.1213E+14
4.12992E+14
-1.71231E+14
-5.06268E+15
-2.54821E+15
-1.67108E+15
-3.97034E+14
2.37791E+14
-8.97624E+15
-2.6833E+15
-1.62448E+15
-3.28452E+15
1.48582E+13
-7.28377E+14
1.17598E+15
1.07651E+15
1.2556E+15
-2.21063E+15
-2.74248E+15
9.52044E+13
-2.38201E+15
2.2728E+15
2.88893E+14
1.62541E+15
1.72761E+15
2.45319E+15
8.18409E+14
-2.16535E+15
-4.30308E+15
1.01724E+16
-3.25164E+15
4.1045E+14
2.47158E+15
2.61099E+14
4.82959E+14
-3.9142E+14

-2.34606E+15
6.8876E+14
4.41195E+14
-2.64389E+16
5.79363E+15
-4.67056E+15
-2.73292E+16
-2.32287E+15
-6.89355E+14
-3.40529E+14
5.43232E+14
1.12729E+14
-1.15312E+15
9.28871E+14
2.35521E+15
1.75312E+15
3.62125E+14
3.68439E+14
-1.03468E+15
1.77124E+15
3.14207E+14
8.46797E+14
1.22872E+15
3.4476E+14
-2.49802E+14
-1.87716E+14
3.89798E+13
-7.5021E+14
1.07981E+15
1.71199E+15
-4.22762E+14
1.28226E+15
-1.57988E+15
1.41431E+14
-2.24014E+15
5.51468E+13
-1.88144E+15
-1.21388E+14
2.48445E+15
1.31426E+15
-1.30941E+16
1.1608E+13
3.08966E+14
-1.22779E+15
3.29574E+14
-7.90781E+13
1.23474E+15

2.1178E+15
6.65854E+13
5.83433E+14
-3.32692E+16
8.95543E+15
-3.22987E+15
-2.55194E+16
-6.65915E+14
-6.72452E+14
-4.20626E+14
7.26989E+14
-1.78157E+14
-5.7467E+14
4.0019E+14
2.86166E+15
1.95789E+15
1.6538E+14
-1.01745E+14
-1.24927E+15
1.87096E+15
3.19787E+14
-1.70932E+14
1.87745E+15
1.14535E+15
3.18871E+14
-3.67424E+14
-5.16487E+14
-4.13042E+12
2.33879E+13
1.14903E+15
4.3712E+14
1.70136E+15
-1.58428E+15
-4.6813E+14
-1.03464E+15
-1.64222E+14
-1.78655E+15
-3.13604E+14
1.17123E+15
9.45889E+14
-9.5136E+15
2.24113E+15
5.44441E+14
-9.77584E+14
-7.14445E+12
-3.559E+13
4.63834E+14

-1.68606E+15
-2.08324E+15
-3.20856E+15
4.83905E+15
7.69595E+15
-1.47645E+15
-2.01955E+16
7.77592E+13
-1.5448E+15
7.49757E+14
-6.46221E+14
-6.07535E+12
4.6247E+14
1.04697E+14
1.20604E+14
-1.59458E+15
-7.70756E+14
-9.57772E+14
-1.96572E+15
2.28921E+15
-6.23856E+14
2.43131E+15
1.72584E+15
-1.72474E+15
8.25479E+14
-3.58277E+14
2.05831E+14
-1.97626E+15
1.85747E+15
-7.07622E+13
-1.97639E+15
-1.81858E+14
4.82959E+14
2.91391E+14
6.10995E+13
-1.3239E+15
-1.44704E+15
-6.36033E+14
-8.45033E+14
2.7159E+15
7.59215E+15
-1.67419E+15
-5.36818E+14
-2.12989E+14
-4.42927E+13
-3.27374E+14
-1.4996E+14

9.06913E+14
-1.69082E+15
1.25855E+15
2.86014E+16
-1.71583E+16
7.08987E+15
5.59505E+16
2.46086E+15
1.21813E+15
9.79035E+14
-1.01922E+15
2.57119E+14
1.03688E+14
-1.20422E+14
-4.05712E+15
-3.0995E+15
-5.59925E+14
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-2.85309E+14
-6.31486E+14
-1.66002E+15
-2.9534E+14
-2.45337E+15
-6.12459E+14
-1.24835E+15
1.46448E+15
9.56398E+14
9.9971E+14
-2.41101E+15
-2.18983E+15
-2.20657E+14
-2.67457E+15
1.94298E+15
1.47192E+14
1.24641E+15
3.03451E+15
2.50106E+15
4.98895E+14
-1.79155E+15
-2.74489E+15
3.74501E+15
-1.80516E+15
-3.06587E+13
1.99548E+15
5.03712E+14
3.72955E+14
-3.53968E+14

-2.62394E+15
-2.48403E+15
1.05697E+15
5.17874E+16
-3.01019E+16
9.98448E+15
8.07642E+16
4.52084E+15
2.27896E+15
3.90699E+14
-1.95253E+15
4.09242E+14
2.3251E+14
-6.89669E+14
-5.40833E+15
-2.58196E+15
-6.76448E+14
-7.34711E+14
8.77322E+14
-6.54078E+15
-3.61077E+15
-8.43487E+14
-4.0646E+15
-1.35752E+15
-1.89669E+15
1.305E+15
1.45973E+15
8.5968E+14
-2.07562E+15
-2.35242E+15
-4.11127E+14
-3.26382E+15
2.95161E+15
7.59397E+14
2.04754E+15
2.18799E+15
3.07527E+15
1.19054E+15
-2.02493E+15
-3.91537E+15
7.10192E+15
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4.668357954
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2.90971E+16
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4.62187E+16
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2.72338E+16

-3.08438E+16
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3.86504E+17 1.56761E+17 -9.30232E+16 8.17014E+16 -5.14232E+16

-8.363E+14 8.30324E+15 -1.48068E+16 1.22699E+16 -2.26218E+14
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5.5559E+15
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8.70683E+15
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2.97633E+15
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1.9003E+15
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5.86166E+14
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2.00878E+14
4.86502E+14

4.147609067

1.94404209

0.149139354
1.129771104
0.119550502
-0.600337465
-1.320225431
-1.54240031
-1.515718645
-2.442987066
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0.638130883
-1.906705073
-0.303931962
-1.604485199
3.565231709
7.200333262
10.46215
9.742262033

0.069903691
0.529539439
0.056034984
-0.281386524
-0.618808033
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0.299100826
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1.671073718
3.374896404
4.903755302
4.566333793

6.575284716
8.717247006
5.467317508
4.291192544
6.350202651
4.054223239
3.126954819
-1.325781308
-3.787665083
-4.963790048
-5.600725833
-4.868950627
-5.754742956
-6.599059195
-7.941088522
-8.826880852
-7.597392558
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-7.532141988
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-4.202167495
-4.465818464
-4.853897706
-5.781166126
-4.717582195
-6.391420247
1.18390992
3.077015665
8.122304301
12.21364285
14.77036605
17.20266097
8.063126599

3.081927452
4.085894985
2.562607802
2.011341664
2.976428356
1.900270853
1.46564724
-0.62141215
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-2.275089404
-2.709713017
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-2.995747616
0.554915055
1.442240064
3.80703706
5.724704376
6.923076119
8.063126599
3.779299648

-2.78934E+16 7.13638E+15
-2.39524E+15 6.42071E+15
1.73338E+16 1.43916E+16
4.01827E+15 -2.47624E+15
-1.69804E+15
7.9805E+15

-2.28998E+13
-5.31433E+14
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1.32771E+15
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4.37651E+14
1.34446E+13
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1.5605E+14
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2.29961E+15
9.55605E+13
2.07426E+14
9.53983E+13
5.19284E+14
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1.50455E+14
3.14189E+13
2.94984E+12
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4.67768E+14
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1.72795E+14
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7.08269E+14
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6.30221E+14
2.1224E+14
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1.36009E+15
-3.21073E+13
-4.24595E+14
1.72841E+14
2.17331E+13
3.3827E+14

1.23087E+15
1.27567E+15
2.33816E+15
-9.39395E+15
-9.05395E+15
3.08739E+15
2.77758E+16
-9.48362E+13
1.12789E+15
1.80887E+14
-2.58682E+14
2.61813E+14
1.03899E+14
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8.74365E+14
2.30464E+14
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-1.37061E+13
-9.44723E+14
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5.20496E+14
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8.48113E+14
8.78545E+13
7.0075E+14
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4.69133E+14
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6.38839E+14
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1.22093E+14
1.4022E+15
1.22964E+15
5.44822E+14
9.30734E+12
-1.87259E+15
-3.30487E+14
-3.01551E+14
2.70048E+14
8.84455E+14
1.58673E+14
1.71131E+14
-6.2254E+13

Weighted Regression
Pt

Pt/t

0.98
1.35
1.24
1.2
1.16
1.24
1.38
1.29
1.97
2.3
1.82
2.34
2.16
3.54
4.55
5.47
5.43
4.8
5.45
4.8
4.65
5.28
4.86
4.77
3.83
3.37
3.22
3.2
3.51
3.43
3.36
3.17
3.09
3.52
3.8
3.78
4
4.07
4.16
5.14
5.21
5.25
5.16
5.55

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

1/t
t
0.98
1
1 SUMMARY OUTPUT
0.954594 0.707107 1.414214
0.715914
0.6
0.518768
0.506228
0.521591
0.456084

0.57735
0.5
0.447214
0.408248
0.377964
0.353553

1.732051
2
2.236068
2.44949
2.645751
2.828427

Regression Statistics
Multiple R 0.951378
R Square 0.905119
Adjusted R Square
0.883222
Standard Error
0.286538
Observations
52

0.656667 0.333333
3
0.727324 0.316228 3.162278 ANOVA
0.548751 0.301511 3.316625
0.6755 0.288675 3.464102 Regression
0.599076 0.27735 3.605551 Residual
0.946105 0.267261 3.741657 Total

df

SS
MS
2 39.16174 19.58087
50 4.105199 0.082104
52 43.26694

1.174805 0.258199 3.872983

1.3675
0.25
4
Coefficients
Standard Error t Stat
1.316968 0.242536 4.123106 Intercept
0
#N/A
#N/A
1.131371 0.235702 4.242641 X Variable 1 0.88793 0.178537 4.973372
1.250316 0.229416 4.358899 X Variable 2 0.130644 0.010246 12.75124
1.073313
1.014713
1.1257
1.01338

0.223607
0.218218
0.213201
0.208514

4.472136
4.582576
4.690416
4.795832 RESIDUAL OUTPUT

0.973672 0.204124 4.898979

0.766
0.660911
0.619689
0.604743
0.651791
0.626229
0.603474
0.560382
0.5379
0.603675
0.642317
0.63
0.657596
0.660241
0.666133
0.812705
0.813665
0.810093
0.786893
0.836694

0.2
0.196116
0.19245
0.188982
0.185695
0.182574
0.179605
0.176777
0.174078
0.171499
0.169031
0.166667
0.164399
0.162221
0.160128
0.158114
0.156174
0.154303
0.152499
0.150756

5ObservationPredicted Y Residuals
5.09902
1 1.018574 -0.03857
5.196152
2 0.81262 0.141974
5.291503
3 0.738929 -0.02301
5.385165
4 0.705253 -0.10525
5.477226
5 0.689224 -0.17046
5.567764
6 0.682507 -0.17628
5.656854
7 0.681258 -0.15967
5.744563
8 0.683448 -0.22736
5.830952
9 0.687909 -0.03124
5.91608
10 0.693921 0.033403
6
11 0.701019 -0.15227
6.082763
12 0.708888 -0.03339
6.164414
13 0.717312 -0.11824
6.244998
14 0.726135 0.21997
6.324555
15 0.735245 0.43956
6.403124
16 0.744559 0.622941
6.480741
17 0.754014 0.562954
6.557439
18 0.763563 0.367808
6.63325
19 0.77317 0.477146

5.28
7.24
7.83
9.18
10.3
11.05
11.77
9.7

45
46
47
48
49
50
51
52

0.787096
1.06748
1.142123
1.325019
1.471429
1.562706
1.64813
1.345148

0.149071
0.147442
0.145865
0.144338
0.142857
0.141421
0.140028
0.138675

6.708204
6.78233
6.855655
6.928203
7
7.071068
7.141428
7.211103

9.708456

Pt

Pt/t

0.98
1.35
1.24
1.2
1.16
1.24
1.38
1.29
1.97
2.3
1.82
2.34

1
2
3
4
5
6
7
8
9
10
11
12

1/t

20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52

0.782806
0.792449
0.802083
0.811694
0.821271
0.830807
0.840294
0.849729
0.859107
0.868425
0.877681
0.886873
0.896
0.905062
0.914059
0.922989
0.931853
0.940652
0.949386
0.958055
0.96666
0.975202
0.983681
0.992099
1.000456
1.008752
1.01699
1.025169
1.033291
1.041356
1.049366
1.057321
1.065222

0.290507
0.222264
0.323617
0.201687
0.152401
-0.06481
-0.17938 0.06416
-0.23004
-0.25436
-0.21663
-0.25145
-0.2834
-0.33562
-0.36716
-0.31038
-0.28067
-0.30185
-0.28306
-0.28914
-0.29192
-0.15395
-0.16154
-0.17359
-0.20521
-0.16376
-0.22166
0.05049
0.116954
0.291728
0.430072
0.51334
0.590809
0.279926 0.080206

SUMMARY OUTPUT

0.98

0.954594
0.715914
0.6
0.518768
0.506228
0.521591

0.707107
0.57735
0.5
0.447214
0.408248
0.377964

1.414214
1.732051
2
2.236068
2.44949
2.645751

Regression Statistics
Multiple R 0.989879
R Square
0.97986
Adjusted R Square
0.877846
Standard Error
0.104934
Observations
12

0.456084 0.353553 2.828427

0.656667 0.333333
3

ANOVA

0.727324 0.316228 3.162278

0.548751 0.301511 3.316625
0.6755 0.288675 3.464102

Regression
Residual

df

SS
2 5.357167
10 0.110111

Total

12 5.467278

Coefficients
Standard Error
Intercept
0
#N/A
X Variable 1 0.925946 0.093592
X Variable 2 0.091777 0.018668
Pt

5.21
5.25
5.16
5.55
5.28
7.24
7.83
9.18
10.3
11.05
11.77
9.7

41
42
43
44
45
46
47
48
49
50
51
52

Pt/t
1/t
t
0.813665 0.156174 6.403124
0.810093
0.786893
0.836694
0.787096
1.06748
1.142123

0.154303
0.152499
0.150756
0.149071
0.147442
0.145865

6.480741
6.557439
6.63325
6.708204
6.78233
6.855655

1.325019 0.144338 6.928203

1.471429 0.142857
7
1.562706 0.141421 7.071068
1.64813 0.140028 7.141428
1.345148 0.138675 7.211103

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.993699
R Square 0.987437
Adjusted R Square
0.886181
Standard Error
0.144367
Observations
12
ANOVA
df
Regression
Residual
Total

SS
2 16.3812
10 0.208417
12 16.58962

Coefficients
Standard Error
Intercept
0
#N/A
X Variable 1 -22.1917 3.809163
X Variable 2 0.644839 0.082145

ln(Pt)
t
-0.0202
0.300105

1
2

0.215111
0.182322
0.14842
0.215111
0.322083
0.254642

3
4
5
6
7
8

0.678034
0.832909

9
10

0.598837
0.850151
0.770108
1.264127

11
12
13
14

1.515127

15

P-value Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
#N/A
#N/A
#N/A
#N/A
#N/A
8.15E-06 0.529328 1.246532 0.529328 1.246532

1.699279
1.691939
1.568616

16
17
18

2.46E-17 0.110065 0.151223 0.110065 0.151223

1.695616

19

1.568616
1.536867
1.663926
1.581038

20
21
22
23

1.562346

24

1.342865
1.214913
1.169381
1.163151
1.255616
1.23256
1.211941
1.153732
1.128171
1.258461
1.335001
1.329724
1.386294
1.403643
1.425515
1.637053
1.65058
1.658228
1.640937
1.713798

25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

F
Significance F
238.4887 5.57E-26

Regression

Observation

1.663926
1.979621
2.057963
2.217027
2.332144
2.40243
2.465554
2.272126

MS
F
Significance F
2.678584 243.2623 1.47E-08
0.011011

45
46
47
48
49
50
51
52

t Stat
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
9.893456 1.75E-06 0.717411 1.134482 0.717411 1.134482
4.91632 0.000608 0.050183 0.133372 0.050183 0.133372

MS
F
Significance F
8.1906 392.9908 1.75E-09
0.020842

t Stat
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
-5.82587 0.000167
-30.679 -13.7043
-30.679 -13.7043
7.849992 1.39E-05 0.461808 0.82787 0.461808 0.82787

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.838243
R Square 0.702652
Adjusted R Square
0.696705
Standard Error0.34221
Observations
52
ANOVA
df
Regression
Residual
Total

SS
MS
1 13.83665 13.83665
50 5.855395 0.117108
51 19.69205

F
Significance F
118.153 9.02E-15

Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
Intercept
0.385296 0.096298 4.001095 0.000208 0.191877 0.578716 0.191877 0.578716
X Variable 1 0.03437 0.003162 10.86982 9.02E-15 0.028019 0.040721 0.028019 0.040721

RESIDUAL OUTPUT
ObservationPredicted Y Residuals
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

0.419666
0.454037
0.488407
0.522777
0.557147
0.591517
0.625887
0.660258
0.694628
0.728998
0.763368
0.797738
0.832108
0.866479
0.900849
0.935219
0.969589
1.003959
1.038329
1.072699

-0.43987
-0.15393
-0.2733
-0.34046
-0.40873
-0.37641
-0.3038
-0.40562
-0.01659
0.103911
-0.16453
0.052413
-0.062
0.397648
0.614279
0.76406
0.72235
0.564657
0.657286
0.495916

21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52

1.10707
1.14144
1.17581
1.21018
1.24455
1.27892
1.313291
1.347661
1.382031
1.416401
1.450771
1.485141
1.519511
1.553882
1.588252
1.622622
1.656992
1.691362
1.725732
1.760103
1.794473
1.828843
1.863213
1.897583
1.931953
1.966323
2.000694
2.035064
2.069434
2.103804
2.138174
2.172544

0.429798
0.522486
0.405229
0.352166
0.098315
-0.06401 0.161153
-0.14391
-0.18451
-0.12641
-0.18384
-0.23883
-0.33141
-0.39134
-0.29542
-0.25325
-0.2929
-0.2707
-0.28772
-0.30022
-0.12305
-0.14389
-0.17061
-0.22228
-0.18379
-0.26803
0.013298
0.057269
0.181963
0.26271
0.298626
0.32738
0.099582 0.042119

CPWN Weekly Stock Prices, 2010 and Heteroskedasticity

Closing
Week Ending Price
1/4/2010
0.98
1/11/2010
1.35
1/19/2010
1.24
1/25/2010
1.2
2/1/2010
1.16
2/8/2010
1.24
2/16/2010
1.38
2/22/2010
1.29
3/1/2010
1.97
3/8/2010
2.3
3/15/2010
1.82
3/22/2010
2.34
3/29/2010
2.16
4/5/2010
3.54
4/12/2010
4.55
4/19/2010
5.47
4/26/2010
5.43
5/3/2010
4.8
5/10/2010
5.45
5/17/2010
4.8
5/24/2010
4.65
6/1/2010
5.28
6/7/2010
4.86
6/14/2010
4.77
6/21/2010
3.83
6/28/2010
3.37
7/6/2010
3.22
7/12/2010
3.2
7/19/2010
3.51
7/26/2010
3.43
8/2/2010
3.36
8/9/2010
3.17
8/16/2010
3.09
8/23/2010
3.52
8/30/2010
3.8
9/7/2010
3.78
9/13/2010
4
9/20/2010
4.07
9/27/2010
4.16
10/4/2010
5.14
10/11/2010
5.21
10/18/2010
5.25
10/25/2010
5.16

t
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.79215114
R Square
0.62750343
Adjusted R Square
0.6200535
Standard Error
1.57507506
Observations
52
ANOVA
df
Regression
Residual
Total

1
50
51

SS
MS
208.9615283 208.9615283
124.0430717 2.480861434
333.0046

Coefficients Standard Error

t Stat
0.81047511 0.443224891 1.828586639
0.13356698 0.014553491 9.177658932

Intercept
X Variable 1

RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

Predicted Y
0.94404209
1.07760907
1.21117604
1.34474302
1.47831
1.61187697
1.74544395
1.87901093
2.0125779
2.14614488
2.27971186
2.41327884
2.54684581
2.68041279
2.81397977
2.94754674
3.08111372
3.2146807
3.34824767

Residuals
0.03595791
0.272390933
0.028823956
-0.144743021
-0.318309997
-0.371876974
-0.365443951
-0.589010928
-0.042577905
0.153855118
-0.459711859
-0.073278835
-0.386845812
0.859587211
1.736020234
2.522453257
2.34888628
1.585319303
2.101752326

11/1/2010
5.55
11/8/2010
5.28
11/15/2010
7.24
11/22/2010
7.83
11/29/2010
9.18
12/6/2010
10.3
12/13/2010
11.05
12/20/2010
11.77
12/27/2010
9.7
Date
Adj Close

44
45
46
47
48
49
50
51
52
T

20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52

3.48181465
3.61538163
3.7489486
3.88251558
4.01608256
4.14964953
4.28321651
4.41678349
4.55035047
4.68391744
4.81748442
4.9510514
5.08461837
5.21818535
5.35175233
5.4853193
5.61888628
5.75245326
5.88602023
6.01958721
6.15315419
6.28672116
6.42028814
6.55385512
6.6874221
6.82098907
6.95455605
7.08812303
7.22169
7.35525698
7.48882396
7.62239093
7.75595791

1.31818535
1.034618373
1.531051396
0.977484419
0.753917442
-0.319649535
-0.913216512 0.984244555
-1.196783488
-1.350350465
-1.173917442
-1.387484419
-1.591051396
-1.914618373
-2.12818535
-1.831752326
-1.685319303
-1.83888628
-1.752453257
-1.816020234
-1.859587211
-1.013154188
-1.076721165
-1.170288141
-1.393855118
-1.137422095
-1.540989072
0.285443951
0.741876974
1.958309997
2.944743021
3.561176044
4.147609067
1.94404209 3.435193485

(eeT)-1

7.2917E+18
9.6233E+17
-1.534E+18
-1.55E+18
5.7858E+17
1.5981E+16
-2.284E+17
-1.175E+17

2.706E+18
-9.598E+17
3.9911E+17
3.0315E+18
1.5829E+17
6.2408E+16
7.0225E+16
-9.54E+16
6.4085E+15
1.326E+17
-5.86E+16
-2.999E+17
-2.331E+17
-7.859E+16
-8.212E+16
4.2892E+16
-1.134E+17
-1.571E+17
1.5158E+16
-9.227E+16
-1.394E+17
-7.914E+15
4.8806E+16
5.3527E+16
3.9165E+15
-4.041E+16
-1.654E+17
-6.46E+16
-1.531E+17
2.1675E+17
7.4251E+15
1.8084E+17
3.5306E+16
1.6466E+17
-1.41E+15
-2.106E+17
-6.706E+16

X
0.98 1

1.35
1.24
1.2
1.16
1.24
1.38
1.29
1.97
2.3
1.82
2.34
2.16
3.54
4.55
5.47
5.43

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

2
1
2
3
3
4
XT(eeT)-1 =
5
1.075E+19 -7.79247E+17 7.94581E+18
6
7.781E+19 -5.26601E+18 6.42865E+19
7
XT(eeT)-1 X =
8
2.089E+19 1.14326E+20
9
1.731E+20 1.07236E+21
10
T
T -1
-1
11 ( X (ee ) X ) =
4.106E-19 -4.37802E-20
12
-6.628E-20 7.99888E-21
13
XT(eeT)-1 y =
14
3.22E+19
15
2.835E+20
16
T
T -1
-1
T
T -1
17 ( X (ee ) X ) X (ee ) y =
0.810475113 = b0

4.8
5.45
4.8
4.65
5.28
4.86
4.77
3.83
3.37
3.22
3.2
3.51
3.43
3.36
3.17
3.09
3.52
3.8
3.78
4
4.07
4.16
5.14
5.21
5.25
5.16
5.55
5.28
7.24
7.83

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47

0.133566977 = b1

9.18
10.3
11.05
11.77
9.7

1
1
1
1
1

48
49
50
51
52

F
Significance F
84.2294235 2.65891E-12

P-value
Lower 95%
0.07342955 -0.079768262
2.6589E-12
0.10433543

Upper 95%
Lower 95.0% Upper 95.0%
1.700718488 -0.079768262 1.700718488
0.162798523
0.10433543 0.162798523

eT
0.03595791
eeT

0.272390933

0.00129297
0.00979461
0.00103645
-0.00520466
-0.01144576
-0.01337192
-0.0131406
-0.0211796
-0.00153101
0.00553231
-0.01653028
-0.00263495
-0.01391017
0.03090896
0.06242366
0.09070215
0.08446104

0.009794609
0.07419682
0.007851384
-0.039426686
-0.086704757
-0.101295916
-0.099543619
-0.160441236
-0.011597835
0.041908739
-0.125221342
-0.01996049
-0.105373292
0.234143762
0.472876171
0.687093397
0.639815326

0.028823956 -0.144743021 -0.318309997 -0.371876974 -0.365443951

0.001036449
0.007851384
0.00083082
-0.004172066
-0.009174953
-0.010718966
-0.01053354
-0.016977625
-0.001227264
0.004434713
-0.013250715
-0.002112186
-0.011150427
0.024776704
0.050038971
0.072707082
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10

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2.08087531
1.80899395
2.138098327
2.451792814
2.950405989
3.279510367
2.822710318
2.597058629
2.833703662
2.700511318
2.798467335
2.86560357
1.561259531
1.659215548
1.803401237
2.147915505
1.752755019
2.37464732
-0.439866009
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0.452519806
0.599932488
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1.016516161
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0.554915055

1.176111888
1.559241657
0.977931359
0.767559548
1.135851777
0.725173183
0.559313991
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0.211764295
0.550381445
1.452825096
2.184637042
2.641954508
3.077015665
1.442240064

3.104546641
4.115882593
2.581415549
2.026103503
2.998273255
1.91421751
1.476404064
-0.625972879
-1.788361024
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-2.729600413
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0.558987743
1.452825096
3.834978046
5.766719697
6.973886649
8.122304301
3.80703706

4.668357954
6.189120494
3.881717108
3.046685232
4.508552912
2.878440421
2.220093126
-0.941285736
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-4.537816814
0.840559083
2.184637042
5.766719697
8.671511457
10.4867483
12.21364285
5.724704376

1.90862E+17 2.90971E+16 -3.08438E+16 3.86504E+17 1.56761E+17 -9.30232E+16

2.66294E+16 1.79668E+16 -1.71632E+15 -8.363E+14 8.30324E+15 -1.48068E+16
-8.33719E+15 4.62187E+16 8.46253E+15 -3.3269E+17 -1.30895E+17 -1.02717E+16
-4.27254E+16 -1.30314E+16 -9.25112E+14 -4.2342E+16 -2.77645E+16 1.67315E+16
1.92938E+16 2.72338E+16 -1.52242E+15 -3.0806E+16 -3.29423E+15 -1.03981E+16
-1.57721E+15 8.70683E+15 -7.61409E+14 -1.5312E+16 -1.07189E+15 2.97633E+15
-4.728E+15 -1.39213E+13 -1.42896E+15 7.41313E+15 -7.77667E+15 4.18359E+15
-1.07175E+15 4.68491E+15 -3.78497E+14 -1.6666E+16 -7.7554E+15 -6.30072E+14

8.17014E+16
1.22699E+16
-2.41776E+16
-2.07255E+16
8.70679E+15
-1.0627E+15
-1.31455E+15
-1.54271E+15

6.6714E+16
-2.8368E+16
1.13197E+16
9.93937E+16
3.56125E+15
2.00723E+15
1.57257E+15
-2.46277E+15
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3.3792E+15
-1.91317E+15
-8.29531E+15
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-1.5775E+15
1.16333E+15
-2.90306E+15
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2.91655E+14
-3.99324E+15
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-6.69066E+14
1.14563E+15
1.95259E+15
9.59069E+14
-2.29575E+15
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-1.46776E+15
-5.35797E+15
5.42313E+15
1.37813E+15
4.50798E+15
1.76916E+15
5.85795E+15
2.86048E+14
-5.09818E+15
-3.04101E+15
2.96331E+16
-5.967E+15
-1.14305E+15
3.69874E+15
1.6135E+14
2.75473E+14
-1.64919E+15

-1.85657E+16
-1.80042E+16
3.65851E+15
5.47362E+16
4.26955E+15
2.68516E+15
-9.48194E+14
2.97909E+14
-8.20222E+14
-5.24547E+14
-9.85314E+14
-1.29885E+15
2.4075E+15
2.81658E+14
1.33211E+15
2.87727E+15
-3.95391E+15
5.03399E+14
-5.11186E+15
-3.46602E+15
3.73283E+15
-7.68639E+14
1.29688E+15
-3.95086E+14
3.61222E+15
-3.58203E+15
-7.27563E+14
3.401E+15
5.64059E+14
-9.41369E+14
-7.74922E+14
7.29438E+14
6.83741E+14
1.95688E+15
1.43616E+15
-5.09501E+13
-5.83539E+15
-3.11024E+15
3.63951E+15
1.05054E+15
7.6264E+14
-2.59439E+14
7.04954E+14
-4.24658E+14

5.62441E+15
4.56011E+15
-9.03063E+14
-1.0157E+16
1.83677E+15
-3.39367E+14
-2.4709E+14
3.32375E+14
2.99268E+14
-6.35853E+12
-2.19137E+14
4.77367E+14
5.41842E+14
7.14887E+14
2.7574E+14
6.19562E+14
2.65915E+15
3.68207E+13
-1.7972E+14
4.80238E+14
-2.07229E+14
-3.40494E+14
-3.93304E+14
2.19175E+14
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2.53454E+14
3.10817E+14
-1.64597E+14
-4.25737E+14
-1.25271E+14
6.81426E+14
2.75585E+14
-5.12298E+14
8.78912E+14
-1.43342E+14
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5.78872E+14
-1.67314E+15
5.63684E+14
-2.0243E+14
-7.29632E+14
-3.08366E+13
-9.40335E+13
9.86048E+13

2.0857E+17
2.89209E+16
7.78561E+15
-3.967E+16
-1.4628E+16
-2.9484E+15
7.45288E+15
-3.7433E+15
2.02036E+15
1.28438E+16
-3.4112E+15
-1.4281E+16
-1.6991E+16
-8.0977E+15
-9.3247E+15
1.70453E+15
-6.7513E+15
5.59625E+15
1.06336E+16
7.9122E+15
-1.7065E+16
4.38119E+15
-3.0908E+15
-1.8077E+15
-1.0829E+16
9.66842E+15
-7.9485E+15
-9.0173E+15
-4.9008E+15
1.69452E+16
1.69122E+15
1.08869E+16
-6.5096E+15
2.41138E+15
-4.348E+15
-1.3811E+16
1.0725E+16
1.0264E+17
-1.9301E+16
-3.0052E+15
5.71991E+15
-2.3556E+15
-1.3262E+15
-6.1943E+15

7.20554E+16
8.15237E+13
6.64619E+15
2.26983E+16
3.71562E+15
-1.04859E+15
2.50005E+15
-1.18798E+15
-1.73999E+14
4.52573E+15
-2.15162E+15
-5.50768E+15
-6.11776E+15
1.97835E+14
6.01787E+14
6.66304E+14
-2.35175E+14
2.52395E+15
3.08641E+15
6.17789E+14
-4.79774E+15
8.16218E+14
-5.97338E+13
3.90424E+14
-1.47057E+15
8.42268E+14
-2.91853E+15
-2.8331E+15
-2.87533E+15
3.82049E+15
8.4576E+14
3.95601E+15
-1.73883E+15
3.62136E+15
-1.23473E+15
-4.89088E+15
2.08655E+15
3.14661E+16
-4.35498E+15
-2.40599E+15
1.41617E+15
-3.72786E+14
-1.36984E+14
-2.3771E+15

-2.03584E+16
2.25078E+16
-6.4982E+15
-4.8884E+16
-3.16198E+15
-1.90268E+15
-6.54973E+14
1.25783E+15
-4.04821E+13
-9.88747E+14
7.96238E+14
4.25325E+15
2.94427E+15
-2.76339E+14
1.0857E+14
-3.17412E+14
-8.16698E+13
1.69626E+15
-1.93574E+14
2.54275E+15
1.34268E+15
8.20675E+14
-8.08433E+14
-9.25791E+14
-8.64432E+14
1.37966E+15
2.38207E+15
3.48934E+14
2.61432E+15
-2.49166E+15
-3.97161E+14
-1.56622E+15
-1.4637E+15
-3.54345E+15
-1.71083E+14
1.76406E+15
2.17866E+15
-6.69032E+15
2.27959E+15
6.97686E+14
-1.65778E+15
-3.67436E+14
-1.34056E+14
4.51366E+14

3.39848E+16
-1.23573E+16
5.19725E+15
3.94278E+16
7.34857E+14
1.05804E+15
9.95798E+14
-1.38478E+15
2.3233E+14
1.69689E+15
-9.39473E+14
-3.85357E+15
-3.30708E+15
-9.47276E+14
-9.89019E+14
1.16169E+15
-1.62532E+15
-1.45473E+15
1.41363E+14
-1.49167E+15
-1.91859E+15
3.74587E+13
2.42228E+14
5.58715E+14
7.12099E+13
-3.77967E+14
-2.06948E+15
-7.62832E+14
-2.02701E+15
2.99834E+15
3.83786E+14
2.22594E+15
4.24404E+14
2.37E+15
-7.93347E+13
-2.71889E+15
-1.03089E+15
1.75321E+16
-3.53455E+15
-4.17353E+14
1.71647E+15
-6.79578E+13
-4.78005E+12
-1.01611E+15

46

1.82418E+17
2.95905E+18

47

48

49

50

51

52

1.06794E+17 -1.57312E+17 1.22671E+17 -3.04375E+16 -2.8149E+16

1.42653E+18 -7.73256E+17 1.03305E+18 -3.81334E+17 -2.26202E+17

4.8056E+16
2.77866E+17

3.561176044

4.147609067

1.94404209

0.128052448
0.970032066
0.102647183
-0.515455377
-1.133557937
-1.324319372
-1.301410244
-2.097571606
-0.151627415
0.547905161
-1.637114858
-0.260958833
-1.37762604
3.061141383
6.182273668
8.98290011
8.36479755

0.149139354
1.129771104
0.119550502
-0.600337465
-1.320225431
-1.54240031
-1.515718645
-2.442987066
-0.176596504
0.638130883
-1.906705073
-0.303931962
-1.604485199
3.565231709
7.200333262
10.46215
9.742262033

0.069903691
0.529539439
0.056034984
-0.281386524
-0.618808033
-0.72294449
-0.710438423
-1.145062036
-0.082773239
0.299100826
-0.893699202
-0.14245714
-0.752044542
1.671073718
3.374896404
4.903755302
4.566333793

5.645601125
7.484710035
4.694290088
3.684458163
5.452343553
3.480994096
2.684832734
-1.138328265
-3.252124764
-4.261956689
-4.808835728
-4.180526672
-4.941076274
-5.666014115
-6.818293082
-7.578842684
-6.523192503
-6.001718729
-6.548597768
-6.240794557
-6.467167752
-6.622317426
-3.608020422
-3.834393617
-4.167602093
-4.963763455
-4.050560317
-5.487733367
1.016516161
2.641954508
6.973886649
10.4867483
12.68197481
14.77036605
6.923076119

6.575284716
8.717247006
5.467317508
4.291192544
6.350202651
4.054223239
3.126954819
-1.325781308
-3.787665083
-4.963790048
-5.600725833
-4.868950627
-5.754742956
-6.599059195
-7.941088522
-8.826880852
-7.597392558
-6.990045623
-7.626981409
-7.268491018
-7.532141988
-7.712840776
-4.202167495
-4.465818464
-4.853897706
-5.781166126
-4.717582195
-6.391420247
1.18390992
3.077015665
8.122304301
12.21364285
14.77036605
17.20266097
8.063126599

3.081927452
4.085894985
2.562607802
2.011341664
2.976428356
1.900270853
1.46564724
-0.62141215
-1.775331336
-2.326597474
-2.625138141
-2.282144918
-2.69732811
-3.093070881
-3.722098703
-4.137281895
-3.561003621
-3.276331661
-3.574872327
-3.406842892
-3.530419771
-3.615115808
-1.969614384
-2.093191263
-2.275089404
-2.709713017
-2.211196427
-2.995747616
0.554915055
1.442240064
3.80703706
5.724704376
6.923076119
8.063126599
3.779299648

-5.14232E+16
-2.26218E+14
3.81079E+16
5.5559E+15
4.35053E+15
1.9003E+15
1.4171E+15
2.17784E+15

-2.78934E+16 7.13638E+15
-2.39524E+15 6.42071E+15
1.73338E+16 1.43916E+16
4.01827E+15 -2.47624E+15
-1.69804E+15
7.9805E+15
-2.28998E+13 1.23087E+15
-5.31433E+14 1.27567E+15
-2.15802E+12 2.33816E+15

-2.79411E+16
1.5844E+15
-7.87174E+14
-2.05715E+15
-2.08942E+14
4.75471E+14
-8.61087E+14
5.62146E+14
-1.02131E+14
-1.06031E+15
2.42111E+14
1.2716E+15
2.16079E+15
4.88246E+14
1.08698E+15
5.7926E+14
3.03211E+13
3.57734E+14
-1.43801E+15
-7.82808E+14
1.87499E+15
-4.54045E+14
5.11397E+14
-2.91344E+14
1.05317E+15
-9.29563E+14
1.00286E+15
1.50017E+15
8.39523E+14
-1.56531E+15
-4.02035E+14
-9.99069E+14
3.65694E+14
-8.34085E+14
7.03312E+14
1.47101E+15
-1.38131E+15
-1.10558E+16
1.96946E+15
5.86166E+14
-5.12927E+14
-3.77586E+13
2.00878E+14
4.86502E+14
#N/A

-7.58924E+15
1.32771E+15
-6.67666E+14
-1.11206E+16
4.37651E+14
1.34446E+13
-2.50583E+14
1.5605E+14
2.03853E+14
-7.85659E+14
1.70058E+14
6.14868E+14
4.82528E+14
4.15438E+14
4.42855E+14
-6.07545E+13
2.29961E+15
9.55605E+13
2.07426E+14
9.53983E+13
5.19284E+14
-4.76899E+14
1.50455E+14
3.14189E+13
2.94984E+12
-1.26033E+14
4.67768E+14
-5.10246E+13
1.72795E+14
-8.66292E+14
-2.11411E+13
-4.17818E+14
7.08269E+14
-1.40129E+14
-4.26582E+12
6.30221E+14
2.1224E+14
-5.6739E+15
1.36009E+15
-3.21073E+13
-4.24595E+14
1.72841E+14
2.17331E+13
3.3827E+14

-9.39395E+15
-9.05395E+15
3.08739E+15
2.77758E+16
-9.48362E+13
1.12789E+15
1.80887E+14
-2.58682E+14
2.61813E+14
1.03899E+14
-1.01301E+14
-1.551E+15
-4.70455E+14
-1.12587E+14
8.74365E+14
2.30464E+14
-2.52089E+15
-1.37061E+13
-9.44723E+14
-1.51803E+15
5.20496E+14
-8.41613E+14
8.48113E+14
8.78545E+13
7.0075E+14
-9.93111E+14
-8.15861E+14
4.69133E+14
-5.831E+14
6.38839E+14
-1.07031E+14
1.22093E+14
1.4022E+15
1.22964E+15
5.44822E+14
9.30734E+12
-1.87259E+15
-3.30487E+14
-3.01551E+14
2.70048E+14
8.84455E+14
1.58673E+14
1.71131E+14
-6.2254E+13

#N/A

Ramsey Test
Closing
Predicted Y Price
0.9440421
0.98
1.0776091
1.35
1.211176
1.24
1.344743
1.2
1.47831
1.16
1.611877
1.24
1.745444
1.38
1.8790109
1.29
2.0125779
1.97
2.1461449
2.3
2.2797119
1.82
2.4132788
2.34
2.5468458
2.16
2.6804128
3.54
2.8139798
4.55
2.9475467
5.47
3.0811137
5.43
3.2146807
4.8
3.3482477
5.45
3.4818147
4.8
3.6153816
4.65
3.7489486
5.28
3.8825156
4.86
4.0160826
4.77
4.1496495
3.83
4.2832165
3.37
4.4167835
3.22
4.5503505
3.2
4.6839174
3.51
4.8174844
3.43
4.9510514
3.36
5.0846184
3.17
5.2181853
3.09
5.3517523
3.52
5.4853193
3.8
5.6188863
3.78
5.7524533
4
5.8860202
4.07
6.0195872
4.16
6.1531542
5.14
6.2867212
5.21
6.4202881
5.25
6.5538551
5.16

Predicted Y2

t
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

0.89121547
1.1612413

SUMMARY OUTPUT

1.46694741
1.80833379
2.18540045
2.59814738
3.04657459
3.53068207

Regression Statistics
Multiple R 0.821892
R Square 0.675507
Adjusted R Square
0.662262
Standard Error
1.485011
Observations
52

4.05046982
4.60593785

ANOVA

5.19708616
5.82391474
6.48642359
7.18461272

df

SS
MS
2 224.9469 112.4735
49 108.0577 2.205259
51 333.0046

F
51.0024

Coefficients
Standard Error t Stat
Intercept
2.022529 0.614239 3.292738
X Variable 1 -0.04579 0.068015
-0.6732
X Variable 2 0.154345 0.057327 2.692353

P-value
0.001846
0.503985
0.009683

Regression
Residual
Total

7.91848212
8.6880318
9.49326175
10.334172
11.2107625
12.1230333
13.0709843
14.0546156
15.0739272
16.1289191
17.2195913
18.3459437
19.5079764
20.7056894
21.9390826
23.2081561
24.5129099
25.853344
27.2294583
28.641253
30.0887279
31.571883
33.0907185
34.6452342
36.2354302
37.8613065
39.522863
41.2200998
42.9530169

6.6874221
6.8209891
6.954556
7.088123
7.22169
7.355257
7.488824
7.6223909
7.7559579

5.55
5.28
7.24
7.83
9.18
10.3
11.05
11.77
9.7

44
45
46
47
48
49
50
51
52

44.7216143
46.5258919
48.3658498
50.241488
52.1528065
54.0998052
56.0824842
58.1008435
60.1548831

Significance F
1.06E-12

Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
0.788169 3.25689 0.788169 3.25689
-0.18247 0.090893 -0.18247 0.090893
0.039142 0.269549 0.039142 0.269549

New Privately Owned Single Housing Units Started

Not Seasonally Adjusted, Not Annulaized, ('000's)
Jan 2007
Feb 2007
Mar 2007
Apr 2007
May 2007
Jun 2007
Jul 2007
Aug 2007
Sep 2007
Oct 2007
Nov 2007
Dec 2007
Jan 2008
Feb 2008
Mar 2008
Apr 2008
May 2008
Jun 2008
Jul 2008
Aug 2008
Sep 2008
Oct 2008
Nov 2008
Dec 2008
Jan 2009
Feb 2009
Mar 2009
Apr 2009
May 2009
Jun 2009
Jul 2009
Aug 2009
Sep 2009
Oct 2009
Nov 2009
Dec 2009
Jan 2010
Feb 2010
Mar 2010
Apr 2010
May 2010
Jun 2010
Jul 2010
Aug 2010
Sep 2010
Oct 2010
Nov 2010
Dec 2010

75.4
82.9
101.3
111.4
111.4
110.1
100.1
86.6
78.6
77.4
58.6
52.3
48.5
51.9
61.5
62.6
66.1
65.2
59.9
54.4
48.7
45.8
31.3
26.1
22.7
24.6
31.0
35.0
39.5
49.2
49.3
43.4
45.6
39.4
35.2
30.1
31.7
35.2
47.4
52.2
44.5
45.5
40.7
39.1
39.2
36.0
33.0
26.6

Jan Avg
Feb Avg
Mar Avg
Apr Avg
May Avg
Jun Avg
Jul Avg
Aug Avg
Sep Avg
Oct Avg
Nov Avg
Dec Avg
Average

Monthly
Additive
Multiplicative
Averages Adjustments Adjustments
44.6
-9.3 0.82795449
48.7
-5.2 0.90364523
60.3
6.5 1.12003715
65.3
11.5 1.21290922
65.4
11.5 1.2143023
67.5
13.7 1.25377293
62.5
8.7 1.16090086
55.9
2.0 1.03784537
53.0
-0.8 0.98490829
49.7
-4.2 0.92221964
39.5
-14.3 0.7341537
33.8
-20.1 0.62735082
53.8
0.0
1.0

Not Seasonally Adjusted, Not Annulaized, ('000's)

Jan 2007
75.4
Jan 2009
22.7
Feb 2007
82.9
Feb 2009
24.6
Mar 2007
101.3
Mar 2009
31.0
Apr 2007
111.4
Apr 2009
35.0
May 2007
111.4
May 2009
39.5
Jun 2007
110.1
Jun 2009
49.2
Jul 2007
100.1
Jul 2009
49.3
Aug 2007
86.6
Aug 2009
43.4
Sep 2007
78.6
Sep 2009
45.6
Oct 2007
77.4
Oct 2009
39.4
Nov 2007
58.6
Nov 2009
35.2
Dec 2007
52.3
Dec 2009
30.1
Jan 2008
48.5
Jan 2010
31.7
Feb 2008
51.9
Feb 2010
35.2
Mar 2008
61.5
Mar 2010
47.4
Apr 2008
62.6
Apr 2010
52.2
May 2008
66.1
May 2010
44.5
Jun 2008
65.2
Jun 2010
45.5
Jul 2008
59.9
Jul 2010
40.7
Aug 2008
54.4
Aug 2010
39.1
Sep 2008
48.7
Sep 2010
39.2
Oct 2008
45.8
Oct 2010
36.0
Nov 2008
31.3
Nov 2010
33.0
Dec 2008
26.1
Dec 2010
26.6

Seasonal Adjustments
Month
Additive
Jan 2007
84.6625
Feb 2007
88.0875
Mar 2007
94.8375
Apr 2007
99.9375
May 2007
99.8625
Jun 2007
96.4375
Jul 2007
91.4375
Aug 2007
84.5625
Sep 2007
79.4125
Oct 2007
81.5875
Nov 2007
72.9125
Dec 2007
72.3625
Jan 2008
57.7625
Feb 2008
57.0875
Mar 2008
55.0375
Apr 2008
51.1375
May 2008
54.5625
Jun 2008
51.5375
Jul 2008
51.2375
Aug 2008
52.3625
Sep 2008
49.5125
Oct 2008
49.9875
Nov 2008
45.6125
Dec 2008
46.1625

Seasonal Adjustments
Month
Additive
Multiplicative
Jan 2007
84.7 91.06781
Feb 2007
88.1 91.73954
Mar 2007
94.8 90.44343
Apr 2007
99.9 91.84529
May 2007
99.9 91.73992
Jun 2007
96.4 87.81494
Jul 2007
91.4 86.22614
Aug 2007
84.6 83.4421
Sep 2007
79.4 79.80438
Oct 2007
81.6 83.92795
Nov 2007
72.9 79.8198
Dec 2007
72.4 83.36643
Jan 2008
57.8 58.5781
Feb 2008
57.1 57.43404
Mar 2008
55.0 54.90889
Apr 2008
51.1 51.61145
May 2008
54.6 54.43455
Jun 2008
51.5 52.00304
Jul 2008
51.2 51.59786
Aug 2008
52.4 52.41629
Sep 2008
49.5 49.44623
Oct 2008
50.0 49.66279
Nov 2008
45.6 42.63412
Dec 2008
46.2 41.60352
Jan 2009
32.0 27.41697
Feb 2009
29.8 27.22307
Mar 2009
24.5 27.67765
Apr 2009
23.5 28.85624
May 2009
28.0 32.52897
Jun 2009
35.5 39.24156
Jul 2009
40.6 42.46702
Aug 2009
41.4 41.8174
Sep 2009
46.4 46.29873
Oct 2009
43.6 42.72301
Nov 2009
49.5 47.94636
Dec 2009
50.2 47.97953
Jan 2010
41.0 38.28713
Feb 2010
40.4 38.95334
Mar 2010
40.9 42.32002
Apr 2010
40.7 43.03702
May 2010
33.0 36.64656
Jun 2010
31.8 36.29046
Jul 2010
32.0 35.05898
Aug 2010
37.1 37.67421
Sep 2010
40.0 39.80066
Oct 2010
40.2 39.03625
Nov 2010
47.3 44.94972
Dec 2010
46.7 42.40052

easonal Adjustments
Multiplicative
91.06781
91.73954
90.44343
91.84529
91.73992
87.81494
86.22614
83.4421
79.80438
83.92795
79.8198
83.36643
58.5781
57.43404
54.90889
51.61145
54.43455
52.00304
51.59786
52.41629
49.44623
49.66279
42.63412
41.60352

Seasonal Adjustments
Month
Additive
Multiplicative
Jan 2009 31.9625 27.41697
Feb 2009 29.7875 27.22307
Mar 2009 24.5375 27.67765
Apr 2009 23.5375 28.85624
May 2009 27.9625 32.52897
Jun 2009 35.5375 39.24156
Jul 2009 40.6375 42.46702
Aug 2009 41.3625 41.8174
Sep 2009 46.4125 46.29873
Oct 2009 43.5875 42.72301
Nov 2009 49.5125 47.94636
Dec 2009 50.1625 47.97953
Jan 2010 40.9625 38.28713
Feb 2010 40.3875 38.95334
Mar 2010 40.9375 42.32002
Apr 2010 40.7375 43.03702
May 2010 32.9625 36.64656
Jun 2010 31.8375 36.29046
Jul 2010 32.0375 35.05898
Aug 2010 37.0625 37.67421
Sep 2010 40.0125 39.80066
Oct 2010 40.1875 39.03625
Nov 2010 47.3125 44.94972
Dec 2010 46.6625 42.40052

Stochastic Processes and Stock Prices: Simulations

Initial Stock Price=
Sigma =

100 mu =
0.07

0.005
Hit F9 to generate another random process

[0,1] Normally distributed variable

Arithmetic [0,1] Brownian Motion
Geometric [0,1] Brownian Motion
Geometric Brownian Motion
Weiner Process

-0.8499

-0.5

0.0114 -1.2259

1.15932 0.0457 1.343757

-0.1724 -1.6854

-0.8848

0.18

100 99.1501

98.65

98.661 97.4352

98.5945

99.8115 98.1261 97.2414

97.421

97.8608

98.788

-11.02 -25.8203 -21.3688 14.6459 1.68791

1.9918

2.86708

5.5252

-4.879 -10.5354

98.64 99.98391

100 42.7471 21.354

21.597

100 94.2244 90.981

91.053 83.5656

90.6299

90.92 99.88744

98.6892 87.7067 82.4396

83.485

86.0931 91.8657

100 94.6967 91.895

92.429 85.2537

92.9242 93.689 103.4454

102.717 91.7437 86.6663

88.205

91.4168 98.0353

Weiner Process

Geometric Brownian Motion

120

140

100

120
100
S(t)

80
S(t)

0.43946 0.92712

60
40

80
60
40

20

20

20

39

58

77

96 115 134 153 172 191

t

21

41

61

81 101 121 141 161 181

t

Notice the drift on the Weiner Process - the Y-Axis scale has a higher maximum if mu > 0.
Note: The first two random variables are not driven off the input variables mu and sigma.

-0.652 -1.66891 -0.64201 -1.6782 -0.47211 -0.2652

-0.156 -0.0271

0.6346 0.564554

95.825

94.147

93.6748 93.4096 92.6166

92.037 92.02027

91.9296 91.10122

90.6036

91.1223

90.302 90.1462 90.1192

90.754 91.31834

1.922748 -1.28615 -0.46042

0.3122

0.16483 0.12112 0.02507

0.0105 0.010366

0.00943 0.001618

0.00081

0.00123

0.0002 0.00019 0.00018

0.0003 0.000466

87.76715

78.0901

74.6584

66.384

64.2257 63.0447 59.6404

57.27 57.20203

56.8401 53.63789

51.8016

53.7169

50.72 50.1695 50.0745

52.349 54.45933

94.13099

84.1721

80.8764

72.273

70.2742 69.3276 65.9129

63.61 63.85337

63.7674 60.47655

58.6989

61.1744

58.051 57.7086 57.8881

60.821 63.58987

98.13596

96.467

161 181 201

-0.793 -0.5795 -0.01688 -0.09068 -0.82837 -0.49764

0.51867 -0.8201

0.8782 -0.4802 0.76805 0.71521

-0.025

2.1614 -0.83868 -0.5298

0.00424 -2.58808

95.336

94.4973

93.967

93.9717

0.0009 0.00046 0.00081 0.00138 0.00135 0.00426

0.00069

0.0003

0.00032 -0.00051

57.912 55.9976 59.0906 62.1243 62.0158 72.1457

68.0321

65.555

65.5748

54.7089

82.2678

79.67

80.0933

67.1565 65.3343

92.197 91.7163 92.4843 93.1995 93.1746

67.96 66.0432 70.0404 74.0053 74.2464

86.807

-0.4644

2.3809 1.232557 -0.07134

91.3837 90.9192 93.3001

-0.0003

-0.0009

94.5327 94.46136

0.45582

94.893

95.3484 95.3179 96.8713

-0.00208 -0.00193 -0.0028 -0.00403

52.959 62.5634 68.20101 67.86128

77.57

0.4312

84.9837 84.98422

-0.0304 1.55338
-0.0039

-0.01

69.941

72.2084 72.0548 80.3316

88.028

91.3371 91.5996 102.633

1.25396 0.33485 -1.1136 -0.66678286 -0.82611986

-0.4744097 -0.17696171 -1.10235431 -1.49605483 -2.00512187

0.21255462

1.40599717 -1.01923247

98.1253 98.4601 97.3466

96.6797677

95.8536479

95.110934

94.6365243

94.4595625

90.0685861

91.4745833

-0.0225

-0.03 0.00341

0.00113558

0.00019746

5.0803E-05

2.6701E-05

2.1976E-05 -2.2494E-06

1.1158E-06 -1.1215E-06 -1.3599E-06 -3.2719E-06

6.2927E-08

87.7016 89.7816 83.0488

79.2616123

74.808053

71.0181563

68.6984672

67.8527264

62.8137983

56.5684229

49.1605956

49.8975161

55.0582119

51.2668709

103.31204

97.9958898

93.497581

90.8969898

90.2279788

83.9460864

75.9785396

66.3598628

67.6922177

75.0677486

70.248907

112.611

115.86 107.709

-0.7427139

93.3572082

91.8611534

89.8560315

90.4553508

-1.32666051

0.56799575

1.16426193

89.1286903

89.6966861

90.860948

1.01894844 -0.45296293

0.31371984

91.8798965

91.7406534

0.46423801

1.29655564 -0.03601079 -1.38762568

92.4703107

90.6645725

91.1288105

92.4253661

92.3893553

-2.0556E-08 -3.2231E-08 -6.9757E-08 -1.4084E-07 -7.7043E-08 -1.0121E-07 -2.0418E-07 -1.4545E-07

1.1719E-07

1.716E-07

3.9408E-07

3.7989E-07 -1.4726E-07

46.7202887

48.6152963

52.7432897

56.6426902

54.874872

56.0932749

60.2333845

59.0327245

52.0232256

53.7415758

58.8472922

58.6991394

53.2656293

64.3398065

67.2850597

73.3642347

79.1831039

77.096319

79.2031384

85.475241

84.1913293

74.5664193

77.4154925

85.1952615

85.4067435

77.8895085

91.4269335

1.01729759 -0.28764023 -1.80573826

92.757951

91.0017297

-0.9017381 -1.04776664

0.34113083 -0.55088141 -0.91742688 -0.89878495 -0.98957143 -0.01430641

-1.8845134 -0.77979376 -0.11709521

90.0999916

89.0522249

89.3933557

88.8424743

87.9250475

87.0262625

86.0366911

86.0223847

84.1378713

-1.447E-08

6.9116E-10

9.2694E-10

4.1631E-10

3.4376E-11

3.4793E-12

3.6285E-14

3.5765E-14 -3.1635E-14 -6.9662E-15 -6.1505E-15 -1.0773E-14

1.3954E-14

50.0073304

46.4708827

47.5939235

45.7935567

42.9451413

40.3264899

37.6276281

37.5899649

32.9443965

31.1943074

30.9396632

32.6110874

27.7707551

73.4914886

68.6366009

70.6476674

68.3159586

64.3877574

60.764672

56.9821789

57.2104812

50.3914331

47.9536836

47.8006365

50.6354706

43.3359908

83.3580775

83.2409823

0.75161966 -2.29526923
83.992602

81.6973327

-0.64435506 -0.47537508

-1.3357848

0.79175852

1.40331287 -1.54136938

0.89834686

0.28004133

79.2418178

80.0335763

81.4368892

79.8955198

80.7938667

81.073908

81.1446733

80.8274527

80.5493277

81.0661808

4.9628E-15

2.6036E-15 -8.7425E-16 -1.5665E-15 -3.7647E-15

2.0381E-15

3.869E-15

4.9525E-15

5.3029E-15

3.6207E-15

2.6137E-15

3.9646E-15 -9.4481E-17

26.5459883

25.6771729

23.3850621

24.7177237

27.2690523

24.4800032

26.0688436

26.58491

26.7169269

26.1302041

25.6264017

26.5705339

24.7329086

41.6323968

40.4716763

37.0436683

39.3509666

43.6303251

39.3641925

42.1291905

43.1785462

43.6104729

42.8665535

42.2507933

44.0269898

41.1874947

81.0529777

80.5776026

0.0707653 -0.31722062 -0.27812504

0.51685314 -1.02383095
80.0423498

-1.1090698 -0.65955389 -1.22289196

78.93328

78.2737261

77.0508342

0.57066129 -0.90980957 -3.08006652 -0.27164722

77.6214955

76.7116859

73.6316194

73.3599722

1.23881182

2.52547801

0.96050252 -0.73281709 -0.49981601

-0.1307168

74.598784

77.124262

78.0847645

76.7214146

77.3519474

76.8521314

1.0305E-17

3.5083E-18 -7.8197E-19 -1.2282E-18 -1.1077E-19

2.3041E-19

1.6782E-19

3.7572E-19

1.3246E-18

2.5969E-18

6.9385E-19

3.4705E-19

3.0169E-19

22.8854149

21.8528431

20.0600163

20.8775597

19.5893924

15.7901063

15.4926893

16.8961381

20.1633892

21.565692

20.4873275

19.7829292

19.6027375

38.3019113

36.7570861

33.9106319

35.4695606

33.4478735

27.0959307

26.7188217

29.2852822

35.1234338

37.7544637

36.0463827

34.9815016

34.8366231

0.26412382

0.54816038 -0.17792212

0.08305342

0.20251765 -0.45022541 -0.47743951 -1.83004568

0.98774216

0.28216668

0.97057177

0.04261876

1.19691394

76.9855384

77.5336988

77.3557767

77.4388301

77.6413478

77.1911224

76.7136828

75.8713793

76.153546

77.1241178

77.1667365

78.3636505

3.8137E-19

5.9042E-19

4.8537E-19

5.2568E-19

6.3214E-19

3.4754E-19

1.8161E-19 -1.5074E-19 -2.9964E-19 -3.8419E-19 -7.5707E-19 -7.8933E-19 -1.7341E-18

19.9685372

20.7496446

20.4928198

20.6123067

20.9065926

20.2579796

19.5921309

17.2364238

18.4703502

18.8387972

20.1631856

20.2234285

21.9908341

35.6645746

37.2454248

36.9688093

37.3707497

38.0942952

37.0974696

36.0579727

31.8814648

34.3350518

35.1955065

37.8586104

38.1620572

41.7051961

74.8836372

0.55096901

0.75802185 -0.27341841 -2.51646728

78.9146195

79.6726413

0.2379442

0.309041

1.00438224

0.26281612

0.45004409

0.39788324

0.14836042

79.3992229

76.8827556

77.1206998

77.4297408

78.4341231

78.6969392

79.1469833

79.5448665

79.693227

0.10541358 -1.51975868

-2.6895E-18 -4.7283E-18 -3.4355E-18

5.2098E-18

6.4494E-18

8.4425E-18

1.6922E-17

2.1369E-17

3.0987E-17

4.3316E-17

4.9742E-17

5.4986E-17 -2.8579E-17

22.8555406

24.1010424

23.6441519

19.8253832

20.158362

20.5991963

22.0995847

22.5099165

23.2303365

23.8864382

24.1357969

24.3145525

21.8607312

43.5623637

46.1665305

45.5183617

38.3579992

39.1977436

40.255718

43.4043128

44.4318226

46.0836869

47.6227625

48.361115

48.9634955

44.2427681

79.7986405

78.2788819

-0.13028227

1.8913395

1.53439014

1.32843444 -0.69205792 -0.15555264

1.71312532

-0.3348289

2.13166631 -0.57442741 -0.33196648

0.91815357 -1.07924569

78.1485996

80.0399391

81.5743292

82.9027637

83.7682784

83.4334495

85.5651158

85.5768755

-2.4856E-17 -7.1867E-17 -1.8214E-16

-4.241E-16

82.2107057

82.0551531

84.9906884

-1.306E-16 -1.1028E-16 -2.9921E-16 -1.9903E-16 -6.2328E-16 -2.6525E-16

84.6587219

-1.772E-16 -3.3989E-16

84.4976298
2.6935E-17

21.6622729

24.7287352

27.5326685

30.2157604

28.7868764

28.4751255

32.1030066

31.3593248

36.4058074

34.9709734

34.1676993

36.4357881

33.7845732

44.0608735

50.5501508

56.5640281

62.3874197

59.7350884

59.384361

67.285831

66.0565806

77.0710942

74.4046454

73.0599784

78.3003031

72.9667806

-0.730695 -0.79848072

1.19665738

0.8582389 -1.94925983

0.48581691

0.18426316

1.60841126 -1.94153402

82.7265571

81.6474262

81.0016515

81.4874685

81.6717316

83.2801429

-5.664E-18 -7.3948E-18 -2.5652E-18

2.0299E-19

7.1903E-20

1.0683E-19

1.2652E-19

3.3002E-19 -3.1072E-19

29.8453545

27.6739084

26.4507842

27.3657708

27.7210323

31.0245926

27.0820953

66.7549993

62.2083992

59.7569678

62.1339776

63.2560897

71.1492789

62.4191931

83.0740906

0.30557655 -0.65310997 -1.07913093 -0.64577467

83.3796671

83.7669348

82.9684541

84.1651115

85.0233504

7.2537E-18

1.4618E-18

3.211E-18

5.9668E-18

32.0999873

30.3550224

33.0072753

35.0510203

30.5803161

31.2414862

69.6759793

66.2186389

72.3653789

77.2312923

67.7183051

69.5292055

81.3386088

-0.53481131

0.70930369

0.09436961 -0.23008436

0.37568685

0.13754989

0.94606223

0.96835015

80.8037975

81.5131012

81.6074708

81.7530733

81.8906232

82.8366854

83.8050356

1.59689213

0.68104335 -1.80939236

84.5490228

82.0490198

83.6459119

84.3269552

-1.4454E-19 -2.4707E-19 -2.7039E-19 -2.0817E-19 -2.8638E-19 -3.2577E-19 -6.3398E-19 -1.2479E-18 -2.1763E-18

3.2645E-18

8.4775E-18

1.4251E-17 -1.1535E-17

26.0869719

27.4149171

27.596616

27.1557077

27.8793238

28.1490561

30.0763209

32.185714

33.9063324

28.4629028

31.8291975

33.383343

29.4119072

60.4269996

63.8213183

64.5663353

63.8532348

65.8833216

66.8541791

71.789496

77.2095134

81.7447661

68.9651685

77.508222

81.7002494

72.3416178

81.3773865

0.7439872 -2.50000304

82.5175629

0.18417753 -0.26022299

0.76581499

0.49885323

0.20944327 -1.44320608

1.33534673

0.57524118 -1.27848174 -0.60817093 -0.75688306 -1.31084382

1.58783106

82.7017404

83.2073324

83.7061856

83.9156289

82.4724228

83.8077696

84.3830107

82.4963581

81.739475

80.4286312

82.0164622

-1.3659E-17 -1.0105E-17 -1.7843E-17 -2.6744E-17 -3.2345E-17

1.4336E-17

3.3479E-17

5.2737E-17 -1.4686E-17 -5.7545E-18

-1.399E-18

4.3488E-19

1.1254E-18

82.4415174

83.104529

29.793553

29.2557583

30.8668708

31.9637738

32.4358477

29.3191181

32.1918742

33.5145928

30.6455428

29.3682824

27.8527986

25.4108026

28.3981089

73.647634

72.6807388

77.0676384

80.2063896

81.798934

74.3095731

81.9995744

85.7967339

78.8452616

75.9378508

72.3802477

66.3653029

74.5390051

0.90995298 -0.59694474

1.89256194

0.46749248 -0.92495801 -0.60146723 -0.73155177

1.29206909

0.38187858

0.7715534

0.41392253 -0.80533743 -1.80010319

82.9264152

82.3294705

84.2220324

84.6895249

83.7645669

83.1630997

82.4315479

83.723617

84.1054956

84.877049

85.2909715

84.4856341

2.1494E-18

8.6634E-19

2.5059E-18

3.6775E-18

2.7596E-19

1.0998E-19

2.9524E-20

6.7671E-20

9.3514E-20

1.6566E-19

2.3424E-19

4.5597E-20 -3.6482E-20

30.2658273

29.0271945

33.139054

34.2414514

32.094667

30.7714458

29.2353488

32.0027996

32.8698192

34.6938912

35.7138369

33.7562161

29.7597664

79.8395707

76.9559456

88.2975585

91.6921647

86.3742734

83.2282776

79.4699165

87.4286801

90.247408

95.7330524

99.0414244

94.0817958

83.359064

82.6855309

Ornstein-Uhlenbeck Process Simulation

r0 =
k=
=

0.05
0
0.02

rt = rt-1 + k(r0 - rt-1) + e t

Hit F9 to generate another random process

[0,1] Normally distributed variable

Ornstein-Uhlenbeck Process

0.00922

-0.01

0.0116 -0.0031 -0.00623 0.0305 -0.02624

0.00888 0.01684 0.01753 -0.0107 -0.01255 0.00168

0.05 0.05922

0.049

0.0606 0.05748

0.06436

0.05125 0.0817 0.055477

0.0812 0.09873

0.088

0.07544 0.07712

Ornstein-Uhlenbeck (Vasicek) Process

0.6
0.5

r(t)

0.4
0.3
0.2
0.1
0
1

20

39

58

77

96

115

134

153

172

191

t
Notice that as k gets closer to 1, the process becomes more mean reverting. As k approaches 0, the process looks like Brownian motion.

-0.00358 -0.00677
0.073542

0.06677

0.011

0.0201

0.07777

0.0979

0.0286 0.01781
0.12649

-0.0042 -0.0042 0.012794

0.1443 0.14012

0.136

0.14875

0.01262 0.005146 -0.02752

0.03682 -0.0034

0.16137 0.166521

0.17583

0.139

-0.0379 -0.0227 -0.0003 0.012528

0.1725 0.13456 0.11186

0.1116 0.124113

0.0005

-0.026 0.01482

0.1246 0.09869

-0.0277 -0.0148 0.02914

0.01954

0.0032

0.01485

0.01323 0.00104

0.1135 0.08576 0.07091 0.10005

0.11959

0.1228

0.13761

0.15084 0.15188 0.14208

-0.0098

-0.00857 0.005095 -0.0094

0.13351 0.138605

0.1292

0.00392

-0.0001 0.00478

0.1331 0.13296 0.13774

-0.0073 0.04818 0.02319

0.02747697

0.02478608 -0.01886236

0.13044 0.17862 0.20181

0.22928971

0.25407579

0.23521343

0.0098968

-0.0318259

0.01504965

0.02703555

0.02015233 -0.02761557 -0.03058794

0.03452155

0.24511023

0.21328433

0.22833397

0.25536952

0.27552186

0.25183989

0.24790628

0.21731834

-0.00756133

0.01589886

0.00323862 -0.00993219 -0.02778546

0.01533044

0.24427856

0.26017743

0.26341605

0.24102883

0.25348385

0.2256984

0.05546587 -0.04328438
0.2964947

0.25321032

0.02255691

0.01442443

0.00702754

0.27576723

0.29019166

0.2972192

-0.0227211 -0.00846014
0.27449811

0.26603797

-0.00804388

0.02281653

0.01989133 -0.00488908 -0.01182766

0.00014724

-0.0227141 -0.00212528

0.25799409

0.28081062

0.30070196

0.28413245

0.26141835

0.29581288

0.28398521

0.25929307

0.0302499

-0.0082639

0.01661676 -0.02240502

0.03744127

0.28954297

0.28127907

0.29789583

0.31293209

0.27549081

0.01373038 -0.03512939 -0.00675502

0.02077431

0.02112204

0.32666246

0.30555236

0.3266744

0.29153307

0.28477805

0.03388211 -0.02074025

0.01744816

-0.0160042

0.02469024 -0.04223246

0.01616464

0.00281973

0.36055651

0.35726441

0.34126021

0.36595045

0.33988263

0.34270235

0.33981626

0.32371799

0.01911256 -0.00622796 -0.00239482

0.02064891 -0.01090523

0.00088572 -0.00457182

0.01949271 -0.02285796

0.02049838 -0.01359739 -0.03567627 -0.02351654

0.36181492

0.37384104

0.36382153

0.37874242

0.37638284

0.35558696

0.35319213

0.36293581

0.35924971

0.35588447

0.36278545

0.32710918

0.30359264

0.02010076

0.0224902

0.0165166 -0.02133508 -0.00266771

0.00252376 -0.00505156 -0.02696929 -0.00345449

0.00531649

0.00444032

-0.0131488

0.01800304

0.3236934

0.3461836

0.3627002

0.34122118

0.31106234

0.31550265

0.30235385

0.32035689

0.34136513

0.33869742

0.33616962

0.30920033

0.30574584

-0.00282935 -0.00389262
0.31752754

0.31363492

0.03538106

0.01095578

0.01449803

0.00532265 -0.00951012 -0.00450914

0.00965511

-0.0054678

0.0143896

0.0004951

0.00928456

0.34901598

0.35997176

0.37446979

0.37979245

0.37542829

0.36996049

0.38435009

0.38484519

0.39412976

0.37028232

0.36577319

0.04151668

0.02079516

0.01675441

0.02467294

0.02018568

0.43564644

0.4564416

0.473196

0.49786894

0.51805463

0.0121678 -0.02707985 -0.01584133

0.53022243

0.50314258

0.48730125

0.04736141

0.00171291 -0.03189088 -0.00740667

0.01685944

0.53466266

0.53637557

0.51393746

0.50448469

0.49707802

0.00410227 -0.04415172 -0.00073261 -0.00020818 -0.01846545 -0.00684099

0.51803972

0.473888

0.47315539

0.47294721

0.45448176

0.44764077

0.05551203 -0.01279057 -0.01716034

0.5031528

0.49036223

0.47320189

0.01606073 -0.00426015 -0.00944509

0.00225407

0.48926262

0.47781145

0.48500247

0.47555738

0.04214756

0.00387786

0.02315259

0.00975167 -0.02085732 -0.00320772

0.519959

0.52383687

0.54698945

0.55674113

0.53588381

0.53267609

0.01456551 -0.01048297 -0.00289632

0.5472416

0.53675863

0.53386231

0.00044712
0.53430943

0.0116744 -0.01267622
0.54598383

0.53330761

0.00502833
0.53833594

0.0002835
0.53861944

0.01691666 -0.00971148 -0.00414819

0.5555361

0.54582462

0.54167643

0.0145956
0.55627203

-0.0247814 -0.02870572 -0.04367802

0.53149064

0.50278491

0.45910689

0.0069918
0.46609869

0.00332085 -0.03665274 -0.03067732

0.46941955

0.43276681

0.40208949

0.012368
0.41445749

0.03351135

0.00123573 -0.02479439

0.01886825

0.00359542 -0.01526495

0.02732849

0.00592983

0.44796884

0.44920457

0.44327842

0.44687385

0.45893739

0.46486723

0.42441017

0.4316089

0.0205083 -0.00591331
0.48537552

0.47946222

0.01266028 -0.00453855
0.4921225

0.48758394

0.04704151
0.53462546

Pairs Trading and the Ornstein-Uhlenbeck Process

D Diff.
Date
Adj Close Adj Close Diff.
1/3/2012
117925
78.37
370
65
12/1/2011
114755
76.3
305
-55
11/1/2011
118500
78.76
360
200
10/3/2011
116950
77.86
160
-80
9/1/2011
106800
71.04
240
-29
8/1/2011
109769
73
269
24
7/1/2011
111500
74.17
245
225
6/1/2011
116105
77.39
20
-150
5/2/2011
118775
79.07
170
370
4/1/2011
124750
83.3
-200
-55
3/1/2011
125300
83.63
-145
-525
2/1/2011
131300
87.28
380
580
1/3/2011
122425
81.75
-200
-485
12/1/2010
120450
80.11
285
-395
11/1/2010
120200
79.68
680
720
10/1/2010
119300
79.56
-40
-520
9/1/2010
124500
82.68
480
-25
8/2/2010
118675
78.78
505
685
7/1/2010
117000
78.12
-180
-645
6/1/2010
120000
79.69
465
380
5/3/2010
105910
70.55
85
260
4/1/2010
115325
77
-175
-70
3/1/2010
121800
81.27
-105
290
2/1/2010
119800
80.13
-395
-350
1/4/2010
114600
76.43
-45
-665
12/1/2009
99200
65.72
620
610
11/2/2009
100600
67.06
10
-500
10/1/2009
99000
65.66
510
-800
9/1/2009
101000
66.46
1310
-960
8/3/2009
100850
65.72
2270
685
7/1/2009
97000
63.61
1585
-1535
6/1/2009
90000
57.92
3120
680
5/1/2009
91600
59.44
2440
390
4/1/2009
94000
61.3
2050
-50
3/2/2009
86700
56.4
2100
420
2/2/2009
78600
51.28
1680
1848
1/2/2009
89502
59.78
-168
-348
12/1/2008
96600
64.28
180
1150
11/3/2008
104000
69.98
-970
-1260
10/1/2008
115490
76.8
290
1540
9/2/2008
130600
87.9
-1250
-790
8/1/2008
116600
78.04
-460
-40
7/1/2008
114450
76.58
-420
-810
6/2/2008
120750
80.24
390
680

m - Diff.
-2.68852
62.31148
7.311475
207.3115
127.3115
98.31148
122.3115
347.3115
197.3115
567.3115
512.3115
-12.6885
567.3115
82.31148
-312.689
407.3115
-112.689
-137.689
547.3115
-97.6885
282.3115
542.3115
472.3115
762.3115
412.3115
-252.689
357.3115
-142.689
-942.689
-1902.69
-1217.69
-2752.69
-2072.69
-1682.69
-1732.69
-1312.69
535.3115
187.3115
1337.311
77.31148
1617.311
827.3115
787.3115
-22.6885

m-Diff.Lag
62.31148
7.311475
207.3115
127.3115
98.31148
122.3115
347.3115
197.3115
567.3115
512.3115
-12.6885
567.3115
82.31148
-312.689
407.3115
-112.689
-137.689
547.3115
-97.6885
282.3115
542.3115
472.3115
762.3115
412.3115
-252.689
357.3115
-142.689
-942.689
-1902.69
-1217.69
-2752.69
-2072.69
-1682.69
-1732.69
-1312.69
535.3115
187.3115
1337.311
77.31148
1617.311
827.3115
787.3115
-22.6885
657.3115

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.385676
R Square 0.148746
Adjusted R Square
0.133812
Standard Error632.475
Observations
59
ANOVA
df
Regression
Residual
Total

1
57
58

Coefficients
Intercept -0.49198
X Variable 1 0.29731

RESIDUAL OUTPUT
ObservationPredicted Y
1 18.03385
2 1.681798
3 61.14382
4 37.35901
5 28.73702
6 35.87246
7 102.7672
8 58.17071
9 168.1754
10 151.8234
11 -4.2644
12 168.1754
13 23.98005
14 -93.4574
15 120.6058
16 -33.9954
17 -41.4282
18 162.2292
19 -29.5358
20 83.44207

5/1/2008
4/1/2008
3/3/2008
2/1/2008
1/2/2008
12/3/2007
11/1/2007
10/1/2007
9/4/2007
8/1/2007
7/2/2007
6/1/2007
5/1/2007
4/2/2007
3/1/2007
2/1/2007
1/3/2007

134650
133850
133400
140000
136000
141600
140100
132500
118510
118390
110000
109475
109490
109200
108990
106190
110050

89.96
-290
89.14
140
89.46
-790
93.49
-235
91
-500
94.72
-480
93.8
-600
88.28
80
79.04
-50
77.8
1690
72.08
1880
72.1
1325
72.5
740
72.56
360
72.8
-210
70.46
500
73.35
25
m = 367.311

-430
930
-555
265
-20
120
-680
130
-1740
-190
555
585
380
570
-710
475

657.3115
227.3115
1157.311
602.3115
867.3115
847.3115
967.3115
287.3115
417.3115
-1322.69
-1512.69
-957.689
-372.689
7.311475
577.3115
-132.689

227.3115
1157.311
602.3115
867.3115
847.3115
967.3115
287.3115
417.3115
-1322.69
-1512.69
-957.689
-372.689
7.311475
577.3115
-132.689

21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59

160.7427
139.931
226.1509
122.0924
-75.6188
105.7403
-42.9147
-280.763
-566.18
-362.523
-818.894
-616.723
-500.772
-515.638
-390.768
158.6615
55.19761
397.1042
22.4935
480.351
245.4761
233.5837
-7.2375
194.9334
67.09002
343.5884
178.5813
257.3685
251.4223
287.0995
84.92862
123.5789
-393.741
-450.23
-285.222
-111.296
1.681798
171.1485
-39.9416

dr = k ( m r )dt sdz
D Diff. = k(m - Diff.) + e
k = .29731

SS
MS
F
Significance F
3984260 3984260 9.960038 0.002555
22801403 400024.6
26785664
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
82.34302 -0.00597 0.995254 -165.381 164.3971 -165.381 164.3971
0.094206 3.155953 0.002555 0.108666 0.485955 0.108666 0.485955

Residuals
46.96615
-56.6818
138.8562
-117.359
-57.737
-11.8725
122.2328
-208.171
201.8246
-206.823
-520.736
411.8246
-508.98
-301.543
599.3942
-486.005
16.42816
522.7708
-615.464
296.5579

Lag. Residuals
-56.6818
138.8562
-117.359
-57.737
-11.8725
122.2328
-208.171
201.8246
-206.823
-520.736
411.8246
-508.98
-301.543
599.3942
-486.005
16.42816
522.7708
-615.464
296.5579
99.2573

Regression of Residuals on Lagged Residuals

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.194424
R Square 0.037801
Adjusted R Square
0.020619
Standard Error
619.6202
Observations
58
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 844645.9 844645.9 2.200004 0.143617
56 21500038 383929.3
57 22344684

Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%
Intercept
11.39687 81.36019 0.140079
0.8891 -151.587 174.3809
X Variable 1 -0.19248 0.129768 -1.48324 0.143617 -0.45243 0.067479

99.2573
-209.931
63.84909
-472.092
-589.381
504.2597
-457.085
-519.237
-393.82
1047.523
-716.106
1296.723
890.7723
465.6378
810.7675
1689.338
-403.198
752.8958
-1282.49
1059.649
-1035.48
-273.584
-802.762
485.0666
-497.09
586.4116
-733.581
7.631526
-271.422
-167.099
-764.929
6.421066
-1346.26
260.2295
840.2224
696.296
378.3182
398.8515
-670.058

-209.931
63.84909
-472.092
-589.381
504.2597
-457.085
-519.237
-393.82
1047.523
-716.106
1296.723
890.7723
465.6378
810.7675
1689.338
-403.198
752.8958
-1282.49
1059.649
-1035.48
-273.584
-802.762
485.0666
-497.09
586.4116
-733.581
7.631526
-271.422
-167.099
-764.929
6.421066
-1346.26
260.2295
840.2224
696.296
378.3182
398.8515
-670.058
0

Lower 95.0%
Upper 95.0%
-151.587 174.3809
-0.45243 0.067479

Cox, Ingersoll and Ross (CIR) Process Simulation

r0 =
k=
=

0.05
0.1
0.05

rt = rt-1 + k(r0 - rt-1) + rt.5e t

[0,1] Normally distributed variable
Ornstein-Uhlenbeck Process

Hit F9 to generate another random process

-0.047

0.0181 -0.0121

0.05 0.05241 0.0415

0.01077

0.046 0.04383

0.11457 0.0194

0.02984 -0.01574 -0.0619

0.06844 0.0717 0.077499

0.07037

-0.0186

0.0519 0.04746

0.0013 -0.01724
0.048

-0.0908

0.04443 0.02585

Cox, Ingersoll and Ross (CIR) Process

0.16
0.14
0.12
r(t)

0.1
0.08
0.06
0.04
0.02
0
1

20

39

58

77

96

115

134

153

172

191

t
Notice that as k gets closer to 1, the process becomes more mean reverting. As k approaches 0, the process looks like Brownian motion.

-0.0277
0.023808

0.00854 -0.02793 -0.0132

0.03759 -0.0408 0.02677

0.0175 0.032547 -0.03895 0.000575

0.07136

0.09822 -0.0869

0.02774

0.03415

0.0396 0.047166

0.05549

0.07808

0.02532

0.0257

0.0282 0.03488

0.03899 0.040205

-0.096

0.0252 -0.02713

0.051 0.06355 0.03799

0.0561

0.0441 0.039003

-0.0376 0.02135

-0.053

0.04323

0.0208 -0.04522

0.0327 0.03826 0.03537 0.02963 0.03906 0.02967

-0.0208

-0.0383 0.04293

0.03915

0.0444

0.03539

0.0623
0.04857

-0.045 0.10019 0.069516 0.068905 -0.0294 -0.02058 0.01386

0.0388 0.05965 0.075666 0.092053

0.0789

0.07025

0.0719

-0.1157
0.0387

0.11911 0.00506 -0.0323 -0.03219821 -0.00937053

0.05165275

0.01028439

0.05606653

0.06326

0.05575849

0.05761112

0.07030727

0.0632 0.05376

0.04591599

0.04431647

-0.0432752 -0.05072914 -0.04826767

0.0568019

0.04403136

0.0344999

0.00925156

-0.0311473

0.04625715

0.03776831

0.03293829

0.04303963

0.07044695 -0.03900289 -0.04235031

-0.0062295

0.08061743

0.06702645

0.02695041 -0.00436893

-0.0172711 -0.01865088

0.05913231

0.03292842 -0.04337274

0.05835059

0.03886718

0.05587399

0.07113009

0.07620482

0.06549397

0.07263838

0.07924925

0.04809404

0.03899707

0.07237829

0.05917148

0.06411436

0.05506474

0.0279755 -0.07208764 -0.08046707

0.00652219

0.01746078 -0.03771375

0.07664576

0.0817262

0.04027053

0.04474742

0.05794531

0.03778088

0.03729487

0.0156574 -0.06470482
0.04158912

0.02923469

0.03085762 -0.06437911
0.0365873

0.02561426

0.03349429 -0.01868565
0.03341341

0.03165646

-0.0516844

0.0406022

0.02429499

0.03319409

0.0811234 -0.06413067
0.04965476

0.03539882

0.12707237 -0.00521285 -0.10684187

0.06076707

0.05840534

0.03174412

0.02248201

0.04023773

-0.0242796

0.00799585

0.03857176

0.07311554

0.0375753

0.04661759

0.0417136

0.04417531

0.05286476

0.06938925

0.08460231

0.02108841 -0.00070811 -0.02152357

0.05178069

-0.0204238

-0.0114184

0.05603324 -0.06441549

0.08973613

0.09207976

0.08918376

0.07916609

0.07303675

0.08587623

0.08765691

0.07751876

0.06341188

0.00557073 -0.03619343
0.0634735

0.05300759

0.00691713

0.0377654

0.05429939

0.06266963

-0.03066865 -0.07427348 -0.04820834 -0.06030833

0.05372511

0.03613699

0.02835901

0.02036711

0.02652112

0.06619058

0.0411199

0.08400884

0.08349711 -0.08361584

0.00304042

0.04014684

0.04356576

0.02711531

0.0403032

0.04952798

0.06827125

0.08826089

0.05937645

0.0682215

0.0777784

0.05959359

-0.05392719 -0.00487249 -0.05302156

0.05996092

0.05777171

0.04425041

0.09083061 -0.08593267
0.0639323

0.04081113

0.00667054 -0.01822587

0.01011407 -0.06379261 -0.03753186 -0.04885895 -0.02539661

0.03692196

0.04307759

0.04301081

0.02797218

0.03998702

0.03047975

0.02587929

0.0204314

0.01975811

0.01892573

0.1730972

0.05555836

0.04074286 -0.01821879 -0.02732585

0.03334027

0.06661261

0.07929064

0.08783419

0.0786513

0.06812268

0.05271041 -0.06581624
0.080068

0.05843765

0.06675731

0.02715821 -0.06155927

0.04633854

0.0201108

0.07373171

0.07873297

0.06894394

0.07233008

0.05858651

0.07380985
0.08994768

0.02069364 -0.00224775 -0.01317526 -0.01158305 -0.03847506 -0.06086467

0.0921592

0.08726091

0.07964285

0.07340971

0.06064422

0.04459123

0.02903828

0.04921069 -0.02407126

0.02340436 -0.05773858

0.07185676

0.05126402

0.06227968

0.06003109

0.06061619

0.05504452

0.04488131

0.09204066 -0.00696856
0.08221531

0.07699567

0.0346993

0.04374882

0.08863611

0.12221741

0.02432803 -0.02122118

0.03123042

0.03233169

0.00677017 -0.01182888

0.09872175

0.08392449

0.09320596

0.11594566

0.15096709

0.15032291

0.13520584

0.13857373

0.13223659

0.14689736

0.13206285

0.11971143

-0.06709592

0.0464665

0.00104429

0.02855445 -0.00663431

0.03682447

0.03871263

0.00456325 -0.02943164

0.11677652

0.06010087 -0.01494888

0.05056564

0.11149165

0.12085781

0.11413508

0.11736837

0.11464465

0.12128797

0.11574839

0.13101696

0.14466953

0.13976281

0.10835868

0.09916037

0.12951671

-0.04796643
0.11285435

0.05201542 -0.12563347

0.06571248

0.01969708 -0.04909704

0.12404287

0.08783204

0.08988636

0.07239082

0.07117791

-0.0377426

0.10773075

-0.0882337

0.07083359

0.08542471 -0.00220751

0.06953032

0.0589907

0.08425728

0.05521986

0.07134299

0.09202573

0.10396472

0.08715349

CPWN Weekly Stock Prices, 2010 and Serial Correlation

Closing
Week Ending Price
1/4/2010
0.98
1/11/2010
1.35
1/19/2010
1.24
1/25/2010
1.2
2/1/2010
1.16
2/8/2010
1.24
2/16/2010
1.38
2/22/2010
1.29
3/1/2010
1.97
3/8/2010
2.3
3/15/2010
1.82
3/22/2010
2.34
3/29/2010
2.16
4/5/2010
3.54
4/12/2010
4.55
4/19/2010
5.47
4/26/2010
5.43
5/3/2010
4.8
5/10/2010
5.45
5/17/2010
4.8
5/24/2010
4.65
6/1/2010
5.28
6/7/2010
4.86
6/14/2010
4.77
6/21/2010
3.83
6/28/2010
3.37
7/6/2010
3.22
7/12/2010
3.2
7/19/2010
3.51
7/26/2010
3.43
8/2/2010
3.36
8/9/2010
3.17
8/16/2010
3.09
8/23/2010
3.52
8/30/2010
3.8
9/7/2010
3.78
9/13/2010
4
9/20/2010
4.07
9/27/2010
4.16
10/4/2010
5.14
10/11/2010
5.21
10/18/2010
5.25
10/25/2010
5.16

t
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.792151
R Square 0.627503
Adjusted R Square
0.620053
Standard Error
1.575075
Observations
52
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 208.9615 208.9615 84.22942 2.66E-12
50 124.0431 2.480861
51 333.0046

Coefficients
Standard Error t Stat
P-value Lower 95%
Intercept
0.810475 0.443225 1.828587 0.07343 -0.07977
X Variable 1 0.133567 0.014553 9.177659 2.66E-12 0.104335

RESIDUAL OUTPUT
ObservationPredicted Y Residuals
Difference
1 0.944042 0.035958 NA
SUMMARY OUTPUT
2 1.077609 0.272391 0.035958 0.236433
3
4
5
6
7
8

1.211176 0.028824 0.272391 -0.24357 Regression Statistics

1.344743 -0.14474 0.028824 -0.17357 Multiple R
1.47831 -0.31831 -0.14474 -0.17357 R Square
1.611877 -0.37188 -0.31831 -0.05357 Adjusted R Square
1.745444 -0.36544 -0.37188 0.006433 Standard Error
1.879011 -0.58901 -0.36544 -0.22357 Observations

9 2.012578 -0.04258
10 2.146145 0.153855
11
12
13
14
15

2.279712 -0.45971
2.413279 -0.07328
2.546846 -0.38685
2.680413 0.859587
2.81398

1.73602

16 2.947547 2.522453
17 3.081114 2.348886
18 3.214681 1.585319
19 3.348248 2.101752

-0.58901
-0.04258
0.153855
-0.45971
-0.07328
-0.38685
0.859587
1.73602
2.522453
2.348886
1.585319

0.546433
0.196433 ANOVA
-0.61357
0.386433 Regression
-0.31357 Residual
1.246433 Total
0.876433
0.786433
Coefficients
-0.17357 Intercept
-0.76357 X Variable 1
0.516433

11/1/2010
5.55
11/8/2010
5.28
11/15/2010
7.24
11/22/2010
7.83
11/29/2010
9.18
12/6/2010
10.3
12/13/2010
11.05
12/20/2010
11.77
12/27/2010
9.7
Date
Adj Close

44
45
46
47
48
49
50
51
52
T

20
21
22
23

3.481815
3.615382
3.748949
3.882516

1.318185
1.034618
1.531051
0.977484

24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52

4.016083
4.14965
4.283217
4.416783
4.55035
4.683917
4.817484
4.951051
5.084618
5.218185
5.351752
5.485319
5.618886
5.752453
5.88602
6.019587
6.153154
6.286721
6.420288
6.553855
6.687422
6.820989
6.954556
7.088123
7.22169
7.355257
7.488824
7.622391
7.755958

0.753917
-0.31965
-0.91322
-1.19678
-1.35035
-1.17392
-1.38748
-1.59105
-1.91462
-2.12819
-1.83175
-1.68532
-1.83889
-1.75245
-1.81602
-1.85959
-1.01315
-1.07672
-1.17029
-1.39386
-1.13742
-1.54099
0.285444
0.741877
1.95831
2.944743
3.561176
4.147609
1.944042

2.101752
1.318185
1.034618
1.531051
0.977484
0.753917
-0.31965
-0.91322
-1.19678
-1.35035
-1.17392
-1.38748
-1.59105
-1.91462
-2.12819
-1.83175
-1.68532
-1.83889
-1.75245
-1.81602
-1.85959
-1.01315
-1.07672
-1.17029
-1.39386
-1.13742
-1.54099
0.285444
0.741877
1.95831
2.944743
3.561176
4.147609

-0.78357
-0.28357
0.496433 RESIDUAL OUTPUT
-0.55357
-0.22357Observation
-1.07357
1
-0.59357
2
-0.28357
3
-0.15357
4
0.176433
5
-0.21357
6
-0.20357
7
-0.32357
8
-0.21357
9
0.296433
10
0.146433
11
-0.15357
12
0.086433
13
-0.06357
14
-0.04357
15
0.846433
16
-0.06357
17
-0.09357
18
-0.22357
19
0.256433
20
-0.40357
21
1.826433
22
0.456433
23
1.216433
24
0.986433
25
0.616433
26
0.586433
27
-2.20357
28
29
30
31
32
33
34
35
36
37
38
39
40
41

42
43
44
45
46
47
48
49
50
51
52

Significance F

Upper 95%Lower 95.0%

Upper 95.0%
1.700718 -0.07977 1.700718
0.162799 0.104335 0.162799

SUMMARY OUTPUT
Regression Statistics
0.91477
0.836804
0.833474
0.642748
51

df

SS
MS
F
Significance F
1 103.7986 103.7986 251.2525 6.35E-21
49 20.24311 0.413125
50 124.0418

Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
0.034719 0.09003 0.385636 0.701436
-0.1462 0.215642
-0.1462 0.215642
0.929314 0.058628 15.85095 6.35E-21 0.811496 1.047131 0.811496 1.047131

RESIDUAL OUTPUT
Predicted Y Residuals
0.068135 0.204256
0.287856 -0.25903
0.061505 -0.20625
-0.09979 -0.21852
-0.26109 -0.11079
-0.31087 -0.05457
-0.30489 -0.28412
-0.51266 0.470079
-0.00485 0.158704
0.177699 -0.63741
-0.3925 0.319219
-0.03338 -0.35347
-0.32478 1.184369
0.833545 0.902475
1.648026 0.874427
2.378869 -0.02998
2.217571 -0.63225
1.507978 0.593775
1.987906 -0.66972
1.259726 -0.22511
0.996204 0.534848
1.457546 -0.48006
0.943108 -0.18919
0.735345 -1.05499
-0.26234 -0.65088
-0.81395 -0.38284
-1.07747 -0.27288
-1.22018 0.046263
-1.05622 -0.33127
-1.25469 -0.33636
-1.44387 -0.47075
-1.74456 -0.38362
-1.94303 0.11128
-1.66755 -0.01777
-1.53147 -0.30742
-1.67418 -0.07827
-1.59386 -0.22216
-1.65293 -0.20665
-1.69342 0.680266
-0.90682
-0.1699
-0.96589
-0.2044

-1.05285
-1.26061
-1.0223
-1.39734
0.299986
0.724155
1.854603
2.771308
3.344168
3.889148

-0.34101
0.123187
-0.51869
1.682787
0.441891
1.234155
1.09014
0.789868
0.803441
-1.94511

-2.4E-16 1.944042

New Privately Owned Single Housing Units Started

Not Seasonally Adjusted, Not Annulaized, ('000's)
Jan 2007
Feb 2007
Mar 2007
Apr 2007
May 2007
Jun 2007
Jul 2007
Aug 2007
Sep 2007
Oct 2007
Nov 2007
Dec 2007
Jan 2008
Feb 2008
Mar 2008
Apr 2008
May 2008
Jun 2008
Jul 2008
Aug 2008
Sep 2008
Oct 2008
Nov 2008
Dec 2008
Jan 2009
Feb 2009

75.4
82.9
101.3
111.4
111.4
110.1
100.1
86.6
78.6
77.4
58.6
52.3
48.5
51.9
61.5
62.6
66.1
65.2
59.9
54.4
48.7
45.8
31.3
26.1
22.7
24.6

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26

SUMMARY OUTPUT

Mar 2009
Apr 2009
May 2009
Jun 2009
Jul 2009
Aug 2009

31.0
35.0
39.5
49.2
49.3
43.4

27
28
29
30
31
32

Sep 2009
Oct 2009

45.6
39.4

33
34

9 74.28549
10 72.96626

Nov 2009
Dec 2009
Jan 2010
Feb 2010

35.2
30.1
31.7
35.2

35
36
37
38

11
12
13
14

Mar 2010

47.4

39

15 66.37014 -4.870137

Apr 2010
May 2010
Jun 2010

52.2
44.5
45.5

40
41
42

16 65.05091 -2.450912
17 63.73169 2.368313
18 62.41246 2.787538

Jul 2010
Aug 2010
Sep 2010
Oct 2010
Nov 2010

40.7
39.1
39.2
36.0
33.0

43
44
45
46
47

19
20
21
22
23

Regression Statistics
Multiple R 0.770641
R Square 0.593887
Adjusted R Square
0.585059
Standard Error15.4379
Observations
48
ANOVA
df
Regression
Residual
Total

1
46
47

SS
MS
F
16032.14 16032.1447 67.2690015
10963.13 238.328864
26995.27

Coefficients
Standard Error t Stat
Intercept
86.15851 4.527095 19.0317421
X Variable 1 -1.31922 0.160846 -8.2017682

P-value
1.9328E-23
1.4936E-10

RESIDUAL OUTPUT
ObservationPredicted Y Residuals
1 84.83929 -9.439286 NA
89.1001148
2 83.52006 -0.620061 -9.4392857 0.38447538
3
4
5
6
7
8

82.20084
80.88161
79.56239
78.24316
76.92394
75.60471

71.64704
70.32781
69.00859
67.68936

61.09324
59.77401
58.45479
57.13556
55.81634

19.09916 -0.6200608 364.778071

30.51839 19.099164 931.372071
31.83761 30.518389 1013.63366
31.85684 31.837614 1014.85819
23.17606 31.856839 537.129935
10.99529 23.176064 120.896375
4.314514
4.433739
-13.04704
-18.02781
-20.50859
-15.78936

-1.193237
-5.374012
-9.754787
-11.33556
-24.51634

10.995289
4.3145137
4.4337386
-13.047036
-18.027812
-20.508587
-15.789362
-4.8701368
-2.4509119
2.3683131
2.787538
-1.1932371
-5.3740122
-9.7547872
-11.335562

18.6150283
19.658038
170.225161
325.001989
420.602125
249.303943
23.7182322
6.00696892
5.6089068
7.77036807
1.42381473
28.8800067
95.155874
128.494973
601.050799

Dec 2010

26.6

48

24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48

54.49711
53.17789
51.85866
50.53944
49.22021
47.90099
46.58176
45.26254
43.94331
42.62409
41.30486
39.98564
38.66641
37.34719
36.02796
34.70874
33.38951
32.07029
30.75106
29.43184
28.11261
26.79339
25.47416
24.15494
22.83571

-28.39711
-30.47789
-27.25866
-19.53944
-14.22021
-8.400988
2.618237
4.037462
-0.543313
2.975912
-1.904863
-4.785638
-8.566413
-5.647188
-0.827964
12.69126
18.81049
12.42971
14.74894
11.26816
10.98739
12.40661
10.52584
8.845061
3.764286
0.210008

-24.516337
-28.397112
-30.477888
-27.258663
-19.539438
-14.220213
-8.4009878
2.6182371
4.037462
-0.5433131
2.9759119
-1.9048632
-4.7856383
-8.5664134
-5.6471884
-0.8279635
12.691261
18.810486
12.429711
14.748936
11.268161
10.987386
12.406611
10.525836
8.8450608
=

806.395996
928.901629
743.034688
381.789625
202.214451
70.5765967
6.85516542
16.3010995
0.29518909
8.85605136
3.62850389
22.9023339
73.3834381
31.8907374
0.6855236
161.068116
353.834396
154.497722
217.531118
126.971454
120.722652
153.923995
110.793221
78.2351004
14.1698469
10963.1278
DW =

Significance F
1.49E-10

Lower 95%Upper 95%Lower 95.0%Upper 95.0%

77.04594 95.27108 77.0459405 95.27108
-1.64299 -0.99546 -1.6429919 -0.99546

(Difference)^2
SUMMARY OUTPUT
77.77873
388.8478
130.3987
1.740354
0.00037
75.35586
148.3713

Regression Statistics
Multiple R
0.894664
R Square
0.800424
Adjusted R Square
0.795989
Standard Error6.943929
Observations
47

44.63276
0.014215

ANOVA

305.5775
24.80812
6.154245
22.27108

df
Regression
Residual
Total

SS
MS
1 8702.315 8702.315
45 2169.817 48.21816
46 10872.13

F
Significance F
180.478 2.35E-17

119.2295
5.852649
23.22493
0.17575
15.84657
17.47888
19.19119
2.49885
173.7328

Intercept
X Variable 1

Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%
0.27224 1.01289 0.268775 0.789331 -1.76783 2.312305
0.891532 0.066363 13.43421 2.35E-17 0.757871 1.025194

RESIDUAL OUTPUT

15.06042
4.329625
10.36341
59.58643
28.29415
33.86338
121.4233
2.014199
20.9835
12.38494
23.82197
8.298865
14.29426
8.521874
23.22493
182.7694
37.44491
40.71429
5.378804
12.1158
0.078835
2.014199
3.537315
2.825005
25.81428
2302.34
0.210008

Observation Predicted Y
1 -8.14319
2 -0.28056
3 17.29976
4 27.48036
5 28.65649
6 28.67363
7 20.93444
8 10.07489
9 4.118767
10 4.22506
11 -11.3596
12 -15.8001
13 -18.0118
14 -13.8045
15 -4.06964
16 -1.91283
17 2.383667
18 2.757419
19 -0.79157
20 -4.51886
21 -8.42447
22 -9.83378
23 -21.5849
24 -25.0447
25 -26.8998
26 -24.0297
27 -17.1478
28 -12.4055
29 -7.21751
30 2.606482
31 3.871767
32 -0.21214
33 2.925361
34 -1.42601
35 -3.99431
36 -7.36499
37 -4.76241
38 -0.46592
39 11.58691
40 17.04239
41 11.35373
42 13.42139
43 10.31817
44 10.06785
45 11.33313
46 9.65636
47 8.157895
48 4.07E-14

Residuals
7.523126
19.37973
13.21863
4.357251
3.200344
-5.49757
-9.93916
-5.76038
0.314971
-17.2721
-6.6682
-4.70845
2.222462
8.934346
1.618732
4.28114
0.403871
-3.95066
-4.58244
-5.23592
-2.9111
-14.6826
-6.81225
-5.43319
-0.35889
4.490295
2.927583
4.004549
9.835748
1.43098
-4.41508
3.188053
-4.83022
-3.35963
-4.5721
1.717804
3.934447
13.15718
7.22358
-4.61268
3.39521
-2.15323
0.669219
2.338764
-0.8073
-0.8113
-4.39361
3.764286

Lower 95.0%
Upper 95.0%
-1.76783 2.312305
0.757871 1.025194

VIX Contracts and Serial Correlation

%Date
Close
%http://finance.yahoo.com/q/hp?s=^VIX&a=00&b=2&c=2006&d=08&e=28&f=2009&g=d
1 31 2006 12.95
1
SUMMARY OUTPUT
2 28 2006 12.34
2
3 31 2006 11.39
3
Regression Statistics
4 28 2006 11.59
4
Multiple R 0.750395
5 31 2006 16.44
5
R Square 0.563093
6 30 2006 13.08
6
Adjusted R Square
0.55269
7 31 2006 14.95
7
Standard Error8.25066
8 31 2006 12.31
8
Observations
44
9 29 2006 11.98
9
10 31 2006
11.1
10
ANOVA
11 30 2006 10.91
11
df
SS
MS
F
Significance F
12 29 2006 11.56
12
Regression
1 3684.826 3684.826 54.1302
4.5E-09
1 31 2007 10.42
13
Residual
42 2859.083 68.07339
2 28 2007 15.42
14
Total
43 6543.909
3 30 2007 14.64
15
4 30 2007 14.22
16
Coefficients
Standard Error t Stat
P-value Lower 95%
5 31 2007 13.05
17
Intercept
6.950307 2.530685 2.746413 0.008834 1.843177
6 29 2007 16.23
18
X Variable 1 0.720663 0.097952 7.357323
4.5E-09 0.522988
7 31 2007 23.52
19
8 31 2007 23.38
20
9 28 2007
18
21
10 31 2007 18.53
22
RESIDUAL OUTPUT
11 30 2007 22.87
23
12 31 2007
22.5
24
ObservationPredicted Y Residuals Lag Res. Squ.Res. (Difference)^2
1 31 2008
26.2
25
1 7.67097 5.27903 NA
27.86816 NA
2 29 2008 26.54
26
2 8.391633 3.948367 5.27903 15.5896 1.770664
3 31 2008 25.61
27
3 9.112296 2.277704 3.948367 5.187936 2.791115
4 30 2008 20.79
28
4 9.832959 1.757041 2.277704 3.087193 0.27109
5 30 2008 17.83
29
5 10.55362 5.886378 1.757041 34.64944 17.05142
6 30 2008 23.95
30
6 11.27429 1.805715 5.886378 3.260605 16.65181
7 31 2008 22.94
31
7 11.99495 2.955051 1.805715 8.732329 1.320975
8 29 2008 20.65
32
8 12.71561 -0.40561 2.955051 0.164521 11.29406
9 30 2008 39.39
33
9 13.43627 -1.45627 -0.40561 2.120736 1.103893
10 31 2008 59.89
34
10 14.15694 -3.05694 -1.45627 9.34487 2.562122
11 28 2008 55.28
35
11 14.8776
-3.9676 -3.05694 15.74186 0.829307
12 31 2008
40
36
12 15.59826 -4.03826
-3.9676 16.30758 0.004993
1 29 2009 42.63
37
13 16.31893 -5.89893 -4.03826 34.79734 3.462067
2 27 2009 46.35
38
14 17.03959 -1.61959 -5.89893 2.623074 18.31272
3 31 2009 44.14
39
15 17.76025 -3.12025 -1.61959 9.735983 2.25199
4 30 2009
36.5
40
16 18.48092 -4.26092 -3.12025 18.15541 1.301112
5 29 2009 28.92
41
17 19.20158 -6.15158 -4.26092 37.84194 3.574607
6 30 2009 26.35
42
18 19.92224 -3.69224 -6.15158 13.63266 6.048338
7 31 2009 25.92
43
19 20.64291 2.877094 -3.69224 8.277668 43.15619

31 2009

26.01

44

20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

21.36357
22.08423
22.8049
23.52556
24.24622
24.96689
25.68755
26.40821
27.12887
27.84954
28.5702
29.29086
30.01153
30.73219
31.45285
32.17352
32.89418
33.61484
34.33551
35.05617
35.77683
36.4975
37.21816
37.93882

44 38.65948

2.877094
2.016431
-4.08423
-4.2749
-0.65556
-1.74622
1.233115
0.852452
-0.79821
-6.33887
-10.0195
-4.6202
-6.35086
-9.36153
8.65781
28.43715
23.10648
7.10582
9.015157
12.01449
9.083831
0.723168
-7.5775
-10.8682
-12.6495 -12.0188

2.016431
-4.08423
-4.2749
-0.65556
-1.74622
1.233115
0.852452
-0.79821
-6.33887
-10.0195
-4.6202
-6.35086
-9.36153
8.65781
28.43715
23.10648
7.10582
9.015157
12.01449
9.083831
0.723168
-7.5775
-10.8682
-12.0188

0.509319

4.065992
16.68096
18.27473
0.429757
3.049291
1.520572
0.726674
0.637141
40.18133
100.3911
21.34626
40.33347
87.63819
74.95767
808.6713
533.9096
50.49268
81.27306
144.3481
82.51598
0.522972
57.41844
118.1169
144.4521

0.740741
37.21809
0.036352
13.0996
1.189546
8.876448
0.144904
2.724689
30.69895
13.54728
29.15284
2.995195
9.064093
324.6965
391.2222
28.41597
256.0212
3.645567
8.996022
8.588786
69.90069
68.90101
10.82846
1.324026

160.0095 0.397736
2859.083 1456.185
DW =
0.509319

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.738055
R Square 0.544725
Adjusted R Square
0.53362
Standard Error
5.606371
Observations
43
ANOVA

Significance F

df
Regression
Residual
Total

Upper 95%Lower 95.0%

Upper 95.0%
12.05744 1.843177 12.05744
0.918338 0.522988 0.918338

SS
MS
F
Significance F
1 1541.879 1541.879 49.05537 1.63E-08
41 1288.687 31.4314
42 2830.566

Coefficients
Standard Error t Stat
P-value Lower 95%
Intercept
-0.34526 0.855554 -0.40356 0.688636 -2.07309
X Variable 1 0.756341 0.107988 7.003954 1.63E-08 0.538255

RESIDUAL OUTPUT
(Difference)^2

ObservationPredicted Y Residuals
1 3.647481 0.300886
2 2.641046 -0.36334
3 1.377456 0.379585
4 0.983657 4.90272
5 4.106842 -2.30113
6 1.020471 1.93458
7 1.889761 -2.29537
8 -0.65204 -0.80423
9
-1.4467 -1.61023
10 -2.65735 -1.31025
11 -3.34612 -0.69214
12 -3.39957 -2.49936
13 -4.80686 3.187271
14 -1.57023 -1.55003
15 -2.70524 -1.55568
16 -3.56797 -2.58361
17 -4.99795 1.30571
18 -3.13786 6.014951
19 1.830799 0.185632

20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

1.179844
-3.43433
-3.57854
-0.84109
-1.666
0.587391
0.29948
-0.94898
-5.13961
-7.92345
-3.83971
-5.14868
-7.42577
6.202989
21.1629
17.13111
5.029156
6.473265
8.741785
6.525206
0.201697
-6.07643
-8.56529
-9.43559

-5.26408
-0.84056
2.922982
-0.90513
2.899117
0.265061
-1.09769
-5.38989
-4.87993
3.303246
-2.51115
-4.21285
16.08358
22.23416
1.94358
-10.0253
3.986001
5.541229
0.342046
-5.80204
-7.77919
-4.79173
-3.45353
-3.2139

Significance F

Upper 95%Lower 95.0%

Upper 95.0%
1.382562 -2.07309 1.382562
0.974426 0.538255 0.974426

Month
1 2006
2 2006
3 2006
4 2006
5 2006
6 2006
7 2006
8 2006
9 2006
10 2006
11 2006
12 2006
1 2007
2 2007

Pt
12.95
12.34
11.39
11.59
16.44
13.08
14.95
12.31
11.98
11.1
10.91
11.56
10.42
15.42

t
1
2
3
4
5
6
7
8
9
10
11
12
13
14

Month
4 2007
5 2007
6 2007
7 2007
8 2007
9 2007
10 2007
11 2007
12 2007
1 2008
2 2008
3 2008
4 2008
5 2008

Pt
14.22
13.05
16.23
23.52
23.38
18
18.53
22.87
22.5
26.2
26.54
25.61
20.79
17.83

t
16
17
18
19
20
21
22
23
24
25
26
27
28
29

Month
7 2008
8 2008
9 2008
10 2008
11 2008
12 2008
1 2009
1 2009
2 2009
3 2009
4 2009
5 2009
6 2009
7 2009

3 2007 14.64 15

6 2008 23.95 30

8 2009

Pt
22.94
20.65
39.39
59.89
55.28
40
42.63
44.84
46.35
44.14
36.5
28.92
26.35
25.92

t
31
32
33
34
35
36
37
38
39
40
41
42
43
44

26.01 45

Exponential Weighted Moving Average

w=

0.5

12

14

17

13

14

19

22

17

12

13

15

14

14

16.5

19.25

18.125

11

18

14.5625 16.28125

16

22 Data

16.14063 19.07031 Exponential Weighted Moving Average

AR(1) Process Simulation

b0 =

0.01

b1 =

0.01

xt = b 0 + b 1xt-1 + e t.

Hit F9 to generate another random process

[0,1] Normally distributed variable

AR(1) Process

0.01

0.9172

-0.771 -1.4731 1.05745

0.19415

-0.584 0.143629

-1.8968 -1.3941 0.62891

1.0809

1.10952

-1.6124

0.9273

-0.751 -1.4706 1.05275

0.21468

-0.572 0.147909 -1.88532 -1.4029 0.62489

1.0972

1.13049

-1.5911

AR(1) Process
4
3

2
S(t)

1
0
-1
-2
-3
-4
1

20

39

58

77

96

115

134

153

172

191

t
Notice that as b1 gets closer to 0, the process becomes more mean reverting. As b1 increases from 1 or decreases from -1, the process explodes.

0.636946

0.93183

0.40835 -0.8086

0.76346 -0.3283 0.32997 -1.2351 -0.48279 -0.78465 -0.14891

0.631035

0.94814

0.42783 -0.7943

0.76552 -0.3107 0.33686 -1.2217 -0.48501

ocess explodes.

-0.7795

-0.1467

0.2956 -0.30274 -0.9292 0.37461 1.62791

0.30413

-0.2897 -0.9221 0.37539 1.64167

2.2749 0.646232
2.3014 0.679245

0.9772 1.41226 1.71953

0.60465

0.1304 -0.96691 -0.30857

-0.0512

-2.6141

-0.65074

0.0418 1.99696 1.36902 1.00089 1.43227 1.74385

0.025 1.98654 1.33905

0.63209

0.1467 -0.95544 -0.30812

-0.0443

-2.6046

-0.66679 0.962492

0.95916

0.4426 -0.17022 1.56157

-0.5618

0.4622

-0.5361

-0.1556 1.57001

-0.795 1.30322 -0.4278 -0.73125551 -0.20562739 -0.27582776

3.47171183

1.20587318

1.14957751

0.77941178

0.59779352

0.53932235

0.08774384

0.34415407

-0.7903 1.30532 -0.4047 -0.72530294 -0.20288042 -0.26785656

3.47903326

1.25066351

1.17208414

0.80113262

0.61580485

0.5554804

0.10329864

0.35518706

-0.5260538

0.4233699

0.32781009

1.29355594

0.08724272

0.03254179 -0.39508729

0.22756021

0.30088802 -0.59091927

1.40595317

1.67168447

0.81947962

-0.51250193

0.42824489

0.34209253

1.30697686

0.11031249

0.04364492 -0.38465084

0.2337137

0.31322516 -0.57778701

1.4101753

1.69578622

0.84643748

0.69094026

1.09172841 -1.08117838 -0.09581166

0.47951593 -0.05335207 -0.12678707 -0.20781522 -0.27264851 -1.09182088 -0.26573143

1.48174051

1.02066228

0.70940464

1.10882246 -1.06009016 -0.09641256

0.48855181 -0.03846655 -0.11717173 -0.19898694 -0.26463838 -1.08446727 -0.26657611

1.48907475

1.04555303

0.15389916 -1.64028761 -0.78500878

1.50146212 -0.43595956 -1.06676052 -1.03090507

0.43127633

-1.0082073

1.09423906 -1.24298285

2.58209064 -0.59800196

0.17435469 -1.62854406 -0.79129422

1.50354918 -0.41092407 -1.06086976 -1.03151377

0.43096119 -0.99389769

1.09430009 -1.22203985

2.57987024 -0.56220325

-2.59796001 -2.90183843 -1.29660179

-0.4499158 -0.03755143 -1.41194286 -0.67436324 -0.99817427

0.00989582

1.20714291 -0.35126925 -1.27542202

0.34858094

-2.59358205 -2.91777425 -1.31577953 -0.45307359 -0.03208217 -1.40226368 -0.67838588 -0.99495813

0.00994623

1.21724237 -0.32909682 -1.26871299

0.34589381

1.30224164

0.89846 -0.72348634 -0.74793397

0.39397141 -0.43452618

0.67299402

0.86696698 -0.48609911

0.44687104

0.62281749 -0.16895039

0.07486018

1.31570058

0.921617 -0.70427017 -0.74497668

0.39652164 -0.42056096

0.67878841

0.88375486 -0.46726156

0.45219842

0.63733947

0.08333441

-0.152577

1.51357997

-1.4413019

0.58622982

0.12961949 -1.24663502

0.86209182

1.54476725

0.46034293 -0.53931523

1.28177942

0.03339403

0.35283489

0.60119631

1.52441331 -1.41605777

0.58206924

0.14544019 -1.23518062

0.85974001

1.56336465

0.48597658 -0.52445546

1.28653486

0.05625938

0.36339748

0.61483029

0.09183559 -2.23957626
0.1079839 -2.22849642

1.23597744 -0.26878871 -1.13237368

0.29021544

0.70200907 -0.85403518

1.22369247 -0.24655179

0.28896705

0.71489874

-1.1248392

-0.8368862

1.0035205

-0.3660815 -0.30633278 -0.55678747

1.00515164 -0.34602998 -0.29979308

-0.5497854

0.1120559
0.11655804

-0.00650904

1.20286566

0.23258066 -0.59133318 -1.80786713 -1.62054321

0.48083572 -0.93279893 -1.47361554 -1.51137549 -1.09261533

0.22169428

1.63114817

0.00465654

1.21291223

0.25470978 -0.57878609

0.47454992 -0.91805343 -1.47279608 -1.51610345 -1.09777636

0.22071651

1.64335534

-1.803655 -1.62857976

-0.91774902 -0.93154361

1.18090609 -0.46822503

0.75187117

-0.5627502 -1.08621706 -0.19775269

-1.0370348 -0.73140625

1.21102695 -1.73084926

0.60618315

-0.89131546 -0.93045676

1.18160153 -0.44640901

0.75740708 -0.54517613 -1.08166882 -0.19856938

-1.0290205 -0.73169645

1.21370999 -1.70871216

0.59909603

-0.82072112

0.22250001

0.2329666 -0.07150096 -0.35042228

0.98189112

0.25911139 -0.53354518 -0.40909478 -0.80810455

-0.80473015

0.22445271

0.24521113 -0.05904885 -0.34101277

0.98848099

0.2789962 -0.52075521 -0.40430233 -0.80214758

0.01863444

-1.4826664

0.88943444

0.02061296 -1.47246027

0.88470984

1.14818267 -1.07444352

1.43959441

1.16702977 -1.05277322

1.43906668 -0.63680183

-0.6611925 -0.02879118 -0.45441104 -0.85469604

-0.0251592 -0.44466263 -0.84914266

0.89837456

0.07320538

0.83115896

0.63620866 -1.22624074 -0.56728339

0.89988313

0.09220421

0.842081

0.65462947 -1.20969445 -0.56938034

CPWN Weekly Stock Prices, 2010 and AR(1) Forecasting

Week
Closing Closing
Ending
Price t Price t-1 t
1/4/2010
0.98 NA
1
1/11/2010
1.35
0.98 2
1/19/2010
1.24
1.35 3
1/25/2010
1.2
1.24 4
2/1/2010
1.16
1.2 5
2/8/2010
1.24
1.16 6
2/16/2010
1.38
1.24 7
2/22/2010
1.29
1.38 8
3/1/2010
1.97
1.29 9
3/8/2010
2.3
1.97 10
3/15/2010
1.82
2.3 11
3/22/2010
2.34
1.82 12
3/29/2010
2.16
2.34 13
4/5/2010
3.54
2.16 14
4/12/2010
4.55
3.54 15
4/19/2010
5.47
4.55 16
4/26/2010
5.43
5.47 17
5/3/2010
4.8
5.43 18
5/10/2010
5.45
4.8 19
5/17/2010
4.8
5.45 20
5/24/2010
4.65
4.8 21
6/1/2010
5.28
4.65 22
6/7/2010
4.86
5.28 23
6/14/2010
4.77
4.86 24
6/21/2010
3.83
4.77 25
6/28/2010
3.37
3.83 26
7/6/2010
3.22
3.37 27
7/12/2010
3.2
3.22 28
7/19/2010
3.51
3.2 29
7/26/2010
3.43
3.51 30
8/2/2010
3.36
3.43 31
8/9/2010
3.17
3.36 32
8/16/2010
3.09
3.17 33
8/23/2010
3.52
3.09 34
8/30/2010
3.8
3.52 35
9/7/2010
3.78
3.8 36
9/13/2010
4
3.78 37
9/20/2010
4.07
4 38
9/27/2010
4.16
4.07 39
10/4/2010
5.14
4.16 40
10/11/2010
5.21
5.14 41
10/18/2010
5.25
5.21 42
10/25/2010
5.16
5.25 43

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.967047
R Square 0.935179
Adjusted R Square
0.933856
Standard Error
0.652077
Observations
51
ANOVA
df
Regression
Residual
Total

SS
MS
F
1
300.59
300.59 706.9306
49 20.83502 0.425204
50 321.425

Coefficients
Standard Error t Stat
P-value
Intercept
0.193612 0.183188 1.056903 0.295739
X Variable 1 0.994669 0.03741 26.58817 9.03E-31

RESIDUAL OUTPUT
ObservationPredicted YResiduals
1 1.168388 0.181612
2 1.536415 -0.29641
3 1.427001
-0.227
4 1.387215 -0.22721
5 1.347428 -0.10743
6 1.427001
-0.047
7 1.566255 -0.27626
8 1.476735 0.493265
9 2.15311 0.14689
10 2.48135 -0.66135
11 2.003909 0.336091
12 2.521137 -0.36114
13 2.342097 1.197903
14 3.714739 0.835261
15 4.719355 0.750645
16 5.63445 -0.20445
17 5.594663 -0.79466
18 4.968022 0.481978
19 5.614557 -0.81456

11/1/2010
5.55
11/8/2010
5.28
11/15/2010
7.24
11/22/2010
7.83
11/29/2010
9.18
12/6/2010
10.3
12/13/2010
11.05
12/20/2010
11.77
12/27/2010
9.7
Date
Adj Close

5.16
5.55
5.28
7.24
7.83
9.18
10.3
11.05
11.77

44
45
46
47
48
49
50
51
52
T

20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50

4.968022
4.818822
5.445463
5.027702
4.938182
4.003193
3.545646
3.396445
3.376552
3.684899
3.605326
3.535699
3.346712
3.267139
3.694846
3.973353
3.95346
4.172287
4.241914
4.331434
5.306209
5.375836
5.415623
5.326103
5.714024
5.445463
7.395014
7.981868
9.324671
10.4387
11.1847

-0.31802
0.461178
-0.58546
-0.2577
-1.10818
-0.63319
-0.32565
-0.19645
0.133448
-0.2549
-0.24533
-0.3657
-0.25671
0.252861
0.105154
-0.19335
0.04654
-0.10229
-0.08191
0.808566
-0.09621
-0.12584
-0.25562
0.223897
-0.43402
1.794537
0.434986
1.198132
0.975329
0.6113
0.585298

51 11.90086

-2.20086

CPWN Weekly Stock Returns, 2010 and AR(1) Forecas

Significance F
9.03E-31

Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
-0.17452 0.561743 -0.17452 0.561743
0.91949 1.069847 0.91949 1.069847

Week
Ending
1/4/2010
1/11/2010
1/19/2010
1/25/2010
2/1/2010
2/8/2010
2/16/2010
2/22/2010
3/1/2010
3/8/2010
3/15/2010
3/22/2010
3/29/2010
4/5/2010
4/12/2010
4/19/2010
4/26/2010
5/3/2010
5/10/2010
5/17/2010
5/24/2010
6/1/2010
6/7/2010
6/14/2010
6/21/2010
6/28/2010
7/6/2010
7/12/2010
7/19/2010
7/26/2010
8/2/2010
8/9/2010
8/16/2010
8/23/2010
8/30/2010
9/7/2010
9/13/2010
9/20/2010
9/27/2010
10/4/2010
10/11/2010
10/18/2010
10/25/2010

Return t
NA
0.377551
-0.08148
-0.03226
-0.03333
0.068966
0.112903
-0.06522
0.527132
0.167513
-0.2087
0.285714
-0.07692
0.638889
0.285311
0.202198
-0.00731
-0.11602
0.135417
-0.11927
-0.03125
0.135484
-0.07955
-0.01852
-0.19706
-0.1201
-0.04451
-0.00621
0.096875
-0.02279
-0.02041
-0.05655
-0.02524
0.139159
0.079545
-0.00526
0.058201
0.0175
0.022113
0.235577
0.013619
0.007678
-0.01714

Return t-1
NA
NA
0.377551
-0.081481
-0.032258
-0.033333
0.068966
0.112903
-0.065217
0.527132
0.167513
-0.208696
0.285714
-0.076923
0.638889
0.285311
0.202198
-0.007313
-0.116022
0.135417
-0.119266
-0.03125
0.135484
-0.079545
-0.018519
-0.197065
-0.120104
-0.04451
-0.006211
0.096875
-0.022792
-0.020408
-0.056548
-0.025237
0.139159
0.079545
-0.005263
0.058201
0.0175
0.022113
0.235577
0.013619
0.007678

t
1 SUMMARY OUTPUT
2
3 Regression Statistics
4 Multiple R
5 R Square
6 Adjusted R Square
7 Standard Error
8 Observations
9
10 ANOVA
11
12 Regression
13 Residual
14 Total
15
16
Coefficients
17 Intercept
18 X Variable 1
19
20
21
22 RESIDUAL OUTPUT
23
24Observation
25
1
26
2
27
3
28
4
29
5
30
6
31
7
32
8
33
9
34
10
35
11
36
12
37
13
38
14
39
15
40
16
41
17
42
18
43
19

11/1/2010
11/8/2010
11/15/2010
11/22/2010
11/29/2010
12/6/2010
12/13/2010
12/20/2010
12/27/2010
Date

0.075581
-0.04865
0.371212
0.081492
0.172414
0.122004
0.072816
0.065158
-0.17587

-0.017143
0.075581
-0.048649
0.371212
0.081492
0.172414
0.122004
0.072816
0.065158

44
45
46
47
48
49
50
51
52

20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50

010 and AR(1) Forecasting

SUMMARY OUTPUT
Regression Statistics
0.007797
6.08E-05
-0.02077
0.166446
50

df

SS
MS
F
Significance F
1 8.09E-05 8.09E-05 0.002918 0.957141
48 1.329809 0.027704
49 1.32989

Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
0.052097 0.025161 2.07055 0.043802 0.001508 0.102686 0.001508 0.102686
-0.00766 0.141779 -0.05402 0.957141 -0.29272 0.277406 -0.29272 0.277406

RESIDUAL OUTPUT
Predicted Y Residuals
0.049205 -0.13069
0.052721 -0.08498
0.052344 -0.08568
0.052352 0.016613
0.051569 0.061334
0.051232 -0.11645
0.052597 0.474535
0.04806 0.119453
0.050814 -0.25951
0.053695 0.232019
0.049909 -0.12683
0.052686 0.586203
0.047204 0.238107
0.049912 0.152286
0.050548 -0.05786
0.052153 -0.16818
0.052986 0.082431
0.05106 -0.17033
0.05301 -0.08426

0.052336
0.051059
0.052706
0.052239
0.053606
0.053017
0.052438
0.052145
0.051355
0.052272
0.052253
0.05253
0.05229
0.051031
0.051488
0.052137
0.051651
0.051963
0.051928
0.050293
0.051993
0.052038
0.052228
0.051518
0.05247
0.049254
0.051473
0.050776
0.051163
0.051539
0.051598

0.083148
-0.1306
-0.07122
-0.2493
-0.17371
-0.09753
-0.05865
0.04473
-0.07415
-0.07268
-0.1088
-0.07777
0.086868
0.028514
-0.05675
0.006064
-0.03415
-0.02985
0.183649
-0.03667
-0.04432
-0.06918
0.023353
-0.10017
0.318743
0.032238
0.120941
0.071228
0.021653
0.013619
-0.22747

AR(1) Process Simulation

b0 =

b1 =

0.99

xt = b 0 + b 1xt-1 + e t.

Hit F9 to generate another random process

[0,1] Normally distributed variable

AR(1) Process

-0.1487

-1.052

0.5833 0.37367 -0.43346 0.7878 0.968145

0.24272 -0.3954 0.14467

0.3626

0.06223

-0.1487

-1.199

-0.604 -0.2243

1.33732 0.92852

1.4159

1.46395

-0.6555 0.1389 1.105657

1.0639

0
-0.1487
-1.0521
0.58332
0.37367
-0.4335
0.78784
0.96815
0.24272
-0.3954
0.14467
0.36261
0.06223
0.61992
-0.2016
0.13912
0.01431
1.16295
-0.5477
-0.0892
-1.3178
-1.7719
0.12683
2.203
-1.2081

0
-0.1487
-1.1993
-0.604
-0.2243
-0.6555
0.1389
1.10566
1.33732
0.92852
1.0639
1.41587
1.46395
2.06922
1.84694
1.96759
1.96222
3.10555
2.52675
2.41228
1.07033
-0.7122
-0.5783
1.63049
0.40606

S(t)

AR(1) Process
9
8
7
6
5
4
3
2
1
0
-1
-2

21

41
t

Notice that as b1 gets closer to 0, the process becomes more mean reverting.

3.59351
-0.4123
0.57516
-0.8504
1.44305
-0.803
-2.2595
0.59267
-0.4657
1.43934
-0.5137
0.16731
1.33693
1.08291
1.28611
-0.2266
-0.4487
-0.4155

3.99551
3.54323
4.08296
3.19174
4.60287
3.75379
1.45673
2.03484
1.54875
2.97261
2.42921
2.57223
3.88344
4.92752
6.16435
5.87606
5.36861
4.89941

0.61992 -0.20159

0.13912

0.01431

1.1629 -0.54774 -0.0892

2.06922 1.846938

1.96759

1.96222

3.1055

-1.3178 -1.7719 0.126825

2.203 -1.20813

2.52675 2.41228 1.07033 -0.7122 -0.57829

1.63049 0.406058

ecomes more mean reverting. As b1 increases from 1 or decreases from -1, the process explodes.

3.59351 -0.41232
3.99551

3.54323

0.5752

-0.8504 1.44305

-0.803

4.083 3.19174 4.60287

3.7538

-2.25952

0.5927 -0.4657 1.43934

-0.5137 0.16731 1.33693

1.08291

1.2861 -0.22665 -0.44868

1.456735

2.0348 1.54875 2.97261 2.42921 2.57223 3.88344

4.92752

6.1643

5.87606

-0.4155

1.6809 0.455074 -1.51844

5.36861 4.89941 6.53132 6.921077 5.333426

0.5854 -0.27961
5.8655

0.2179

5.5272 5.68982

0.61044 0.73786 0.67651 -0.9652

1.39762161 -0.23489853

6.24336 6.91879 7.52611 6.48564

7.81840643

7.50532383

0.10288241
7.533153

AR(1) Process Simulation

b0 =

5 "True Value"

b1 =

0.5 "True Value"

xt = b 0 + b 1xt-1 + e t.
et

xt

0
-1.125
0.57887
0.64055
1.4211
0.63031
1.45323
0.25498
-1.136
1.69815
1.02491
-2.0807
-0.3196
1.3585
-0.1496
-0.0457
-0.5811
0.25748
0.61932
-1.9653
-0.0054
-0.152
-2.0746
-0.5366
-0.0818
0.17078
-0.9348
-1.488

5
6.37505
8.7664
10.0237
11.433
11.3468
12.1266
11.3183
9.52318
11.4597
11.7548
8.79665
9.07871
10.8979
10.2993
10.104
9.47089
9.99292
10.6158
8.34264
9.16589
9.43094
7.64085
8.28378
9.06008
9.70082
8.91561
7.96977

xt-1
6.375047
8.766398
10.02375
11.43297
11.3468
12.12663
11.31829
9.523177
11.45974
11.75478
8.796648
9.078712
10.89785
10.29934
10.10401
9.470887
9.992924
10.61579
8.342635
9.165895
9.430936
7.640853
8.283785
9.060076
9.700821
8.915608

rt

t
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.493
R Square
0.243
Adjusted R Square 0.224
Standard Error
1.061
Observations
41

Regression of xt on xt-1

ANOVA
df

SS
MS
FSignificance F
1 14.08 14.08 12.521 0.001
39 43.86 1.125
40 57.95

Regression
Residual
Total

Intercept
X Variable 1

Coefficients
Standard Error
t Stat P-value
Lower 95%
Upper 95%
Lower 95.0%
Upper 95.0%
5.481 1.257
4.36 9E-05 2.938 8.0235 2.9384 8.024
0.449 0.127 3.539 0.0011 0.192 0.7059 0.1924 0.706

RESIDUAL OUTPUT
Observation Predicted
Residuals
Y
1 8.344 0.422
2 9.418 0.606

N/A
0.275
0.3751
0.1434
0.1406
-0.008
0.0687
-0.067
-0.159
0.2034
0.0257
-0.252
0.0321
0.2004
-0.055
-0.019
-0.063
0.0551
0.0623
-0.214
0.0987
0.0289
-0.19
0.0841
0.0937
0.0707
-0.081
-0.106

-0.222
0.12245
-0.0003
1.39268
-0.8308
-1.2396
-0.0883
1.48977
0.08896
2.0048
0.40331
-0.7233
-1.7759
0.5216
-0.4548

8.76293
9.50391
9.75168
11.2685
9.80343
8.66211
9.24278
11.1112
10.6445
12.3271
11.5669
10.0601
8.25419
9.64869
9.36955

7.969766
8.762926
9.503913
9.751676
11.26852
9.803429
8.662114
9.242777
11.11115
10.64454
12.32707
11.56685
10.0601
8.254187
9.648694

28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39

9.983
10.62
10.58
10.93
10.56
9.758
10.63
10.76
9.432
9.559
10.38
10.11
10.02
9.735
9.969
10.25
9.228
9.598
9.717
8.913
9.201
9.55
9.838
9.485
9.06
9.417
9.749
9.861
10.54
9.884
9.371
9.632
10.47
10.26
11.02
10.68
9.999

1.45
0.731
1.549
0.391
-1.04
1.702
1.127
-1.96
-0.35
1.339
-0.08
-0
-0.55
0.258
0.647
-1.91
-0.06
-0.17
-2.08
-0.63
-0.14
0.151
-0.92
-1.52
-0.3
0.087
0.002
1.408
-0.74
-1.22
-0.13
1.479
0.173
2.065
0.549
-0.62
-1.75

0.0995
0.0846
0.0261
0.1555
-0.13
-0.116
0.067
0.2021
-0.042
0.1581
-0.062
-0.13
-0.18
0.1689
-0.029

40 9.188
41 9.815

xt

t
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

5
6.37505
8.7664
10.0237
11.433
11.3468
12.1266
11.3183
9.52318
11.4597
11.7548
8.79665
9.07871
10.8979
10.2993
10.104
9.47089
9.99292
10.6158
8.34264
9.16589

xt-1
6.375047
8.766398
10.02375
11.43297
11.3468
12.12663
11.31829
9.523177
11.45974
11.75478
8.796648
9.078712
10.89785
10.29934
10.10401
9.470887
9.992924
10.61579
8.342635

t
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

0.46
-0.44

xt

xt-1

7.641
8.284
9.06
9.701
8.916
7.97
8.763
9.504
9.752
11.27
9.803
8.662
9.243
11.11
10.64
12.33
11.57
10.06
8.254
9.649
9.37

9.431
7.641
8.284
9.06
9.701
8.916
7.97
8.763
9.504
9.752
11.27
9.803
8.662
9.243
11.11
10.64
12.33
11.57
10.06
8.254
9.649

21 9.43094

9.165895

rt-1
0.275
0.3751
0.1434
0.1406
-0.008
0.0687
-0.067
-0.159
0.2034
0.0257
-0.252
0.0321
0.2004
-0.055
-0.019
-0.063
0.0551
0.0623
-0.214
0.0987
0.0289
-0.19
0.0841
0.0937
0.0707
-0.081

t
0
1
2 SUMMARY OUTPUT
3
Regression
4
Statistics
5 Multiple 0
R.0786
6 R Square
0.0062
7 Adjusted-0.019
R Square
8 Standard0.1355
Error
9 Observations41
10
11 ANOVA
12
df
SS
MS
F Significance F
13 Regression 1 0.004 0.004 0.242 0.6254
14 Residual
39 0.716 0.018
15 Total
40 0.721
16
17
Coefficients
Standard Error
t Stat P-value
Lower 95%
Upper 95%
Lower 95.0%
Upper 95.0%
18 Intercept0.0162 0.022 0.754 0.456 -0.027 0.0598 -0.027 0.0598
19 X Variable
0.0754
1
0.153 0.492 0.625 -0.235 0.3853 -0.235 0.3853
20
21
22
23 RESIDUAL OUTPUT
24
25
Observation
PredictedResiduals
Y
26
1 0.037 0.338
27
2 0.0445 0.099

-0.106
0.0995
0.0846
0.0261
0.1555
-0.13
-0.116
0.067
0.2021
-0.042
0.1581
-0.062
-0.13
-0.18
0.1689

28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39

0.027
0.0268
0.0157
0.0214
0.0112
0.0043
0.0316
0.0182
-0.003
0.0186
0.0313
0.0121
0.0148
0.0115
0.0204
0.0209
8E-05
0.0237
0.0184
0.0019
0.0226
0.0233
0.0216
0.0101
0.0082
0.0237
0.0226
0.0182
0.028
0.0064
0.0074
0.0213
0.0315
0.0131
0.0281
0.0116
0.0064

0.114
-0.034
0.053
-0.088
-0.17
0.199
-0.006
-0.27
0.035
0.182
-0.086
-0.031
-0.077
0.044
0.042
-0.235
0.099
0.005
-0.208
0.082
0.071
0.047
-0.102
-0.116
0.091
0.061
0.003
0.137
-0.158
-0.123
0.06
0.181
-0.073
0.145
-0.09
-0.142
-0.186

40 0.0027 0.166
41 0.029 -0.058

Sample Price Data, Returns and Regression Results

SUMMARY OUTPUT
PRICEt

TIME
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

30
30.125
30.25
30.125
32
34
31
32
30.5
30.75
30.875
31
30.875
31
31.125
30.25
33
30
35.125
33
32.125
32.25
32.375
32.125
32.25
34.25
36.375
38.5
34.375
33.875
33.625

ERRORt2

RETURNt RETURNt-1 ERRORt

N.A.
0.00417
0.00415
-0.00413
0.06224
0.0625
-0.08824
0.03226
-0.04688
0.0082
0.00407
0.00405
-0.00403
0.00405
0.00403
-0.02811
0.09091
-0.09091
0.17083
-0.0605
-0.02652
0.00389
0.00388
-0.00772
0.00389
0.06202
0.06204
0.05842
-0.10714
-0.01455
-0.00738

0.022478 0.003066
VARP

0.00417
0.00415
-0.00413
0.06224
0.0625
-0.08824
0.03226
-0.04688
0.0082
0.00407
0.00405
-0.00403
0.00405
0.00403
-0.02811
0.09091
-0.09091
0.17083
-0.0605
-0.02652
0.00389
0.00388
-0.00772
0.00389
0.06202
0.06204
0.05842
-0.10714
-0.01455

ERRORt-12 ERRORt-22

0.00189
0.01018
0.05261
0.08157
0.06905
0.01375
0.04077
0.01992
0.00023
0.00204
0.01013
0.00554
0.00206
0.03421
0.07091
0.05944
0.12367
0.00554
0.06052
0.01542
0.00229
0.01389
0.00729
0.05585
0.08102
0.07741
0.08972
0.06873
0.02151

0.0000035
0.000104
0.002768
0.006654
0.004768
0.000189
0.001662
0.000397
0
0.000004
0.000103
0.000031
0.000004
0.001171
0.005028
0.003533
0.015295
0.000031
0.003663
0.000238
0.000005
0.000193
0.000053
0.00312
0.006564
0.005992
0.00805
0.004723
0.000463

0.000004
0.000104
0.002768
0.006654
0.004768
0.000189
0.001662
0.000397
0
0.000004
0.000103
0.000031
0.000004
0.001171
0.005028
0.003533
0.015295
0.000031
0.003663
0.000238
0.000005
0.000193
0.000053
0.00312
0.006564
0.005992
0.00805
0.004723

0.000004
0.000104
0.002768
0.006654
0.004768
0.000189
0.001662
0.000397
0
0.000004
0.000103
0.000031
0.000004
0.001171
0.005028
0.003533
0.015295
0.000031
0.003663
0.000238
0.000005
0.000193
0.000053
0.00312
0.006564
0.005992
0.00805

0.001861
0.002352
0.003493
0.003813
0.002679
0.002169
0.002193
0.001909
0.001842
0.001861
0.001864
0.001848
0.002051
0.002934
0.003318
0.00516
0.004427
0.002499
0.002502
0.001883
0.001877
0.001884
0.002406
0.003536
0.004015
0.004285
0.00404

4
4
3
5
5
2
4
3
4
4
4
3
4
4
3
5
2
7
2
3
4
4
3
4
5
5
5
1
3
3

1
2
1
1
2
1
3
2
4
5
6
3
7
8
4
3
2
1
3
4
9
10
5
11
4
5
6
1
6
7
7

Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
ANOVA
Regression
Residual
Total
Coefficients
Intercept
X Variable 1

RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11

0.095154 0.003172
VARS

-.15 to -.10

-.1 to -.05

-.05 to 0

0 to .05

.05 to .10

11

.10 to .15

12
10
8
6

Series1

4
2
0
-.15 to - -.1 to - -.05 to 0 0 to .05
.10
.05
1

.05 to
.10

.10 to
.15

.15 to
.20

.15 to .20

12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29

SUMMARY OUTPUT
Regression Statistics
0.432081
0.186694
0.156572
0.052637
29

df

SS
1 0.017172
27 0.074808
28 0.091981

RETURNt

on RETURNt-1

MS
F
Significance F
0.017172229 6.197839 0.019247
0.00277068

Coefficients
Standard Error
t Stat
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
0.007844 0.009825 0.798369488 0.431623 -0.01232 0.028005 -0.01232 0.028005
-0.43247 0.173714 -2.489546024 0.019247
-0.7889 -0.07604
-0.7889 -0.07604

RESIDUAL OUTPUT
Predicted Y Residuals
0.006041 -0.00189
0.00605 -0.01018
0.00963 0.05261
-0.01907 0.081573
-0.01919 -0.06905
0.046006 -0.01375
-0.00611 -0.04077
0.028119 -0.01992
0.004298 -0.00023
0.006084 -0.00203
0.006093 -0.01012

Squared
Residuals
3.57571E-06
0.000103624
0.002767764
0.006654086
0.00476859
0.000188939
0.001662427
0.000396749
5.20296E-08
4.13798E-06
0.000102472

3.58E-06
0.000104
0.002768
0.006654
0.004769
0.000189
0.001662
0.000397
5.2E-08
4.14E-06

3.58E-06
0.000104
0.002768
0.006654
0.004769
0.000189
0.001662
0.000397
5.2E-08

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.276006
R Square 0.076179
Adjusted R Square
-0.00081
Standard Error
0.003583
Observations
27

Two Lag Periods

0.009587
0.006093
0.006102
0.020001
-0.03147
0.04716
-0.06603
0.034009
0.019313
0.006162
0.006166
0.011183
0.006162
-0.01898
-0.01899
-0.01742
0.054179
0.014137

-0.00554
-0.00206
-0.03421
0.070909
-0.05944
0.12367
0.005535
-0.06053
-0.01542
-0.00228
-0.01389
-0.00729
0.055858
0.081017
0.077406
-0.08972
-0.06873
-0.02152

3.06607E-05
4.25535E-06
0.001170427
0.005028074
0.003532935
0.015294217
3.06308E-05
0.003663735
0.000237883
5.20773E-06
0.000192831
5.31882E-05
0.003120111
0.006563826
0.005991703
0.00804958
0.004723703
0.000462972

0.000102
3.07E-05
4.26E-06
0.00117
0.005028
0.003533
0.015294
3.06E-05
0.003664
0.000238
5.21E-06
0.000193
5.32E-05
0.00312
0.006564
0.005992
0.00805
0.004724

4.14E-06
0.000102
3.07E-05
4.26E-06
0.00117
0.005028
0.003533
0.015294
3.06E-05
0.003664
0.000238
5.21E-06
0.000193
5.32E-05
0.00312
0.006564
0.005992
0.00805

ANOVA
df
Regression
Residual
Total

SS
2 2.54E-05
24 0.000308
26 0.000334

MS
1.27E-05
1.28E-05

F
Significance F
0.98953 0.386415

Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%
Intercept
0.001842 0.000953 1.932465 0.065188 -0.00013 0.003809
X Variable 1 0.177997 0.202383 0.879504 0.38785
-0.2397 0.595695
X Variable 2 0.168676 0.201527 0.836987 0.410857 -0.24726 0.584608

RESIDUAL OUTPUT
ObservationPredicted Y Residuals
1 0.001861 0.000907
2 0.002352 0.004302
3 0.003493 0.001276
4 0.003813 -0.00362
5 0.00268 -0.00102
6 0.002169 -0.00177
7 0.002193 -0.00219
8 0.001909
-0.0019
9 0.001842 -0.00174
10 0.001861 -0.00183
11 0.001864 -0.00186
12 0.001848 -0.00068
13 0.002051 0.002977
14 0.002934 0.000599
15 0.003319 0.011976
16 0.00516 -0.00513
17 0.004427 -0.00076
18 0.002499 -0.00226
19 0.002502
-0.0025
20 0.001883 -0.00169
21 0.001877 -0.00182

22
23
24
25
26
27

0.001884
0.002406
0.003536
0.004015
0.004285
0.00404

0.001236
0.004158
0.002455
0.004034
0.000439
-0.00358

Lower 95.0%
Upper 95.0%
-0.00013 0.003809
-0.2397 0.595695
-0.24726 0.584608

Linear Probability Model

Defense
Dummy

Firm
1
2
3
4
5
6
7
8
9
10

x1,i
1
1
1
1
1
0
0
0
0
0

x2,i
1,000
1200
1400
1500
1600
1800
1100
1000
900
700

x3,i
48
63
55
49
44
62
60
58
66
74

x4,i
0.18
0.03
0.16
0.07
0.14
0.02
0
0.11
0.05
0

Linear Probability Model Results

0.2
0.35
0.1
0.3
0.2
0.03
0
0.02
0.04
0.05

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.960671
R Square 0.922889
Adjusted R Square
0.8612
Standard Error
0.196356
Observations
10
ANOVA
df
Regression
Residual
Total

SS
4 2.307222
5 0.192778
9
2.5

Coefficients
Standard Error
Intercept
-0.55993 1.220861
X Variable 1 0.000196 0.000249
X Variable 2 0.002589 0.015221
X Variable 3 3.661388 1.674945
X Variable 4 3.041962 0.595926

RESIDUAL OUTPUT
ObservationPredicted YResiduals
1 1.027972 -0.02797
2 1.013129 -0.01313
3 0.747146 0.252854
4 1.030099
-0.0301
5 0.988875 0.011125
6 0.118212 -0.11821
7 -0.18878 0.188785
8 0.250011 -0.25001
9 0.092258 -0.09226
10 -0.07892 0.078918

Model Results

MS
F
Significance F
0.576805 14.96032 0.005461
0.038556

t Stat
-0.45863
0.789187
0.170088
2.185976
5.104598

P-value Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
0.665745 -3.69825 2.578397 -3.69825 2.578397
0.46576 -0.00044 0.000835 -0.00044 0.000835
0.871609 -0.03654 0.041715 -0.03654 0.041715
0.080504 -0.64419 7.966971 -0.64419 7.966971
0.003756 1.510086 4.573838 1.510086 4.573838

0.038556 0.014622

Mean and variance

-0.03856 0.029857

Mean and variance

Using the Offset Function to Invert Matrices of Varying Sizes

3 First, enter dimension of the square matrix (between 2 and 6)
TRUE
OK
Then, enter elements of matrix.
3
12
33
5
44
22
66 Enter
1
15
23
7
7
3
33 Cell Values
2
3
3
6
55
1 On Left for
12
15
18
33
3
22 Matrix to Invert.
2
7
3
9
33
33
7
3
6
33
2
4
Do not enter values into yellow regions. They can be protected.
-0.10619 0.185841 -0.25664
#N/A
#N/A
#N/A
0.068584 -0.05752 0.019912
#N/A
#N/A
#N/A
0.002212 -0.06637 0.484513
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
Inverse Matrix
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
Let A1 = n, the number of rows and columns of the matrix to invert.
A1 must be between 2 and 6 in this example.
Input matrix elements in grey Cells A3:F8.
Inputs beyond the nth row and nth column will not affect results.
Inverse matrix will also be n x n in Range A10:F15.
Ignore cells beyond the nth row and nth column.
Instructions for revising this file.
To increase the potential matrix sizes, move all ranges far enough apart from each other so as to
prevent interference. Adjust Cell H2 accordingly.
Set an n x n range for the largest matrix to invert in the new file. Make sure that this and all other
ranges are not conflicting with one another.
Highlight an n x n range into which the inverse matrix will be placed just as though you were going
through the standard MINVERSE routine. Now begin the MINVERSE routine, selecting the paste
function, Math&Trig and MINVERSE. Instead of entering the range as normal, enter the
following instead: OFFSET(A3:B4,0,0,H2,H2). Then simultaneously hit Ctrl-Shft-Enter. Actually,
be certain to replace A101:B102 with the two upper/left most cells in the matrix to invert and
make appropriate adjustments for Cell H2.