Scribd
Upload
44 views8 pages

Application of Econometrics Techniques To Evaluate The Portfolio

This report consists of the methods applied to choose securities for a better portfolio management.

Uploaded by

Marium Khan
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
44 views8 pages

Application of Econometrics Techniques To Evaluate The Portfolio

This report consists of the methods applied to choose securities for a better portfolio management.

Uploaded by

Marium Khan
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
You are on page 1/ 8

REGRESSION

. regress y x
Source

SS

df

MS

Model
Residual

557.757126
111952.04

1
229

557.757126
488.873539

Total

112509.797

230

489.173033

Coef.

x
_cons

.0036048
336.3975

Number of obs
F( 1,
229)
Prob > F
R-squared
Adj R-squared
Root MSE

Std. Err.

P>|t|

.0033748
40.1312

1.07
8.38

0.287
0.000

symmetric e(V)[2,2]
x
_cons
x
.00001139
_cons -.13534753
1610.5132

231
1.14
0.2866
0.0050
0.0006
22.11

[95% Conf. Interval]


-.0030449
257.3239

VARIANCE-COVARIANCE MATRIX
. matrix list e(V)

=
=
=
=
=
=

.0102545
415.4711

HETERSOCEDASTICITY
(1)
BREUSCH-PAGAN

. hettest x,rhs
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: x
chi2(1)
=
Prob > chi2 =

35.47
0.0000

(2)
PARK TEST
. predict res,resid
. generate squrr=res*res
. regress squrr x
Source

SS

df

MS

Model
Residual

16661374.6
81075226.5

1
229

16661374.6
354040.29

Total

97736601.1

230

424941.744

squrr

Coef.

x
_cons

-.6230328
7888.425

Std. Err.
.0908201
1079.966

t
-6.86
7.30

Number of obs
F( 1,
229)
Prob > F
R-squared
Adj R-squared
Root MSE
P>|t|
0.000
0.000

=
=
=
=
=
=

231
47.06
0.0000
0.1705
0.1668
595.01

[95% Conf. Interval]


-.8019826
5760.484

-.444083
10016.37

SPEARMANS RANK CORRELATION TEST


. spearman y x,stats(rho obs p)pw
Number of obs =
Spearman's rho =

231
0.1530

Test of Ho: y and x are independent


Prob > |t| =
0.0200

HAUSMAN EXOGENEITY TEST

. reg3(x=y),2sls
Two-stage least-squares regression
Equation

Obs

Parms

RMSE

"R-sq"

F-Stat

231

431.8646

0.0050

1.14

0.2866

Coef.

y
_cons

1.375234
11361.92

Endogenous variables:
Exogenous variables:

x
y

Std. Err.
1.287515
489.0966

t
1.07
23.23

P>|t|
0.287
0.000

[95% Conf. Interval]


-1.161657
10398.22

3.912126
12325.63

TIME SEIRES
USING UNIT ROOT TEST TO DEMOSTRATE THAT THE SERIES IS STATIONARY OR
NON-STATIONARY

Plot X

X
12,800

12,400

12,000

11,600

11,200

10,800
25

50

75

100

125

150

175

200

Click on X view unit root test augmented dickey fuller level


intercept OK

Null Hypothesis: X has a unit root


Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=14)

Augmented Dickey-Fuller test statistic


Test critical values: 1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation

t-Statistic

Prob.*

-1.978629
-3.458719
-2.873918
-2.573443

0.2962

225

Dependent Variable: D(X)


Method: Least Squares
Date: 12/17/12 Time: 02:08
Sample (adjusted): 2 231
Included observations: 230 after adjustments
Variable

Coefficient

X(-1)
C

-0.036855
435.8643

R-squared
0.016881
Adjusted R-squared 0.012569
S.E. of regression
121.6201
Sum squared resid
3372452.
Log likelihood
-1429.559
F-statistic
3.914972
Prob(F-statistic)
0.049061

Std. Error

t-Statistic

0.018626 -1.978629
221.5343 1.967480
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

Prob.
0.0491
0.0503
-2.182609
122.3917
12.44834
12.47824
12.46040
1.730359

FITTING OF GARCH MODEL


S e r ie s
4 4 0 .

4 2 0 .

4 0 0 .

3 8 0 .

3 6 0 .

3 4 0 .

3 2 0 .

4 0

==========
ITSM::(INFO)
==========
# of Data Points =

231

Sample Mean = .3792E+03

8 0

12 0

16 0

2 0 0

Sample Variance = .487055E+03


Std.Error(Sample Mean) = 4.919631
(square root of (1/n)SUM{(1-|h|/r)acvf(h)}, |h|<r=[sqrt(n)])

MODEL:
ARMA Model:
X(t) = Z(t)
WN Variance = 1.000000
Garch Model for Z(t):
Z(t) = sqrt(h(t)) e(t)
h(t) = 1.000000
{e(t)} is IID N(0,1)

GARCH ESTIMATION
ARMA Model:
X(t) = Z(t)
Garch Model for Z(t):
Z(t) = sqrt(h(t)) e(t)
h(t) = .4870554E+03
Alpha Coefficients
.487055E+03
Standard Error of Alpha Coefficients
48.338859

Model specification:
Alpha=1, beta=1

Estimation

========================================
ITSM::(Garch Maximum likelihood estimates)
========================================
ARMA Model:
X(t) = Z(t)
Garch Model for Z(t):
Z(t) = sqrt(h(t)) e(t)
h(t) = .4870554E+03
Alpha Coefficients
.487055E+03
Standard Error of Alpha Coefficients
48.338859

AICC(Garch) = .208912E+04
-2Log(Likelihood) = .208506E+04
Accuracy parameter = .0008000000
Number of iterations = 4
Number of function evaluations = 44
Uncertain minimum.

AICC(Garch) = .208912E+04
-2Log(Likelihood) = .208506E+04
Accuracy parameter = .0008000000
Number of iterations = 4
Number of function evaluations = 44
Uncertain minimum.

GARCH RESIDUAL PLOT

G a rc h

e s id u a ls

2 .

1.

0 .

- 1.

- 2 .

- 3 .
0

4 0

8 0

12 0

16 0

2 0 0

You might also like