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Microsoft - Volatility modeling and analysis
- 11. RT from 03/13/1986 to 02/05/2009 9/11 Win95 Win98 monopoly accuse European antitrust action 5,000 emp. layoffs
- 22. RT Vs. RT Synth 5776 5776 Observations 9143113. 9136709. Sum Sq. Dev. 8686.960 8147.096 Sum 0.000000 0.066684 Probability 51406.45 5.415586 Jarque-Bera 17.56243 3.076041 Kurtosis -0.619675 -0.064653 Skewness 39.78974 39.77580 Std. Dev. -602.4211 -154.1308 Minimum 283.3044 143.1277 Maximum 0.000000 1.712924 Median 1.503975 1.410508 Mean RT RT_SYNTH
- 27. RT 2 - Correlogram Sign. Level (5%) = ± 0.025
- 40. RT AR(2) – Residual Correlogram Sign. Level (5%) = ± 0.025
- 43. RT – AR(2) – ARCH(1) model σ 2 = 1,618.1026 σ = 40.225647
- 52. RT – ARCH(1) Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 53. RT – ARCH(1) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 56. RT – AR(2) – ARCH(2) model σ 2 = 1,635.1865 σ = 40.437440
- 65. RT – ARCH(2) Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 66. RT – ARCH(2) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 69. RT – AR(2) – GARCH(1,1) model σ 2 = 2,391.1118 σ = 48.898996
- 79. RT – GARCH(1,1) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 84. RT – AR(2) – TGARCH(1,1) model σ 2 = 2,656.5854 σ = 51.542074
- 94. RT – TGARCH(1,1) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 102. E[ RT 2 t | I (t-1) ] (from abs(RT) MEM)
- 103. RT 2 t Vs. E[ RT 2 t | I (t-1) ]
- 114. RT – GARCH(1,1) eXt. Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 115. RT – GARCH(1,1) eXt. Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 127. RT – GARCH(1,1) eXt.2 Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 128. RT – GARCH(1,1) eXt.2 Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 153. TGARCH(1,1) – Variance Dynamic Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009
- 155. TGARCH(1,1) – Variance Static Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009
- 159. Range 2 – Variance Dynamic Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009
- 160. Range 2 - Plot RT ± 2 σ Variance Dynamic Forecast (in the sample)
- 161. Range 2 – Variance Static Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009
- 162. Range 2 - Plot RT ± 2 σ Variance Static Forecast (in the sample)
- 165. GARCH(1,1) eXt.2 – Variance Dynamic Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009
- 167. GARCH(1,1) eXt.2 – Variance Static Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009
- 173. RX = RT - RM 9/11 Win95 Win98 monopoly accuse European antitrust action 5,000 emp. layoffs
- 176. RX 2 - Correlogram Sign. Level (5%) = ± 0.025
- 184. RX AR(2) – Residual Correlogram Sign. Level (5%) = ± 0.025
- 185. RX AR(2) – Squared Residual Correlogram Sign. Level (5%) = ± 0.025
- 188. RX – AR(2) – GARCH(1,1) model σ 2 = 1,055.5790 σ = 32.489675
- 190. RX – AR(2) - GARCH(1,1) Conditional Variance Plot
- 191. RX – AR(2) – GARCH(1,1) Residual Vs. Conditional Variance Plot
- 193. RX – AR(2) - GARCH(1,1) Residuals Vs. Std. Residuals Plot
- 194. RX – AR(2) - GARCH(1,1) Std. Residuals Vs. Residuals
- 195. RX – AR(2) - GARCH(1,1) Conditional Variance Vs. Std. Residuals
- 197. RX – AR(2) - GARCH(1,1) Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 198. RX – AR(2) - GARCH(1,1) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025
- 200. RX - AR(2) - GARCH(1,1) – Variance Dynamic Forecast