A tip on calculating p-values in Excel: Cell A1: 1.96 # z score cell A2: =2*(1-NORMSDIST(A!)) # p-value (2-sided) cell A3: 1/A2 # number of days for event to happen cell A4: 252*A3 # number of years for this event to happen e.g., if p-value is 0.001, then this should happen every 1000 days, which is 4 trading years. ____________________________________ Note: Daily Estimates: sigma_daily = stdev(daily data) sigma_annual = sigma_daily * sqrt(252) mu_daily = r_bar + (sigma_daily^2)/2 mu_annual = mu_daily * 252 (no square root) ______________________________________________________ From: J.A. Dobelman To: rwmatt@rice.edu Subject: Re: Lab 99 Hi Will, sorry to not be as clear as I should have been. On Mon, 6 Dec 2004 rwmatt@rice.edu wrote: > Dear Professor Dobelman, > > I've been working on Lab 99 and I have a few questions. On question #3, what > would you like us to use for our x-component and what would you like us to use > for our y-component of the regression and correlation analysis? We put the "independent" variable (the reference index) on the x-axis and the "dependent" variable (a stock of interest) on the y-axis. > Then on question #5, would you like us to present 8 correlations (ie > each stock with G-ISCO and each stock with D-ISCO)? Yes, but this is just s single number, the correlation. Extra credit if you compute a regression equation and discuss its intercept and slope! _________________________________________________ Date: Tue, 7 Dec 2004 09:16:50 -0600 (CST) From: J.A. Dobelman To: ladams@rice.edu Cc: mbrown@rice.edu Subject: Re: lab 99 questions! Here is some help provided so far. Would you a like to talk about this sometime today? > > 1) question number 1 says to calculate the annual and daily growth and > volatility estimates for the DJIA and 4 stocks. we were confused in the > explanation of the clarity of which definitions to use in order to compute > these calculations. if you could clarify these statistics for us that would > be great! See below, sorry for the confustion > 2) in question number 4, in order to scale to the value of the DJIA, do we > multiply the indexes by A/I which would be 11103/specific index or is the > scaled value A/I? We were confused bc if we are to multiply the index value > by A/I, then this just yields the value of A and this is not > helpful/informative and we werent sure how to approach the calculations! > its 11103/specific index on day 1 (see below) > 3) in number 5 we are supposed to find the correlations between the 4 stocks > and the indexes. are the indexes we are supposed to use the originally > calculated indexes or the scaled indexes from number 4? > Either one, they divide out, just say which one you use ______________________________________________________ From dobelman@thor.stat.rice.edu Mon Dec 6 09:39:38 2004 Date: Mon, 6 Dec 2004 09:39:12 -0600 (CST) From: J.A. Dobelman To: heatherw@rice.edu Subject: Re: lab99 Hi Heather, hope these help. On Mon, 6 Dec 2004 heatherw@rice.edu wrote: > im having some trouble with the lab. I have a few questions regarding the > calculations. are the equations for the mean (daily correct)? because > shouldnt t=1/252 for mean daily? on page 1, it says that t=1 for mean > daily. then what would t equal for mean annually? Just start with calculating the sample variance for the data, and multiplying by 252. Then take the square root, you should get womething like 17%. > > on number 4, i cant seem to do the geometric mean on excel. i think that > the values of the numbers may be too large for the program to handle. in =geomean(d3:f3) remember you are calculating it across a particular row, and just copying that down the column/ > addition, the scaling of the numbers... it says that "if we wish to scale > the indexes to 11,000 on day 1, we multiply each calculaion by A/I. what > is "each calculation" refer to? the geomean or the average in each cell. so far i have done to problem 4 and i am > experiencing extreme confusion on this lab (and stress)! thanks for your > understanding. WTG! Sorry for the stress.. CSC CSCO SYY SMJ 8/30/00 76.19 66.56 20.97 19.78 8/31/00 79.06 68.62 21.16 19.96 9/1/00 75.88 68.56 21.03 19.84 242.027248 291.5454974 DJIA D-ISCO G-ISCO 8/30/00 11103 45.88 11103.00 38.08 11103.00 8/31/00 11215.1 47.20 11423.69 38.91 11342.98 9/1/00 11238.8 46.33 11212.52 38.38 11190.54 > > sincerely, > heather wu > > From setty@rice.edu Mon Dec 6 09:43:32 2004 Date: Sun, 05 Dec 2004 00:49:57 -0600 From: Prashant Setty To: J.A. Dobelman Subject: lab 99 Dr. Dobelman, I would like a clarification for question number 2 in lab 99. Is a price chart a time series? Thanks, Prashant Setty setty@rice.edu Date: Mon, 6 Dec 2004 09:43:14 -0600 (CST) From: J.A. Dobelman To: Prashant Setty Subject: Re: lab 99 Yes, just a time plot like a stock chart (www.stockcharts.com) On Sun, 5 Dec 2004, Prashant Setty wrote: > Dr. Dobelman, > > I would like a clarification for question number 2 in lab 99. Is a > price chart a time series? > > Thanks, > Prashant Setty > setty@rice.edu >