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
>