To assist you, here are the parameter estimates for the DJIA, 8/30/00 = 4/25/05 mu_daily -0.000006 sigma_daily 0.011932547 mu_annual -0.001390045 sigma_annual 0.189423317 ------------------------ r_bar -0.00008 sigma 0.011932547 _____________________________________ A tip on calculating p-values in Excel: Cell A1: 1.96 # z score cell A2: =2*(1-NORMSDIST(A1)) # p-value (2-sided) cell A3: 1/A2 # number of days for event to happen cell A4: A3/252 # 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. ____________________________________ Some general guideline: a. Don't turn in all the data; one of the purposes of the course was to teach data reduction techniques; so if you can display pages and pages of prices as a single chart, this is in the spirit of the beginning of the course. ____________________________________ 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: CLASS Subject: Re: Lab 99 > 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. We expect a good writeup to compute a regression equation and discuss its intercept and slope! _________________________________________________ From: J.A. Dobelman To: CLASS Subject: Re: lab 99 questions! Here is some help provided so far. > > 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: J.A. Dobelman To: CLASS Subject: Re: lab99 > 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 --------------------------------------- To: CLASS 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, From: J.A. Dobelman To: CLASS Subject: Re: lab 99 Yes, just a time plot like a stock chart (www.stockcharts.com)