Summary Statistics Final

Summary Statistics
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
CHF
53.57712
54.38260
74.72410
39.72070
8.458609
0.363308
2.131772
USD
51.09375
49.24000
68.80000
43.90000
5.929098
0.696679
2.323382
Jarque-Bera
Probability
69.59060
0.000000
130.2596
0.000000
Sum
Sum Sq. Dev.
69810.99
93155.58
66575.16
45770.78
Observations
1303
1303
140
Series: CHF
Sample 4/01/2009 3/31/2014
Observations 1303
120
100
80
60
40
20
0
40
45
50
55
60
65
70
75
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
53.57712
54.38260
74.72410
39.72070
8.458609
0.363308
2.131772
Jarque-Bera
Probability
69.59060
0.000000
200
Series: USD
Sample 4/01/2009 3/31/2014
Observations 1303
160
120
80
40
0
44
46
48
50
52
54
56
58
60
62
64
66
68
CHF
76
72
68
64
60
56
52
48
44
40
36
2009
2010
2011
2012
2013
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
51.09375
49.24000
68.80000
43.90000
5.929098
0.696679
2.323382
Jarque-Bera
Probability
130.2596
0.000000
USD
70
65
60
55
50
45
40
2009
2010
2011
2012
2013
Correlogram of raw data - CHF

Date: 05/22/14 Time: 12:43
Sample: 4/01/2009 3/31/2014
Included observations: 1303
Autocorrelation
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Partial Correlation
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1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
AC
PAC
Q-Stat
Prob
0.997
0.994
0.991
0.989
0.986
0.983
0.980
0.977
0.974
0.971
0.968
0.965
0.962
0.959
0.956
0.953
0.951
0.948
0.945
0.942
0.939
0.935
0.933
0.930
0.927
0.924
0.921
0.919
0.916
0.913
0.911
0.908
0.905
0.903
0.900
0.897
0.997
0.012
0.007
0.023
-0.017
-0.018
-0.036
0.000
-0.027
0.024
0.021
-0.031
0.003
0.021
0.037
0.011
-0.005
0.003
-0.057
-0.037
-0.013
0.006
0.029
0.031
-0.003
0.015
-0.005
0.020
0.006
-0.020
0.011
0.018
-0.033
-0.002
-0.005
-0.013
1298.3
2590.2
3875.7
5155.3
6428.7
7695.7
8955.7
10209.
11455.
12694.
13927.
15153.
16371.
17584.
18790.
19991.
21186.
22375.
23558.
24733.
25902.
27064.
28219.
29368.
30511.
31648.
32780.
33905.
35025.
36139.
37248.
38351.
39449.
40541.
41628.
42709.
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Correlogram of raw data USD

Date: 05/22/14 Time: 12:48
Sample: 4/01/2009 3/31/2014
Autocorrelation
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Partial Correlation
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1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
AC
PAC
Q-Stat
Prob
0.998
0.995
0.993
0.991
0.989
0.986
0.983
0.981
0.978
0.976
0.973
0.970
0.967
0.964
0.962
0.959
0.956
0.953
0.950
0.947
0.944
0.941
0.938
0.936
0.933
0.930
0.927
0.924
0.921
0.918
0.915
0.912
0.909
0.907
0.904
0.901
0.998
0.007
0.054
0.029
-0.052
-0.081
-0.005
-0.025
0.012
0.010
-0.006
-0.041
-0.007
0.030
-0.012
-0.009
-0.004
0.038
-0.028
-0.031
-0.043
0.030
-0.022
0.048
0.013
-0.030
-0.021
0.003
0.010
-0.007
0.008
0.044
-0.007
0.018
-0.006
-0.040
1299.6
2594.0
3883.8
5169.4
6450.2
7725.0
8994.0
10257.
11514.
12766.
14011.
15251.
16483.
17710.
18931.
20145.
21353.
22556.
23752.
24942.
26125.
27301.
28471.
29634.
30792.
31943.
33087.
34225.
35357.
36483.
37602.
38715.
39822.
40924.
42020.
43111.
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Unit Root Tests

Augmented Dickey Fuller Test for CHF raw data
Null Hypothesis: CHF has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=22)
Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-0.529650
-3.435161
-2.863552
-2.567891
0.8829
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation

Dependent Variable: D(CHF)
Method: Least Squares
Date: 05/22/14 Time: 12:50
Sample (adjusted): 4/02/2009 3/31/2014
Included observations: 1302 after adjustments
CHF(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-0.000774
0.059582
0.001462
0.079268
-0.529650
0.751648
0.5964
0.4524
0.000216
-0.000553
0.445662
258.1986
-794.1870
0.280529
0.596445
Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.018110
0.445538
1.223021
1.230966
1.226002
2.010680
KPSS test for CHF raw data

Null Hypothesis: CHF is stationary
Exogenous: Constant
Bandwidth: 30 (Newey-West using Bartlett kernel)
LM-Stat.
Kwiatkowski-Phillips-Schmidt-Shin test statistic
3.913168
Asymptotic critical values*:
0.739000
0.463000
0.347000
1% level
5% level
10% level
*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)
Residual variance (no correction)

HAC corrected variance (Bartlett kernel)
71.49315
2149.707
KPSS Test Equation

Dependent Variable: CHF
Date: 05/22/14 Time: 12:52
Sample: 4/01/2009 3/31/2014
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
Std. Error
t-Statistic
Prob.
53.57712
0.234329
228.6402
0.0000
0.000000
0.000000
8.458609
93155.58
-4630.522
0.002777
Mean dependent var

S.D. dependent var
Schwarz criterion
53.57712
8.458609
7.109014
7.112983
7.110503
Phillips Perron Test for CHF raw data

Null Hypothesis: CHF has a unit root
Exogenous: Constant
Phillips-Perron test statistic

1% level
5% level
10% level
Adj. t-Stat
Prob.*
-0.438790
0.9000
-3.435161
-2.863552
-2.567891

0.198309
0.173426
Phillips-Perron Test Equation

Dependent Variable: D(CHF)
Date: 05/22/14 Time: 12:53
Sample (adjusted): 4/02/2009 3/31/2014
CHF(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-0.000774
0.059582
0.001462
0.079268
-0.529650
0.751648
0.5964
0.4524
0.000216
-0.000553
0.445662
258.1986
-794.1870
0.280529
0.596445
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
0.018110
0.445538
1.223021
1.230966
1.226002
2.010680
Augmented Dickey Fuller for USD raw data

Null Hypothesis: USD has a unit root
Exogenous: Constant
t-Statistic
Prob.*
-0.292183
0.9236
-3.435169
-2.863556
-2.567893
1% level
5% level
10% level

Dependent Variable: D(USD)
Date: 05/25/14 Time: 12:09
Sample (adjusted): 4/06/2009 3/31/2014
USD(-1)
D(USD(-1))
D(USD(-2))
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-0.000456
-0.015744
-0.107276
0.031855
0.001561
0.027641
0.027646
0.080278
-0.292183
-0.569576
-3.880350
0.396805
0.7702
0.5691
0.0001
0.6916
0.011855
0.009568
0.333093
143.7926
-413.4842
5.182997
0.001461
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
0.007600
0.334698
0.642283
0.658191
0.648252
2.008834
KPSS test for USD raw data

Null Hypothesis: USD is stationary
Exogenous: Constant
LM-Stat.
3.373962
0.739000
0.463000
0.347000
1% level
5% level
10% level

35.12723
1060.350
KPSS Test Equation

Dependent Variable: USD
Date: 05/22/14 Time: 12:57
Sample: 4/01/2009 3/31/2014
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
Std. Error
t-Statistic
Prob.
51.09375
0.164254
311.0651
0.0000
0.000000
0.000000
5.929098
45770.78
-4167.550
0.003183
Mean dependent var

S.D. dependent var
Schwarz criterion
51.09375
5.929098
6.398388
6.402358
6.399878
Phillips Perron test for USD raw data

Null Hypothesis: USD has a unit root
Exogenous: Constant

1% level
5% level
10% level
Adj. t-Stat
Prob.*
-0.416862
0.9039
-3.435161
-2.863552
-2.567891

0.111829
0.102792

Dependent Variable: D(USD)
Date: 05/22/14 Time: 12:58
Sample (adjusted): 4/02/2009 3/31/2014
USD(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-0.000755
0.045976
0.001566
0.080518
-0.481965
0.570997
0.6299
0.5681
0.000179
-0.000590
0.334665
145.6011
-421.2564
0.232290
0.629912
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
0.007427
0.334567
0.650163
0.658108
0.653144
2.027543
Correlogram of CHF returns

Date: 05/22/14 Time: 12:59
Sample: 4/01/2009 3/31/2014
Autocorrelation
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Partial Correlation
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1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
AC
PAC
Q-Stat
Prob
-0.034
-0.024
-0.046
-0.023
0.010
0.025
-0.016
0.049
-0.070
-0.041
0.045
-0.038
-0.012
-0.047
-0.022
-0.008
0.051
0.059
0.054
-0.013
-0.004
-0.024
-0.065
-0.010
-0.035
0.005
-0.012
-0.011
0.044
0.020
-0.039
-0.008
-0.016
-0.015
0.021
-0.034
-0.034
-0.025
-0.048
-0.027
0.006
0.023
-0.016
0.050
-0.065
-0.044
0.043
-0.042
-0.020
-0.049
-0.023
-0.019
0.049
0.061
0.050
0.008
0.006
-0.021
-0.074
-0.026
-0.052
-0.009
-0.014
-0.009
0.047
0.028
-0.019
-0.007
-0.009
-0.025
-0.001
-0.052
1.5303
2.2901
5.0546
5.7306
5.8723
6.7140
7.0312
10.177
16.672
18.845
21.536
23.438
23.615
26.488
27.117
27.210
30.700
35.245
39.151
39.390
39.415
40.192
45.849
45.989
47.659
47.691
47.881
48.045
50.593
51.138
53.194
53.283
53.638
53.925
54.496
56.074
0.216
0.318
0.168
0.220
0.319
0.348
0.426
0.253
0.054
0.042
0.028
0.024
0.035
0.022
0.028
0.039
0.022
0.009
0.004
0.006
0.009
0.010
0.003
0.004
0.004
0.006
0.008
0.011
0.008
0.009
0.008
0.010
0.013
0.016
0.019
0.018
Correlogram of USD returns

Date: 05/22/14 Time: 13:01
Sample: 4/01/2009 3/31/2014
Autocorrelation
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Partial Correlation
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1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
AC
PAC
Q-Stat
Prob
-0.019
-0.083
-0.017
0.049
0.081
-0.015
-0.007
0.000
-0.002
0.023
0.047
0.019
-0.030
0.011
0.017
-0.005
-0.036
-0.007
0.026
0.035
-0.026
-0.003
-0.064
0.001
0.050
0.024
-0.008
-0.050
0.025
0.023
-0.058
-0.037
-0.006
-0.001
0.023
-0.040
-0.019
-0.083
-0.021
0.042
0.081
-0.004
0.008
-0.001
-0.009
0.017
0.050
0.025
-0.020
0.013
0.007
-0.013
-0.035
-0.007
0.017
0.034
-0.018
0.004
-0.071
-0.009
0.037
0.027
0.008
-0.031
0.020
0.004
-0.062
-0.032
-0.008
-0.010
0.028
-0.033
0.4611
9.3846
9.7848
12.971
21.553
21.844
21.900
21.900
21.903
22.585
25.523
26.010
27.178
27.329
27.731
27.763
29.451
29.522
30.427
32.050
32.935
32.950
38.439
38.439
41.726
42.478
42.563
45.887
46.719
47.448
51.940
53.797
53.850
53.853
54.559
56.708
0.497
0.009
0.020
0.011
0.001
0.001
0.003
0.005
0.009
0.012
0.008
0.011
0.012
0.017
0.023
0.034
0.031
0.042
0.047
0.043
0.047
0.063
0.023
0.031
0.019
0.022
0.029
0.018
0.020
0.022
0.011
0.009
0.012
0.017
0.019
0.015
Graph of CHF returns
CHFR
.06
.04
.02
.00
-.02
-.04
-.06
-.08
-.10
2009
2010
2011
2012
2013
2012
2013
Graph of USD returns
USDR
.04
.03
.02
.01
.00
-.01
-.02
-.03
-.04
2009
2010
2011
Unit root tests of returns

Augmented Dickey Fuller Test of CHF returns
Null Hypothesis: CHFR has a unit root
Exogenous: Constant
t-Statistic
Prob.*
-37.30002
0.0000
-3.435165
-2.863554
-2.567892
1% level
5% level
10% level

Dependent Variable: D(CHFR)
Date: 05/22/14 Time: 13:04
Sample (adjusted): 4/03/2009 3/31/2014
CHFR(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-1.034250
0.000336
0.027728
0.000223
-37.30002
1.507679
0.0000
0.1319
0.517153
0.516781
0.008026
0.083680
4432.356
1391.291
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-8.40E-07
0.011546
-6.810693
-6.802744
-6.807711
2.001828
KPSS test of CHF returns

Null Hypothesis: CHFR is stationary
Exogenous: Constant
LM-Stat.
0.061676
0.739000
0.463000
0.347000
1% level
5% level
10% level

6.44E-05
5.44E-05
KPSS Test Equation

Dependent Variable: CHFR
Date: 05/22/14 Time: 13:05
Sample (adjusted): 4/02/2009 3/31/2014
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
Std. Error
t-Statistic
Prob.
0.000328
0.000222
1.476053
0.1402
0.000000
0.000000
0.008026
0.083801
4435.319
2.068048
Mean dependent var

S.D. dependent var
Schwarz criterion
0.000328
0.008026
-6.811550
-6.807578
-6.810060
Phillips Perron test of CHF returns

Null Hypothesis: CHFR has a unit root
Exogenous: Constant

1% level
5% level
10% level
Adj. t-Stat
Prob.*
-37.43024
0.0000
-3.435165
-2.863554
-2.567892

6.43E-05
5.75E-05

Dependent Variable: D(CHFR)
Date: 05/22/14 Time: 13:05
Sample (adjusted): 4/03/2009 3/31/2014
CHFR(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-1.034250
0.000336
0.027728
0.000223
-37.30002
1.507679
0.0000
0.1319
0.517153
0.516781
0.008026
0.083680
4432.356
1391.291
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-8.40E-07
0.011546
-6.810693
-6.802744
-6.807711
2.001828
Augmented Dickey Fuller test of USD returns

Null Hypothesis: USDR has a unit root
Exogenous: Constant
t-Statistic
Prob.*
-27.93151
0.0000
-3.435169
-2.863556
-2.567893
1% level
5% level
10% level

Dependent Variable: D(USDR)
Date: 05/22/14 Time: 13:06
Sample (adjusted): 4/06/2009 3/31/2014
Coefficient
Std. Error
t-Statistic
Prob.
USDR(-1)
D(USDR(-1))
C
-1.103242
0.083107
0.000153
0.039498
0.027670
0.000170
-27.93151
3.003500
0.902412
0.0000
0.0027
0.3670
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.512692
0.511941
0.006116
0.048516
4782.772
682.2811
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-1.54E-06
0.008755
-7.353495
-7.341564
-7.349018
2.003396
KPSS test of USD returns

Null Hypothesis: USDR is stationary
Exogenous: Constant
LM-Stat.
0.257904
0.739000
0.463000
0.347000
1% level
5% level
10% level

3.76E-05
3.46E-05
KPSS Test Equation

Dependent Variable: USDR
Date: 05/22/14 Time: 13:07
Sample (adjusted): 4/02/2009 3/31/2014
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
Std. Error
t-Statistic
Prob.
0.000135
0.000170
0.795918
0.4262
0.000000
0.000000
0.006132
0.048914
4785.814
2.036773
Mean dependent var

S.D. dependent var
Schwarz criterion
0.000135
0.006132
-7.349945
-7.345973
-7.348454
Phillips Perron test of USD returns

Null Hypothesis: USDR has a unit root
Exogenous: Constant

1% level
5% level
10% level
Adj. t-Stat
Prob.*
-36.76825
0.0000
-3.435165
-2.863554
-2.567892

3.76E-05
3.58E-05

Dependent Variable: D(USDR)
Date: 05/22/14 Time: 13:08
Sample (adjusted): 4/03/2009 3/31/2014
USDR(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-1.018796
0.000143
0.027729
0.000170
-36.74062
0.838830
0.0000
0.4017
0.509603
0.509225
0.006133
0.048856
4782.402
1349.873
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
4.76E-06
0.008754
-7.348811
-7.340862
-7.345829
2.002609
Normality tests
CHF returns
360
Series: CHFR
Sample 4/01/2009 3/31/2014
Observations 1302
320
280
240
200
160
120
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000328
0.000235
0.051633
-0.088578
0.008026
-0.902790
17.31165
Jarque-Bera
Probability
11288.52
0.000000
80
40
0
-0.075
-0.050
-0.025
0.000
0.025
0.050
USD returns
320
Series: USDR
Sample 4/01/2009 3/31/2014
Observations 1302
280
240
200
160
120
80
40
0
-0.025
0.000
0.025
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.000135
0.000000
0.037919
-0.037560
0.006132
-0.021088
8.593096
Jarque-Bera
Probability
1697.185
0.000000
-0.10
-0.05
0.00
0.05
Autocorrelation of CHF returns
10
20
Lag
30
40
30
40
Bartlett's formula for MA(q) 95% confidence bands
-0.10
-0.05
0.00
0.05
Partial autocorrelation of CHF returns
10
95% Confidence bands [se = 1/sqrt(n)]
20
Lag
-0.10
-0.05
0.00
0.05
0.10
Autocorrelation of USD returns
10
20
Lag
30
40
30
40
Bartlett's formula for MA(q) 95% confidence bands
-0.10
-0.05
0.00
0.05
0.10
Partial autocorrelation of USDR
10
95% Confidence bands [se = 1/sqrt(n)]
20
Lag
Autoregressive Moving Average models

Model for CHF returns
Date: 05/22/14 Time: 14:39
Sample (adjusted): 3 1302
Convergence achieved after 50 iterations
MA Backcast: 1 2
C
AR(1)
AR(2)
MA(1)
MA(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
Coefficient
Std. Error
t-Statistic
Prob.
0.000327
1.587823
-0.977909
-1.611383
0.994281
0.000216
0.005041
0.005074
0.002106
0.001994
1.510235
314.9825
-192.7272
-765.2156
498.5271
0.1312
0.0000
0.0000
0.0000
0.0000
0.023186
0.020169
0.007949
0.081828
4442.995
7.684674
0.000004
.79+.59i
.81-.59i
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
.79-.59i
.81+.59i
0.000322
0.008030
-6.827684
-6.807799
-6.820223
2.057754
Breusch-Godfrey Serial Correlation test for CHF returns

Null Hypothesis: There is no serial correlation
Breusch-Godfrey Serial Correlation LM Test:
F-statistic
Obs*R-squared
0.775958
6.240256
Prob. F(8,1287)
Prob. Chi-Square(8)
0.6240
0.6203
Test Equation:
Dependent Variable: RESID
Date: 05/23/14 Time: 12:06
Sample: 3 1302
Presample missing value lagged residuals set to zero.
C
AR(1)
AR(2)
MA(1)
MA(2)
RESID(-1)
RESID(-2)
RESID(-3)
RESID(-4)
RESID(-5)
RESID(-6)
RESID(-7)
RESID(-8)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-1.00E-06
0.001780
-0.000314
2.32E-05
-0.000220
-0.030744
-0.013592
-0.032464
-0.011870
0.015226
0.018466
-0.026419
0.035837
0.000217
0.005177
0.005219
0.001409
0.000589
0.028373
0.028382
0.028363
0.028366
0.028362
0.028356
0.028350
0.028333
-0.004630
0.343898
-0.060233
0.016493
-0.373685
-1.083556
-0.478902
-1.144597
-0.418458
0.536859
0.651198
-0.931862
1.264834
0.9963
0.7310
0.9520
0.9868
0.7087
0.2788
0.6321
0.2526
0.6757
0.5915
0.5150
0.3516
0.2062
0.004800
-0.004479
0.007955
0.081435
4446.122
0.517304
0.904763
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
6.75E-07
0.007937
-6.820188
-6.768487
-6.800790
1.993775
Model for USD returns

Date: 05/22/14 Time: 14:42
MA Backcast: 1 2
C
AR(1)
AR(2)
MA(1)
MA(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
Coefficient
Std. Error
t-Statistic
Prob.
0.000137
0.610026
-0.942548
-0.621076
0.911523
0.000164
0.032044
0.031366
0.039651
0.038968
0.839178
19.03721
-30.05026
-15.66345
23.39135
0.4015
0.0000
0.0000
0.0000
0.0000
0.015013
0.011971
0.006097
0.048136
4787.875
4.934572
0.000598
.31+.92i
.31+.90i
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
.31-.92i
.31-.90i
0.000139
0.006134
-7.358269
-7.338383
-7.350808
2.026155
Breusch-Godfrey Serial Correlation test for USD returns

Null Hypothesis: There is no serial correlation
F-statistic
Obs*R-squared
1.243318
9.969962
Prob. F(8,1287)
Prob. Chi-Square(8)
0.2699
0.2671
Test Equation:
Date: 05/23/14 Time: 12:10
Sample: 3 1302
C
AR(1)
AR(2)
MA(1)
MA(2)
RESID(-1)
RESID(-2)
RESID(-3)
RESID(-4)
RESID(-5)
RESID(-6)
RESID(-7)
RESID(-8)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-1.50E-06
0.004821
-0.041009
0.018686
0.059037
-0.038405
-0.067930
0.007175
0.045070
0.061893
-0.019319
0.015678
0.019595
0.000164
0.038537
0.037079
0.055479
0.052572
0.036405
0.035130
0.034751
0.033628
0.033537
0.032630
0.032134
0.031948
-0.009175
0.125108
-1.105996
0.336810
1.122977
-1.054924
-1.933658
0.206454
1.340263
1.845528
-0.592051
0.487889
0.613344
0.9927
0.9005
0.2689
0.7363
0.2617
0.2917
0.0534
0.8365
0.1804
0.0652
0.5539
0.6257
0.5398
0.007669
-0.001583
0.006092
0.047767
4792.879
0.828879
0.620633
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
2.48E-07
0.006087
-7.353660
-7.301958
-7.334261
1.999489
Vector Autoregression
Selection of lag length
VAR Lag Order Selection Criteria
Endogenous variables: USDR CHFR
Exogenous variables: C
Date: 05/23/14 Time: 12:23
Sample: 1 1302
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
6
7
8
9210.558
9233.397
9239.104
9240.428
9244.011
9248.227
9249.130
9249.965
9252.312
NA
45.57184
11.37092*
2.634083
7.115732
8.359320
1.788678
1.651442
4.631530
2.26e-09
2.19e-09
2.19e-09*
2.20e-09
2.20e-09
2.20e-09
2.21e-09
2.22e-09
2.22e-09
-14.23270
-14.26182
-14.26446*
-14.26032
-14.25968
-14.26001
-14.25522
-14.25033
-14.24778
-14.22472
-14.23787*
-14.22454
-14.20444
-14.18782
-14.17219
-14.15144
-14.13058
-14.11205
-14.22970
-14.25283*
-14.24948
-14.23935
-14.23271
-14.22705
-14.21627
-14.20539
-14.19684
* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion
Vector Autoregression results

Vector Autoregression Estimates
Date: 05/23/14 Time: 12:20
Standard errors in ( ) & t-statistics in [ ]
USDR
CHFR
USDR(-1)
-0.031414
(0.02876)
[-1.09232]
0.222680
(0.03726)
[ 5.97653]
USDR(-2)
-0.085347
(0.02913)
[-2.92972]
-0.036559
(0.03774)
[-0.96868]
CHFR(-1)
0.033861
(0.02227)
[ 1.52036]
-0.075762
(0.02885)
[-2.62571]
CHFR(-2)
-0.013516
(0.02199)
[-0.61466]
-0.023477
(0.02849)
[-0.82407]
0.000149
(0.00017)
[ 0.87500]
0.000329
(0.00022)
[ 1.49282]
0.009450
0.006390
0.048408
0.006114
3.088563
4784.214
-7.352636
-7.332751
0.000139
0.006134
0.030067
0.027071
0.081252
0.007921
10.03578
4447.589
-6.834753
-6.814868
0.000322
0.008030
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
2.17E-09
2.16E-09
9280.993
-14.26307
-14.22330
. var chfr usdr, lags(1/2)

Vector autoregression
Sample:
04jan1960 - 26jul1963
No. of obs
1300
Log likelihood =
9280.993
AIC
= -14.26307
FPE
2.19e-09
HQIC
= -14.24814
Det(Sigma_ml)
2.16e-09
SBIC
Equation
Parms
RMSE
R-sq
chi2
-14.2233
P>chi2
---------------------------------------------------------------chfr
.007921
0.0301
40.29811
0.0000
usdr
.006114
0.0094
12.40195
0.0146
-------------------------------------------------------------------------------------|
Coef.
Std. Err.
P>|z|
[95% Conf. Interval]
-------------+-----------------------------------------------------------------------chfr
|
chfr |
L1. |
-.0757623
.0287985
-2.63
0.009
-.1322064
-.0193182
L2. |
-.023477
.0284342
-0.83
0.409
-.0792071
.0322531
L1. |
.2226804
.0371874
5.99
0.000
.1497944
.2955665
L2. |
-.0365592
.0376688
-0.97
0.332
-.1103886
.0372702
.0003285
.0002197
1.50
0.135
-.000102
.0007591
|
usdr |
|
_cons |
-------------+---------------------------------------------------------------usdr
|
chfr |
L1. |
.0338608
.0222287
1.52
0.128
-.0097066
.0774282
L2. |
-.0135162
.0219475
-0.62
0.538
-.0565325
.0295001
|
usdr |
L1. |
-.0314141
.0287038
-1.09
0.274
-.0876725
.0248443
L2. |
-.0853467
.0290753
-2.94
0.003
-.1423333
-.0283601
.0001486
.0001695
0.88
0.381
-.0001837
.000481
|
_cons |
------------------------------------------------------------------------------
Diagnostics Serial correlation in residuals (Breusch-Godfrey Lagrange Multiplier test)

VAR Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag
order h
Date: 05/23/14 Time: 12:39
Sample: 1 1302
Lags
LM-Stat
Prob
1
2
3
4
5
6
7
8
9
10
11
12
0.821498
3.505578
3.450986
6.505030
8.067981
2.429257
1.953323
7.223321
11.06779
5.623677
5.827624
7.320485
0.9355
0.4770
0.4854
0.1645
0.0891
0.6573
0.7443
0.1245
0.0258
0.2291
0.2124
0.1199
Probs from chi-square with 4 df.
Impulse response
Response to Cholesky One S.D. Innovations 2 S.E.
Response of USDR to USDR
Response of USDR to CHFR
.008
.008
.006
.006
.004
.004
.002
.002
.000
.000
-.002
-.002
1
10
Response of CHFR to USDR
10
10
Response of CHFR to CHFR
.008
.008
.006
.006
.004
.004
.002
.002
.000
.000
-.002
-.002
1
10
Granger Causality
VAR Granger Causality/Block Exogeneity Wald Tests
Date: 05/23/14 Time: 12:50
Sample: 1 1302
Dependent variable: USDR

Excluded
Chi-sq
df
Prob.
CHFR
2.876262
0.2374
All
2.876262
0.2374
Dependent variable: CHFR

Excluded
Chi-sq
df
Prob.
USDR
37.70582
0.0000
All
37.70582
0.0000
Cointegration tests
. vecrank CHF USD, trend(none) lags(8)
Johansen tests for cointegration

Trend: none
Sample:
Number of obs =
1295
Lags =
10jan1960 - 27jul1963
------------------------------------------------------------------------------5%
maximum
rank
parms
LL
eigenvalue
28
-1081.3614
31
-1078.3681
0.00461
32
-1077.3398
0.00159
trace
critical
statistic
value
8.0431*
12.53
2.0565
3.84
-------------------------------------------------------------------------------
Date: 05/25/14 Time: 14:48

Sample: 4/01/2009 3/31/2014
Series: USD CHF
Lags interval: 1 to 4
Selected
(0.05 level*)
Number of
Cointegrating
Relations by
Model
Data Trend:
Test Type
Trace
Max-Eig
None
None
Linear
Linear
Quadratic
No Intercept
No Trend
0
0
Intercept
No Trend
0
0
Intercept
No Trend
0
0
Intercept
Trend
0
0
Intercept
Trend
0
0
*Critical values based on MacKinnon-Haug-Michelis (1999)

Information
Criteria by
Rank and
Model
Data Trend:
Rank or
No. of CEs
None
No Intercept
No Trend
None
Intercept
No Trend
Linear
Intercept
No Trend
Linear
Intercept
Trend
Quadratic
Intercept
Trend
0
1
2
Log
Likelihood by
Rank (rows)
and Model
(columns)
-1089.616
-1086.347
-1085.091
-1089.616
-1085.842
-1084.418
-1088.226
-1084.466
-1084.418
-1088.226
-1083.993
-1080.416
-1087.426
-1083.618
-1080.416
0
1
2
Akaike
Information
Criteria by
Rank (rows)
and Model
(columns)
1.703568*
1.704695
1.708923
1.703568*
1.705457
1.710967
1.704509
1.704878
1.710967
1.704509
1.705690
1.707883
1.706358
1.706654
1.707883
Schwarz
Criteria by
Rank (rows)
and Model
(columns)
1.767280*
1.767280*
1.776184
1.776184
1.785997
1
2
1.784334
1.804490
1.789078
1.814498
1.792481
1.814498
1.797275
1.819378
1.802221
1.819378
ARCH/GARCH
Model and tests for CHF returns
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/23/14 Time: 13:59
Sample: 1 1302
Presample variance: backcast (parameter = 0.7)
GARCH = C(1) + C(2)*RESID(-1)^2 + C(3)*GARCH(-1)
Coefficient
Std. Error
z-Statistic
Prob.
5.765298
7.826985
94.08458
0.0000
0.0000
0.0000
Variance Equation
C
RESID(-1)^2
GARCH(-1)
1.20E-06
0.087763
0.895134
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
-0.001675
-0.003217
0.008039
0.083942
4570.593
2.064590
2.09E-07
0.011213
0.009514
Mean dependent var

S.D. dependent var
Schwarz criterion
0.000328
0.008026
-7.016272
-7.004356
-7.011801
Residual tests
Heteroskedasticity Test: ARCH
F-statistic
Obs*R-squared
0.365151
0.365611
Prob. F(1,1299)
Prob. Chi-Square(1)
0.5458
0.5454
Test Equation:
Dependent Variable: WGT_RESID^2
Date: 05/23/14 Time: 14:01
C
WGT_RESID^2(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
0.985346
0.016764
0.064238
0.027742
15.33909
0.604277
0.0000
0.5458
0.000281
-0.000489
2.088729
5667.262
-2803.297
0.365151
0.545765
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
1.002147
2.088219
4.312525
4.320474
4.315507
2.000524
. regress CHFR
Source |
SS
df
MS
-------------+-----------------------------Model |
Residual |
.083801293
1301
.000064413
-------------+-----------------------------Total |
.083801293
1301
.000064413
Number of obs =
1302
F(
1301) =
0.00
Prob > F
R-squared
0.0000
Adj R-squared =
0.0000
Root MSE
.00803
0,
-----------------------------------------------------------------------------CHFR |
Coef.
Std. Err.
P>|t|
-------------+---------------------------------------------------------------_cons |
.0003283
.0002224
1.48
0.140
-.000108
.0007647
------------------------------------------------------------------------------
. estat archlm, lags(1)

LM test for autoregressive conditional heteroskedasticity (ARCH)
--------------------------------------------------------------------------lags(p)
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
8.219
0.0041
--------------------------------------------------------------------------H0: no ARCH effects
vs.
H1: ARCH(p) disturbance
Model and tests for USD returns

Date: 05/23/14 Time: 14:13
Sample: 1 1302
Coefficient
Std. Error
z-Statistic
Prob.
4.480360
7.142603
63.29536
0.0000
0.0000
0.0000
Variance Equation
C
RESID(-1)^2
GARCH(-1)
1.37E-06
0.056789
0.905510
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
-0.000487
-0.002027
0.006138
0.048937
4863.869
2.035782
3.06E-07
0.007951
0.014306
Mean dependent var

S.D. dependent var
Schwarz criterion
0.000135
0.006132
-7.466773
-7.454856
-7.462302
Residual tests
F-statistic
Obs*R-squared
0.038836
0.038895
Prob. F(1,1299)
Prob. Chi-Square(1)
0.8438
0.8437
Test Equation:
Date: 05/23/14 Time: 14:18
C
WGT_RESID^2(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
0.995457
0.005468
0.080357
0.027746
12.38790
0.197069
0.0000
0.8438
0.000030
-0.000740
2.719369
9606.066
-3146.559
0.038836
0.843804
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
1.000937
2.718364
4.840213
4.848162
4.843196
1.999651
. regress USDR
Source |
SS
df
MS
-------------+-----------------------------Model |
Residual |
.04891354
1301
.000037597
-------------+-----------------------------Total |
.04891354
1301
.000037597
Number of obs =
1302
F(
1301) =
0.00
Prob > F
R-squared
0.0000
Adj R-squared =
0.0000
Root MSE
.00613
0,
-----------------------------------------------------------------------------USDR |
Coef.
Std. Err.
P>|t|
-------------+---------------------------------------------------------------_cons |
.0001353
.0001699
0.80
0.426
-.0001981
.0004686
------------------------------------------------------------------------------
. estat archlm, lags(1)

--------------------------------------------------------------------------lags(p)
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
74.578
0.0000
--------------------------------------------------------------------------H0: no ARCH effects
vs.
Truncated dataset
Unit root tests
CHF returns
ADF test
Null Hypothesis: CHFRI has a unit root
Exogenous: Constant
t-Statistic
Prob.*
-34.09873
0.0000
-3.436425
-2.864111
-2.568190
1% level
5% level
10% level

Dependent Variable: D(CHFRI)
Date: 05/25/14 Time: 14:10
CHFRI(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-1.057000
0.000253
0.030998
0.000249
-34.09873
1.015789
0.0000
0.3100
0.528577
0.528123
0.008025
0.066783
3540.103
1162.723
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-6.45E-06
0.011682
-6.810593
-6.801072
-6.806981
2.000746
KPSS test
Null Hypothesis: CHFRI is stationary
Exogenous: Constant
LM-Stat.
0.081207
0.739000
0.463000
0.347000
1% level
5% level
10% level

6.44E-05
4.64E-05
KPSS Test Equation

Dependent Variable: CHFRI
Date: 05/25/14 Time: 14:12
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
Std. Error
t-Statistic
Prob.
0.000244
0.000249
0.978609
0.3280
0.000000
0.000000
0.008032
0.067025
3542.132
2.113590
Mean dependent var

S.D. dependent var
Schwarz criterion
0.000244
0.008032
-6.809869
-6.805112
-6.808065
USD Returns
ADF test
Null Hypothesis: USDRI has a unit root
Exogenous: Constant

1% level
5% level
10% level
t-Statistic
Prob.*
-32.88399
-3.436425
-2.864111
-2.568190
0.0000

Dependent Variable: D(USDRI)
Date: 05/25/14 Time: 14:13
USDRI(-1)
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-1.020336
8.52E-05
0.031028
0.000174
-32.88399
0.490195
0.0000
0.6241
0.510470
0.509998
0.005602
0.032542
3913.577
1081.357
0.000000
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
5.78E-06
0.008003
-7.529503
-7.519983
-7.525891
2.000378
KPSS test
Null Hypothesis: USDRI is stationary
Exogenous: Constant
LM-Stat.
0.290903
0.739000
0.463000
0.347000
1% level
5% level
10% level

3.13E-05
3.07E-05
KPSS Test Equation

Dependent Variable: USDRI
Date: 05/25/14 Time: 14:13
C
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Coefficient
Std. Error
t-Statistic
Prob.
7.76E-05
0.000174
0.446696
0.6552
0.000000
0.000000
0.005601
0.032595
3917.000
2.039465
Mean dependent var

S.D. dependent var
Schwarz criterion
7.76E-05
0.005601
-7.530770
-7.526013
-7.528966
ARIMA Models
CHF Returns
Date: 05/25/14 Time: 14:14
MA Backcast: 1 2
C
AR(1)
AR(2)
MA(1)
MA(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
Coefficient
Std. Error
t-Statistic
Prob.
0.000243
-1.063204
-0.879592
1.037030
0.878931
0.000246
0.069953
0.060323
0.070387
0.060638
0.988182
-15.19888
-14.58132
14.73331
14.49478
0.3233
0.0000
0.0000
0.0000
0.0000
0.014346
0.010530
0.007995
0.066032
3542.070
3.758828
0.004824
-.53+.77i
-.52-.78i
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-.53-.77i
-.52+.78i
0.000236
0.008038
-6.815163
-6.791343
-6.806126
2.048792

F-statistic
Obs*R-squared
0.721244
1.450242
Prob. F(2,1031)
Prob. Chi-Square(2)
0.4864
0.4843
Test Equation:
Date: 05/25/14 Time: 14:19
Sample: 3 1040
C
AR(1)
AR(2)
MA(1)
MA(2)
RESID(-1)
RESID(-2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
4.47E-07
0.014618
0.002295
-0.010088
0.006300
-0.029627
-0.028110
0.000246
0.071553
0.063598
0.073829
0.064318
0.037115
0.036813
0.001818
0.204298
0.036081
-0.136643
0.097952
-0.798255
-0.763589
0.9985
0.8382
0.9712
0.8913
0.9220
0.4249
0.4453
0.001397
-0.004414
0.007997
0.065939
3542.795
0.240413
0.963111
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-8.39E-07
0.007980
-6.812708
-6.779359
-6.800056
2.002128
USD Returns
Date: 05/25/14 Time: 14:19
MA Backcast: 1 2
C
AR(1)
AR(2)
MA(1)
MA(2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
Coefficient
Std. Error
t-Statistic
Prob.
8.43E-05
-1.841945
-0.966332
1.865845
0.983043
0.000174
0.010730
0.010579
0.009159
0.009041
0.484618
-171.6579
-91.34066
203.7069
108.7301
0.6280
0.0000
0.0000
0.0000
0.0000
0.024812
0.021036
0.005543
0.031744
3922.194
6.570700
0.000032
-.92-.34i
-.93+.34i
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
-.92+.34i
-.93-.34i
8.18E-05
0.005603
-7.547580
-7.523760
-7.538543
2.039807

F-statistic
Obs*R-squared
0.430776
0.866677
Prob. F(2,1031)
Prob. Chi-Square(2)
0.6501
0.6483
Test Equation:
Date: 05/25/14 Time: 14:20
Sample: 3 1040
C
AR(1)
AR(2)
MA(1)
MA(2)
RESID(-1)
RESID(-2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
-1.76E-08
-9.37E-05
4.95E-05
0.000194
0.000207
-0.020707
-0.020663
0.000174
0.010979
0.010856
0.009155
0.009023
0.032223
0.032194
-0.000101
-0.008538
0.004558
0.021228
0.022993
-0.642622
-0.641842
0.9999
0.9932
0.9964
0.9831
0.9817
0.5206
0.5211
0.000835
-0.004980
0.005547
0.031718
3922.628
0.143592
0.990281
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
6.24E-08
0.005533
-7.544562
-7.511214
-7.531910
1.999343
Vector Autoregression
Lag length selection
VAR Lag Order Selection Criteria
Endogenous variables: USDRI CHFRI
Exogenous variables: C
Date: 05/25/14 Time: 14:23
Sample: 1 1302
Lag
LogL
LR
FPE
AIC
SC
HQ
0
1
2
3
4
5
6
7
8
7407.838
7431.294
7432.890
7433.891
7436.930
7439.511
7440.053
7440.572
7442.384
NA
46.77471*
3.176311
1.988292
6.024862
5.106776
1.071295
1.021836
3.564470
2.00e-09
1.93e-09*
1.94e-09
1.95e-09
1.95e-09
1.96e-09
1.97e-09
1.99e-09
1.99e-09
-14.35240
-14.39010*
-14.38545
-14.37963
-14.37777
-14.37502
-14.36832
-14.36157
-14.35733
-14.34283
-14.36139*
-14.33758
-14.31263
-14.29162
-14.26973
-14.24388
-14.21799
-14.19461
-14.34877
-14.37921*
-14.36728
-14.35421
-14.34508
-14.33506
-14.32110
-14.30708
-14.29558
* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion
VAR results
Vector Autoregression Estimates
Date: 05/25/14 Time: 14:22
Standard errors in ( ) & t-statistics in [ ]
USDRI
CHFRI
USDRI(-1)
-0.018996
(0.03123)
[-0.60819]
0.285735
(0.04386)
[ 6.51487]
CHFRI(-1)
-0.008408
(0.02178)
[-0.38602]
-0.079145
(0.03059)
[-2.58760]
8.72E-05
(0.00017)
[ 0.50105]
0.000236
(0.00024)
[ 0.96703]
0.000558
-0.001372
0.032538
0.005604
0.289114
3913.652
-7.527722
-7.513441
8.36E-05
0.005600
0.042478
0.040630
0.064155
0.007869
22.97999
3560.962
-6.848819
-6.834538
0.000239
0.008034
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
1.92E-09
1.91E-09
7481.819
-14.39041
-14.36185
Residual tests
VAR Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag
order h
Date: 05/25/14 Time: 14:24
Sample: 1 1302
Lags
LM-Stat
Prob
1
2
3
4
5
6
7
8
9
10
11
12
2.491034
2.814043
2.565945
7.349331
2.955851
2.068058
0.506624
6.584033
9.069696
3.832363
2.800565
8.754036
0.6462
0.5894
0.6329
0.1185
0.5652
0.7232
0.9729
0.1596
0.0594
0.4292
0.5917
0.0676
Probs from chi-square with 4 df.
Impulse response
Response to Cholesky One S.D. Innovations 2 S.E.

Response of USDRI to USDRI
Response of USDRI to CHFRI
.006
.006
.005
.005
.004
.004
.003
.003
.002
.002
.001
.001
.000
.000
-.001
-.001
1
10
Response of CHFRI to USDRI
10
10
Response of CHFRI to CHFRI
.010
.010
.008
.008
.006
.006
.004
.004
.002
.002
.000
.000
-.002
-.002
1
10
Granger Causality test

VAR Granger Causality/Block Exogeneity Wald Tests
Date: 05/25/14 Time: 14:25
Sample: 1 1302
Dependent variable: USDRI

Excluded
Chi-sq
df
Prob.
CHFRI
0.149014
0.6995
All
0.149014
0.6995
Dependent variable: CHFRI

Excluded
Chi-sq
df
Prob.
USDRI
42.44358
0.0000
All
42.44358
0.0000
Modelling volatility
ARCH/GARCH Models
CHF Returns
Date: 05/25/14 Time: 14:56
Coefficient
Std. Error
z-Statistic
Prob.
2.734451
6.631598
91.17175
0.0062
0.0000
0.0000
Variance Equation
C
RESID(-1)^2
GARCH(-1)
5.57E-07
0.068714
0.923899
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
-0.000922
-0.002852
0.008043
0.067087
3648.254
2.111643
2.04E-07
0.010362
0.010134
Mean dependent var

S.D. dependent var
Schwarz criterion
0.000244
0.008032
-7.010105
-6.995835
-7.004691
Residual tests

F-statistic
Obs*R-squared
0.313551
0.314060
Prob. F(1,1037)
Prob. Chi-Square(1)
0.5756
0.5752
Test Equation:
Date: 05/25/14 Time: 14:58
C
WGT_RESID^2(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
1.021320
-0.017387
0.068563
0.031051
14.89619
-0.559956
0.0000
0.5756
0.000302
-0.000662
1.968204
4017.161
-2176.806
0.313551
0.575630
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
1.003859
1.967554
4.194044
4.203564
4.197655
1.998994
. regress CHFRI
Source |
SS
df
MS
-------------+-----------------------------Model |
Residual |
.067024755
1039
.000064509
-------------+-----------------------------Total |
.067024755
1039
.000064509
Number of obs =
1040
F(
1039) =
0.00
Prob > F
R-squared
0.0000
Adj R-squared =
0.0000
Root MSE
.00803
0,
-----------------------------------------------------------------------------CHFRI |
Coef.
Std. Err.
P>|t|
-------------+---------------------------------------------------------------_cons |
.0002437
.0002491
0.98
0.328
-.000245
.0007324
------------------------------------------------------------------------------
. . estat archlm, lags(1)

--------------------------------------------------------------------------lags(p)
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
0.938
0.3329
--------------------------------------------------------------------------H0: no ARCH effects
vs.
USD Returns
Date: 05/25/14 Time: 15:00
Coefficient
Std. Error
z-Statistic
Prob.
2.756415
7.418559
190.6546
0.0058
0.0000
0.0000
Variance Equation
C
RESID(-1)^2
GARCH(-1)
4.59E-07
0.029916
0.955801
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
-0.000192
-0.002121
0.005607
0.032601
3934.227
2.039073
1.67E-07
0.004033
0.005013
Mean dependent var

S.D. dependent var
Schwarz criterion
7.76E-05
0.005601
-7.560051
-7.545781
-7.554638
Residual tests

F-statistic
Obs*R-squared
0.183365
0.183686
Prob. F(1,1037)
Prob. Chi-Square(1)
0.6686
0.6682
Test Equation:
Date: 05/25/14 Time: 15:01
C
WGT_RESID^2(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
Std. Error
t-Statistic
Prob.
0.996038
0.013297
0.089839
0.031052
11.08697
0.428211
0.0000
0.6686
0.000177
-0.000787
2.713231
7634.003
-2510.344
0.183365
0.668587
Mean dependent var

S.D. dependent var
Schwarz criterion
Durbin-Watson stat
1.009482
2.712163
4.836080
4.845601
4.839692
1.999370
. regress USDRI
Source |
SS
df
MS
-------------+-----------------------------Model |
Residual |
.032595071
1039
.000031372
-------------+-----------------------------Total |
.032595071
1039
.000031372
Number of obs =
1040
F(
1039) =
0.00
Prob > F
R-squared
0.0000
Adj R-squared =
0.0000
0,
Root MSE
.0056
-----------------------------------------------------------------------------USDRI |
Coef.
Std. Err.
P>|t|
-------------+---------------------------------------------------------------_cons |
.0000776
.0001737
0.45
0.655
-.0002632
.0004184
------------------------------------------------------------------------------
. . estat archlm, lags(1)

--------------------------------------------------------------------------lags(p)
chi2
df
Prob > chi2
-------------+------------------------------------------------------------1
1.115
0.2909
--------------------------------------------------------------------------H0: no ARCH effects
vs.
Forecasting
Using ARMA models
CHF Returns
.020
Forecast: CHFRF
Actual: CHFR
Forecast sample: 1041 1302
.015
.010
.005
Root Mean Squared Error

Mean Absolute Error
Mean Abs. Percent Error
Theil Inequality Coefficient
Bias Proportion
Variance Proportion
Covariance Proportion
.000
-.005
-.010
0.008006
0.005444
109.9064
0.968407
0.002774
0.985738
0.011489
-.015
-.020
1050
1100
1150
CHFRF
1200
1250
1300
2 S.E.
USD Returns
.020
Forecast: USDRFF
Actual: USDRF
Forecast sample: 1041 1302
.015
.010
.005
Root Mean Squared Error

Mean Absolute Error
Mean Abs. Percent Error
Theil Inequality Coefficient
Bias Proportion
Variance Proportion
Covariance Proportion
.000
-.005
-.010
-.015
-.020
1050
1100
1150
USDRFF
1200
2 S.E.
1250
1300
0.000363
0.000214
254.6316
0.793899
0.000065
0.999236
0.000699
Forecasting using VAR

Using VAR (1 lag)
CHFR
.06
.04
.02
.00
-.02
-.04
-.06
1050
1100
Actual
1150
1200
1250
1300
CHFR (Baseline Mean)
USDR
.04
.02
.00
-.02
-.04
1050
1100
Actual
1150
1200
1250
USDR (Baseline Mean)
1300

Summary Statistics Final

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Summary Statistics Final

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Summary Statistics

Correlogram of raw data - CHF

Correlogram of raw data USD

Unit Root Tests

Augmented Dickey-Fuller test statistic

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

KPSS test for CHF raw data

Asymptotic critical values*:

*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)

Residual variance (no correction)

KPSS Test Equation

Mean dependent var

Phillips Perron Test for CHF raw data

Phillips-Perron test statistic

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction)

Phillips-Perron Test Equation

Mean dependent var

Augmented Dickey Fuller for USD raw data

Augmented Dickey-Fuller test statistic

Test critical values:

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

KPSS test for USD raw data

Asymptotic critical values*:

*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)

Residual variance (no correction)

KPSS Test Equation

Mean dependent var

Phillips Perron test for USD raw data

Phillips-Perron test statistic

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction)

Phillips-Perron Test Equation

Mean dependent var

Correlogram of CHF returns

Correlogram of USD returns

Graph of CHF returns

Graph of USD returns

Unit root tests of returns

Augmented Dickey-Fuller test statistic

Test critical values:

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Mean dependent var

KPSS test of CHF returns

Asymptotic critical values*:

*Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1)

Residual variance (no correction)

KPSS Test Equation

Mean dependent var

Phillips Perron test of CHF returns

Phillips-Perron test statistic

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction)

Phillips-Perron Test Equation

Mean dependent var

Augmented Dickey Fuller test of USD returns

Augmented Dickey-Fuller test statistic

Test critical values: