Date

1/3/2000
2/1/2000
3/1/2000
4/3/2000
5/1/2000
6/1/2000
7/3/2000
8/1/2000
9/1/2000
10/2/2000
11/1/2000
12/1/2000
1/2/2001
2/1/2001
3/1/2001
4/2/2001
5/1/2001
6/1/2001
7/2/2001
8/1/2001
9/4/2001
10/1/2001
11/1/2001
12/3/2001
1/2/2002
2/1/2002
3/1/2002
4/1/2002
5/1/2002
6/3/2002
7/1/2002
8/1/2002
9/3/2002
10/1/2002
11/1/2002
12/2/2002
1/2/2003
2/3/2003
3/3/2003
4/1/2003
5/1/2003
6/2/2003
7/1/2003
8/1/2003

Open
148.25
139.75
137.63
150.13
146.56
143.69
145.44
143.63
153.25
144.28
142.25
133.19
132
137.1
124.05
116.3
125.07
126.2
122.8
121.97
113.85
103.9
106.6
113.65
115.11
113.09
111.72
114.23
107.97
107.09
99.18
90.88
90.73
82.43
88.35
95.47
88.85
86.14
85.26
85.25
91.92
97.53
97.25
99.19

High
148.25
144.56
155.75
153.11
148.48
149.16
151.98
153.09
153.59
145.75
144.3
139.56
138.7
137.99
127.75
127.27
132.09
129.23
124.32
123.25
116.17
111.79
116.9
118
117.99
113.3
117.9
115.1
111.25
107.6
99.8
97.15
93.33
91.29
94.95
96.05
93.86
86.81
89.88
92.8
97.09
102.18
101.9
101.82

Low
135
132.72
135.03
133.5
136.5
143
141.52
142.63
142.13
130.16
129.75
125.53
127.56
121.8
108.04
109.3
123.44
120.4
116.75
112.04
93.8
102.83
105.7
112
108.4
107.82
111.51
106.63
104.9
95.19
77.68
83.55
80.9
77.07
87.45
87.11
84.15
81
79.38
84.91
90.5
96.67
96.43
96.34

Close
139.56
137.44
150.38
145.09
142.81
145.28
143
152.34
143.63
142.95
132.28
131.19
137.02
123.95
116.69
126.66
125.95
122.6
121.35
114.15
104.44
105.8
114.05
114.3
113.18
111.15
114.52
107.86
107.22
98.96
91.16
91.78
81.79
88.52
93.98
88.23
86.06
84.9
84.74
91.91
96.95
97.63
99.39
101.44

Volume
8376900
9759000
11167100
12525700
7594500
6116600
5602200
4662100
6126800
8461100
7995300
8709500
9095300
10180600
14880400
13130300
9905100
10162000
9943300
12416700
29389500
23510200
18390200
16151100
17585200
23592000
20155500
19269700
21475100
28153300
53132600
43934400
54346200
60255100
41881400
36301000
46030300
47679700
57999500
49753400
44478000
42919900
43190800
38162300

Adj Close
113.45
111.73
122.56
118.25
116.39
118.68
116.82
124.45
117.63
117.07
108.33
107.73
112.52
101.79
96.08
104.29
103.71
101.23
100.2
94.26
86.56
87.69
94.53
94.74
93.81
92.13
95.19
89.65
89.12
82.54
76.04
76.56
68.53
74.17
78.74
74.29
72.46
71.48
71.64
77.7
81.96
82.83
84.33
86.06

9/2/2003
10/1/2003
11/3/2003
12/1/2003
1/2/2004
2/2/2004
3/1/2004
4/1/2004
5/3/2004
6/1/2004
7/1/2004
8/2/2004
9/1/2004
10/1/2004
11/1/2004

101.64
100.24
105.75
106.85
111.74
113.7
115.43
113.07
111.37
112.46
114.25
110.19
110.95
112.26
113.56

104.7
105.97
106.95
111.52
116.5
116.6
116.97
115.41
113.26
114.94
114.4
111.63
113.74
114.68
119.14

99.25
100.2
103.62
105.96
110.73
112.78
108.85
110.9
108.06
111.87
108.21
106.59
110.41
109.35
113.2

99.95
105.3
106.45
111.28
113.48
115.02
113.1
110.96
112.86
114.53
110.84
111.11
111.76
113.2
117.89

42346500
37280900
33745300
32266000
38432900
37699400
51022600
48442900
50222500
36862400
47438100
43955300
39734600
52042400
48346900

85.13
89.68
90.66
95.22
97.11
98.42
97.12
95.28
96.91
98.71
95.53
95.76
96.72
97.97
102.33

12/1/2004

118.16

121.66

117.73

120.87

42628100

105.41

1/3/2005

121.56

121.76

116.37

118.16

61837200

103.05

2/1/2005

118.25

121.67

118.1

120.63

57631000

105.2

3/1/2005
4/1/2005
5/2/2005
6/1/2005
7/1/2005
8/1/2005
9/1/2005
10/3/2005
11/1/2005
12/1/2005
1/3/2006
2/1/2006
3/1/2006
4/3/2006
5/1/2006
6/1/2006
7/3/2006
8/1/2006
9/1/2006
10/2/2006
11/1/2006
12/1/2006
1/3/2007
2/1/2007
3/1/2007
4/2/2007

120.82
118.63
116.07
119.52
119.45
123.83
122.52
122.96
120.58
126.02
125.19
127.82
128.6
130.07
131.47
127.38
127.43
127.34
131.14
133.54
138.22
140.53
142.25
144.15
139.34
142.16

123.25
119.26
120.25
121.94
124.64
124.74
124.74
123.34
127.41
128.09
129.44
130.04
131.47
131.86
132.8
129.43
128.14
131.04
133.99
139
141.16
143.24
144.13
146.42
143.81
149.8

116.25
113.55
114.8
118.75
118.26
120.38
120.44
116.88
120.13
124.36
124.39
125.4
127.18
128.02
124.76
122.34
122.39
126.28
129.35
132.65
135.62
138.97
140.25
139
136.75
141.48

117.96
115.75
119.48
119.18
123.74
122.58
123.04
120.13
125.41
124.51
127.5
128.23
129.83
131.47
127.51
127.28
127.85
130.64
133.58
137.79
140.53
141.62
143.75
140.93
142
148.29

63414700
82729100
65620200
52345900
61933200
61283000
63563200
88679300
59035200
53228200
65342300
64191500
61465300
71378000
83621500
100820700
87044700
63385000
70582700
68846200
75526300
62910900
71109900
88004400
138477200
94608200

103.28
101.34
104.61
104.77
108.77
107.75
108.62
106.05
110.71
110.5
113.15
113.8
115.68
117.14
113.61
113.91
114.42
116.92
120.07
123.86
126.32
128.01
129.93
127.38
128.86
134.57

5/1/2007
6/1/2007
7/2/2007
8/1/2007
9/4/2007
10/1/2007
11/1/2007
12/3/2007
1/2/2008
2/1/2008
3/3/2008
4/1/2008
5/1/2008
6/2/2008
7/1/2008
8/1/2008
9/2/2008
10/1/2008
11/3/2008
12/1/2008
1/2/2009
2/2/2009
3/2/2009
4/1/2009
5/1/2009
6/1/2009
7/1/2009
8/3/2009
9/1/2009
10/1/2009
11/2/2009
12/1/2009
1/4/2010
2/1/2010
3/1/2010
4/1/2010
5/3/2010
6/1/2010
7/1/2010
8/2/2010
9/1/2010
10/1/2010
11/1/2010
12/1/2010
1/3/2011

148.42
153.88
150.87
145.18
147.45
152.6
153.29
148.19
146.53
137.94
133.14
133.61
138.38
139.83
126.52
127.12
130.03
115.27
96.78
87.51
90.44
81.57
72.52
78.53
87.44
93.67
92.34
99.85
101.95
103
104.13
110.92
112.37
108.15
111.2
117.8
119.38
108.35
103.15
111.99
106.73
114.99
119.07
120.2
126.71

153.89
154.4
155.53
150.59
154.39
157.52
153.41
152.89
146.99
139.61
135.81
140.59
144.3
140.89
129.16
131.51
130.71
116.69
100.86
92.43
94.45
87.74
83.3
89.02
93.7
96.11
99.83
104.35
108.06
110.31
111.74
113.03
115.14
111.58
118.17
122.12
120.68
113.2
112.29
113.18
115.79
119.76
122.95
126.2
130.35

147.67
148.06
145.04
137
144.33
148.66
140.66
143.96
126
131.73
126.07
132.33
137.52
127.04
120.02
124.76
110.53
83.58
74.34
81.86
80.05
73.81
67.1
78.33
86.72
88.85
87
98.11
99.57
101.99
103.08
109.02
107.22
104.58
111.17
117.1
104.38
102.88
101.13
104.29
106.66
113.18
117.59
120.19
125.7

153.32
150.43
145.72
147.59
152.58
154.65
148.66
146.21
137.37
133.82
131.97
138.26
140.35
127.98
126.83
128.79
115.99
96.83
90.09
90.24
82.83
73.93
79.52
87.42
92.53
91.95
98.81
102.46
105.59
103.56
109.94
111.44
107.39
110.74
117
118.81
109.37
103.22
110.27
105.31
114.13
118.49
118.49
125.75
128.68

119229300
176313600
205031000
277452000
163177900
177001000
271219900
170095700
307167300
220182200
281440600
191956700
179255100
269879800
337891300
215877300
401587700
534504800
467397100
323359700
362760400
407663300
417157600
301163100
272718800
240170100
204691000
196839300
192016100
218514000
179587000
135205600
211448400
243447400
176551500
197956600
385590600
272280000
235498600
218904700
205845200
186276000
200838500
127907600
150478100

139.13
137.1
132.81
134.51
139.72
141.61
136.13
134.6
126.46
123.19
122.09
127.91
129.84
118.99
117.92
119.74
108.47
90.55
84.25
85.07
78.09
69.7
75.5
83
87.85
87.8
94.35
97.83
101.3
99.35
105.47
107.49
103.58
106.81
112.85
114.6
105.49
100.03
106.87
102.06
111.2
115.45
115.45
123.17
126.04

2/1/2011
3/1/2011
4/1/2011
5/2/2011
6/1/2011
7/1/2011
8/1/2011
9/1/2011
10/3/2011
11/1/2011
12/1/2011
1/3/2012
2/1/2012

129.46
133.57
133.41
137.07
134.51
132.09
130.84
122.29
112.49
122.03
124.85
127.76
132.29

134.69
133.69
136.57
137.18
134.92
135.7
130.96
123.4
129.42
128.02
127.26
133.4
134.62

129.38
125.28
129.51
131.38
126.19
127.97
110.27
111.3
107.43
116.2
120.03
126.43
132.13

133.15
132.59
136.43
134.9
131.97
129.33
122.22
113.15
125.5
124.99
125.5
131.32
134.45

155864500
213912800
146399300
166778000
224277400
207393800
406620800
308413100
283279500
254230300
187820700
152051600
163775900

130.41
130.43
134.21
132.7
130.46
127.85
120.82
112.44
124.71
124.2
125.5
131.32
134.45

%RET
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?

WMA
EWMA
#NAME? Err:512
#NAME? Err:512
#NAME?
0.37%
#NAME?
2.30%
#NAME?
2.39%
#NAME?
2.35%
#NAME?
2.33%
#NAME?
2.29%
#NAME?
2.71%
#NAME?
2.97%
#NAME?
2.88%
#NAME?
3.38%
#NAME?
3.28%
#NAME?
3.35%
#NAME?
4.07%
#NAME?
4.19%
#NAME?
4.53%
#NAME?
4.40%
#NAME?
4.31%
#NAME?
4.18%
#NAME?
4.32%
#NAME?
4.68%
#NAME?
4.55%
#NAME?
4.78%
#NAME?
4.63%
#NAME?
4.50%
#NAME?
4.39%
#NAME?
4.33%
#NAME?
4.44%
#NAME?
4.31%
#NAME?
4.58%
#NAME?
4.88%
#NAME?
4.73%
#NAME?
5.33%
#NAME?
5.52%
#NAME?
5.55%
#NAME?
5.56%
#NAME?
5.43%
#NAME?
5.27%
#NAME?
5.11%
#NAME?
5.34%
#NAME?
5.34%
#NAME?
5.19%
#NAME?
5.05%

STDEV
1200%

%RET (LHS)

1000%
800%
600%
400%
200%

4.871%
5.656%
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
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#DIV/0!

0%
1/1/2000

1/1/2002

Descriptive Statistics
AVERAGE:
STD DEV:
SKEW:
EXCESS-KURTOSIS:

0.12%
4.73%
-0.61
1.02

MEDIAN: 0.68%
MIN: -18.06%
MAX: 10.36%
Q 1: -1.94%
Q 3: 3.07%

Correlogram Analysis
Lag
ACF
UL
1
14.14%
16.28%
2
-4.63%
16.28%
3
14.65%
16.60%
4
10.04%
16.63%
5
1.15%
16.97%
6
-11.50%
17.13%
7
3.01%
17.13%
8
1.09%
17.33%
9
-10.05%
17.35%
10
-3.66%
17.35%
11
3.61%
17.50%

1/1/2004

#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?

4.92%
4.78%
4.80%
4.66%
4.68%
4.56%
4.43%
4.31%
4.21%
4.10%
4.00%
3.96%
3.84%
3.73%
3.63%

#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

12
13
14
15
16
17
18

#NAME?

#NAME?

3.68%

#DIV/0!

EGARCH(1,1)
Param

#NAME?

#NAME?

3.64%

#DIV/0!

0.31

#NAME?

#NAME?

3.57%

#DIV/0!

-0.58

#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?

3.50%
3.42%
3.35%
3.34%
3.24%
3.27%
3.18%
3.09%
3.05%
3.14%
3.05%
3.01%
2.92%
2.86%
2.79%
2.81%
2.72%
2.64%
2.62%
2.62%
2.65%
2.61%
2.56%
2.50%
2.48%
2.42%

#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!

-0.46

Mean
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%
0.12%

STD
4.27%
4.85%
4.57%
4.70%
4.64%
4.67%
4.65%
4.66%
4.66%
4.66%
4.66%
4.66%
4.66%
4.66%
4.66%
4.66%
4.66%
4.66%

Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Jul-13
Aug-13

Step
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18

5.42%
-5.84%
-10.86%
6.88%
7.79%
-12.39%
-1.96%

17.52%
17.54%
17.59%
17.64%
17.81%
17.89%
17.97%

Value
0.12%
-9.23

#NAME?
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2.57%
2.62%
2.57%
2.61%
2.55%
2.64%
2.58%
2.68%
2.62%
2.96%
2.94%
2.86%
3.00%
2.93%
3.56%
3.45%
3.37%
4.07%
5.93%
6.01%
5.83%
6.03%
6.48%
6.58%
6.79%
6.72%
6.52%
6.56%
6.42%
6.29%
6.11%
6.11%
5.94%
5.83%
5.70%
5.69%
5.53%
5.73%
5.71%
5.77%
5.70%
5.91%
5.81%
5.63%
5.68%

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#NAME?
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5.54%
5.44%
5.27%
5.16%
5.01%
4.87%
4.75%
4.81%
4.98%
5.46%
5.29%
5.14%
5.10%

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1/2002

%RET (LHS)

WMA(lhs)

8%

EWMA(RHS)

7%
6%
5%
4%
3%
2%
1%

1/1/2004

1/1/2006

1/1/2008

Significance Test
Target
P-Value
0.000
38.30%
0.000
0.000

LL
-16.28%
-16.28%
-16.60%
-16.63%
-16.97%
-17.13%
-17.13%
-17.33%
-17.35%
-17.35%
-17.50%

PACF
14.16%
-6.86%
17.00%
4.83%
0.96%
-14.53%
5.52%
-3.17%
-6.76%
0.14%
3.03%

0.15%
1.05%

UL
16.28%
16.28%
16.28%
16.28%
16.28%
16.28%
16.28%
16.28%
16.28%
16.28%
16.28%

5.00%
SIG?
0.000

0%
1/1/2012

1/1/2010

Test
White-noise
Normal Distributed?
ARCH Effect?

1.000
1.000

LL
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%

20%
10%
0%
-10%

-20%

20%
10%
0%
-10%
-20%

20%
10%

-17.52%
-17.54%
-17.59%
-17.64%
-17.81%
-17.89%
-17.97%

6.15%
-5.33%
-10.18%
7.18%
6.17%
-11.71%
3.63%

16.28%
16.28%
16.28%
16.28%
16.28%
16.28%
16.28%

Goodness-of-fit
LLF
AIC
241.50

-16.28%
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%
-16.28%

0%
-10%

-20%

Residuals (standardized) A
AVG
0.03

CHECK
-476.99

1
Target

0.00

SIG? #NAME?
VL
4.66%

TS
4.27%
4.57%
4.57%
4.60%
4.61%
4.62%
4.62%
4.63%
4.63%
4.63%
4.64%
4.64%
4.64%
4.64%
4.64%
4.64%
4.64%
4.64%

UL
8.53%
9.60%
9.09%
9.32%
9.21%
9.26%
9.24%
9.25%
9.25%
9.25%
9.25%
9.25%
9.25%
9.25%
9.25%
9.25%
9.25%
9.25%

LL
-8.29%
-9.36%
-8.85%
-9.08%
-8.97%
-9.02%
-9.00%
-9.01%
-9.01%
-9.01%
-9.01%
-9.01%
-9.01%
-9.01%
-9.01%
-9.01%
-9.01%
-9.01%

4.9%
4.8%
4.7%
4.6%
4.5%
4.4%
4.3%
4.2%

Apr-12
Jun-12
Mar-12
May-12
J

8%

SPDR

7%

140

6%

130

5%

120

4%

110

3%

100
90

2%

80

1%

70
60
1/1/2000

0%
1/1/2012

p-value
9.06%
0.09%
0.01%

1/1/2002

1/1/2004

1/1/2006

1/1/2008

1/1/2010

1/1/2012

SIG?
1.000
0.000
1.000

ACF

10

11

12

13

14

15

16

17

18

PACF

10

11

12

13

14

15

16

17

18

PACF

10

11

12

13

14

15

16

esiduals (standardized) Analysis

STDEV
SKEW KURTOSIS Noise? Normal? ARCH?
0.99
-0.36
0.18
#NAME? #NAME? #NAME?
1.00

0.00

0.00

#NAME?

#NAME?

#NAME?

4.9%
4.8%
4.7%
4.6%
4.5%
4.4%

GARCH (Local)
Term Structure

4.3%
4.2%
Apr-12
Jun-12
Aug-12
Oct-12
Dec-12
Feb-13
Mar-12
May-12
Jul-12
Sep-12
Nov-12
Jan-13

17

18

1200%

Returns(%)

1000%
800%
600%
400%
200%
0%
1/1/2000

10

1/1/2012

ACF
UL
LL
16

17

18

PACF
UL
LL
16

17

18

1/1/2002

1/1/2004

1/1/2006

1/1/2008

1/1/2010

1/1/2012

PACF
UL
LL
16

ocal)

cture

17

18

10

1/1/2012