You are on page 1of 7

Huiswerk week 5 Jasper Kunst 6065082

1.a
JPNISSAN
200,000
180,000
160,000
140,000
120,000
100,000
80,000
60,000
80

82

84

86

88

90

92

94

96

98

00

Date: 11/30/11 Time: 11:05
Sample: 1980M01 2001M03
Included observations: 255
Autocorrelation
.|**** |
.|**** |
.|***** |
.|***** |
.|**** |
.|**** |
.|**** |
.|***** |
.|**** |
.|*** |
.|*** |
.|******|
.|*** |
.|*** |
.|**** |
.|**** |
.|*** |
.|*** |
.|*** |
.|**** |
.|*** |
.|** |
.|** |
.|**** |
.|** |
.|** |
.|** |
.|*** |

Partial Correlation
.|**** |
.|*** |
.|*** |
.|*** |
.|* |
.|. |
*|. |
.|* |
.|* |
*|. |
**|. |
.|***** |
***|. |
*|. |
.|. |
.|* |
.|. |
.|. |
.|. |
.|. |
.|. |
.|. |
*|. |
.|. |
*|. |
.|. |
.|. |
.|. |

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

AC

PAC

0.585
0.581
0.665
0.686
0.581
0.571
0.548
0.634
0.574
0.443
0.441
0.767
0.408
0.418
0.498
0.535
0.443
0.425
0.405
0.499
0.434
0.304
0.304
0.584
0.257
0.262
0.337
0.379

0.585
0.363
0.414
0.368
0.089
0.010
-0.111
0.158
0.101
-0.186
-0.251
0.643
-0.364
-0.136
0.016
0.133
0.029
-0.055
-0.034
-0.025
-0.025
-0.007
-0.085
0.045
-0.067
-0.056
0.044
0.058

Q-Stat
88.341
175.81
290.88
413.64
502.04
587.99
667.35
774.12
861.79
914.39
966.55
1125.3
1170.3
1217.8
1285.5
1364.1
1418.1
1468.1
1513.5
1583.0
1635.6
1661.6
1687.6
1784.4
1803.2
1822.9
1855.5
1896.9

Prob
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

079892 0.000 0.|.551906 16489. .0000 0.256 0.5 1955.0000 0.443 -0.275 0.32613 2.000 0.56 6.805 52. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.11445 0.Huiswerk week 5 Jasper Kunst 6065082 .|.* -2.28644 22. Linear Trend Lag Length: 4 (Fixed) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob. JPNISSAN(-1) D(JPNISSAN(-1)) D(JPNISSAN(-2)) D(JPNISSAN(-3)) D(JPNISSAN(-4)) C @TREND(1980M01) -0.2581 *MacKinnon (1996) one-sided p-values.48914 -2.40 22.004 0.43523 0.|* .211818 -0.5 1988.000 0.71 24.063 1919.0085 0.3600 24633.|.4 2028.113 -0.0094 0.096184 0.|.3 2010.087225 0.|. .D.522398 -0.2 0.|* . .060 -0.617167 -2.171 0. Augmented Dickey-Fuller Test Equation Dependent Variable: D(JPNISSAN) Method: Least Squares Date: 11/30/11 Time: 11:26 Sample (adjusted): 1980M06 2001M03 Included observations: 250 after adjustments Variable Coefficient Std.651314 -3. | | | | | | | | 29 30 31 32 33 34 35 36 0.000000 Mean dependent var S.427902 -3.026 -0.000 0.6 2019.38504 22.|*** | | | | | | | | . Verkregen door de regressie uit te voeren die ook in de DF testequation hierboven gebruikt werden. en ook een trendterm ookal weten we niet zeker of dat nodig is.000 0. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.83 -59.000 Veel autocorrelatie en partiële autocorrelatie maar dat is geen reden om de log te nemen.|* .0000 0. .|** .427003 0.000 0.139763 36309.|** .995189 -3.|. .|** . Error t-Statistic Prob.E.241 0.0284 0.027 -0. We nemen wel een constante op. De Dicky-Fuller test zonder trend term geeft nog minder reden om te verwerpen.334 0. De residuen van de DFtest met trendterm. b.000 0. Null Hypothesis: JPNISSAN has a unit root Exogenous: Constant. . Want er is geen duidelijke trend.0160 R-squared Adjusted R-squared S.562703 0.063370 13873.|** .091914 0.|** . .3 1938.205494 2.288145 -8.820180 -0.015312 We verwerpen niet. Ook lijkt er een seizoenseffect te zijn wat in de autocorrelatie met lag 12/24/36 terug komt.853715 -0. Het is beter om de trend wel op te nemen en een groter kritiek gebied te krijgen dan dat we hem weglaten terwijl dit onterecht is.527158 -5.137310 0.278 0.651314 -9. Durbin-Watson stat -215.|.5 2087.019 0.022 0.989104 -2.175 0.61E+10 -2778.

|.120 -0.229 -0. | . | *|.004 0.29 Prob 0.|.000 160.|.|.|.|***** | ***|.3054 12.|.007 -0.039 -0.|* | .36 142.|.|.036 -0. | .|.|.000 .042 -0.052 0.123 0. | .018 -0.51 144.000 0 -20. | .0210 2.907 0.010 0.|.93 250.136 -0.59 249.|.000 0. | .|.|.008 -0.083 0.007 -0.000 80 82 84 86 88 90 Residual 92 94 Actual 96 98 00 Fitted Date: 11/30/11 Time: 11:39 Sample: 1980M01 2001M03 Included observations: 250 Autocorrelation . | .017 0.|**** | **|.000 0.|.276 0. | *|.|. | .|.138 0. | *|. | *|.167 0. | 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 AC PAC -0.|. | *|.533 -0. | .|* | .93 148.|* | . | .110 -0.000 -60.089 Q-Stat 0.147 -0.055 0. | .000 60. | .72 135.047 -0.000 0.059 -0.078 0.042 0.000 0.000 0.84 132.123 0.54 232.000 0.605 0. | . | .000 40. | .000 120.012 0.000 0. | . | *|.|.172 0.225 -0.511 0.7664 7.64 144.454 0.45 249.000 0.000 0. | . | .|.046 0.|. | .072 0. | .110 -0.|.000 0.000 0.|* | .040 -0.018 -0.|. | .1262 1.000 -40.457 -0.000 0.|.798 0.043 0.|.105 -0.Huiswerk week 5 Jasper Kunst 6065082 200.000 20.000 0. | .222 -0.935 118.000 0. | . | . | .000 40.000 80.000 0.034 0.162 0.1148 0. | .24 142.011 -0.|**** | **|.863 0.3592 6.|. | .611 -0. | .|.035 0.989 0.035 -0.632 -0.|.000 0.|. | .095 -0. | *|.130 -0.62 246.074 0.016 -0. | *|. | . | .000 0.070 -0.|* | .|* | .011 -0.027 0.006 0. | .27 153.|* | .046 0.038 0.|.96 135. | . | *|.29 136. | *|.143 19. | *|.0297 0.2376 7.060 -0. | *|.|. | .0529 6. | Partial Correlation .417 0.944 0.55 249.|** | *|.116 -0.96 136.

040753 0.1722 3.59710 Prob.a Dependent Variable: D(TBILL) Method: Least Squares Date: 12/04/11 Time: 18:01 Sample (adjusted): 1962M02 2011M11 Included observations: 598 after adjustments Variable Coefficient Std.000 0.75 267.036244 0.148088 0. | | | | | | | 30 31 32 33 34 35 36 0.|**** | *|.151 0.|.548951 2.0834 R-squared Adjusted R-squared S.057062 -0. | *|.035 250.000000 Mean dependent var S.0000 0.484 -0. .17 256.42 336.17 256.E.122 -0.|.037980 4.29 0.D. C TBILL(-1) 0.400201 -1.038 -0.archtest(1) Heteroskedasticity Test: ARCH F-statistic Obs*R-squared 98.487737 141. Error t-Statistic Prob.028 -0.4700 98.000 Er komt nog steeds autocorrelatie voor in de residuen dus deze zijn niet homoskedatisch wat wel vereist is.857708 437.141704 0. 2.|. F(1.376435 0. | .7192 -754.726987 de arch(1) test.ls D(tbill) c tbill(-1) eq1.925031 2.069237 .000 0. | .41 260. .Huiswerk week 5 Jasper Kunst 6065082 . *|.|.083417 Mean dependent var S. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. | .005020 0. Durbin-Watson stat 0. | *|. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.064 0.534238 2.410979 1.0000 R-squared Adjusted R-squared S.006796 1.|.911296 0.488556 1.067 -0.E. C RESID^2(-1) 0.237486 0.001 -0.539967 2.419952 1.23378 84.114 -0.007104 0.1620 0.000 0.7809 -418.000 0. Error t-Statistic Prob.D.011784 0.70 256.0000 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 12/04/11 Time: 18:01 Sample (adjusted): 1962M03 2011M11 Included observations: 597 after adjustments Variable Coefficient Std.000 0.595) Prob. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.003351 0. | *|.23378 0.091 0.|. uitgevoerd door in de codebalk te tikken: equation eq1.045 -0.019 -0.734100 0. .0000 0.085883 9. Chi-Square(1) 0.000 0.|.140261 0.405258 1. . *|.138 0. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat -0.004565 0.

085883 9.140261 0.Huiswerk week 5 Jasper Kunst 6065082 de correlogram van de residuen.000 0.301 0.143 0. | 3 -0.911296 0.376435 0.809 0. .000 0.|* .|* .35 310.130 0.007 . | *|.148088 0.|* | . dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Date: 12/04/11 Time: 18:02 Sample: 1962M01 2011M11 Included observations: 598 Autocorrelation Partial Correlation AC PAC Q-Stat Prob .|** .000 *|.085 48.028 12.066 26.153 -0.|* .096 -0.|.159 38.59 231.064 0. .092 0.125 21.142 0.|* | .|** .536 0.539967 2.16 300.113 -0.002 *|.|* | 8 0.000 0.99 315.42 126.|* | 1 0.000 0.136 0.52 150.096 -0. | .035 11.289 0.0000 0.105 0. | .125 0.847 0.029 13.276 0.|* | .341 0.019 *|.141704 0.|* .235 0.000 0.000 0.|* .000 .181 0.039 13.036244 0. C RESID2(-1) 0.000 0.376 0.136 11.|.000 0.|* .b. | 10 0. . Error t-Statistic Prob.|.|.|.108 63.125 0.146 114. | 4 -0.|.316 0.136 0.|* .138 Q-Stat Prob 85.10 286.|.000 0.000 alles voorbij lag 12 had een q statistic groter dan 390 dus weggelaten.036 0.347 0. | 12 -0.000 .118 0.|.078 0.|* | . | 5 0.D. | 6 -0. | .037980 4.|* .132 0.4700 98.|.763 0. of regression Sum squared resid Log likelihood F-statistic 0.|* .001 . | *|.7192 -754.534238 2.|* .000 .|. .|.068 54.196 0.|** | | | | | | | | | | | | Partial Correlation .64 0.045 0.034 -0.018 0.|** .064 0.|* | 9 0.016 -0.000 Alles na lag 12 had een q statistic van groter dan 63 dus weinig zinnig om neer te zetten.|. .221 0.89 387.128 0.|** .0000 R-squared Adjusted R-squared S.202 0.|*** .|.069237 .073 0.067 58. | *|.|* AC | | | | | | | | | | | | 1 2 3 4 5 6 7 8 9 10 11 12 PAC 0. Durbin-Watson stat 0.548951 2.E.|. Date: 12/04/11 Time: 18:11 Sample: 1962M01 2011M11 Included observations: 598 Autocorrelation .|* .000 . 2. | 11 0. | 2 -0.237486 0.376 0.81 170. | 7 -0.000 0.96 340.925031 2. | .045 0.201 0.003 .|.23378 Mean dependent var S. Dependent Variable: RESID2 Method: Least Squares Date: 12/04/11 Time: 18:26 Sample (adjusted): 1962M03 2011M11 Included observations: 597 after adjustments Variable Coefficient Std. | .857708 437.037 0.090 -0.046 -0.000 0.|.010 .|*** .

000000 Mean dependent var S.006875 Dependent Variable: RESID2 Method: Least Squares Date: 12/04/11 Time: 18:40 Sample (adjusted): 1962M05 2011M11 Included observations: 595 after adjustments Variable Coefficient Std. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. C RESID2(-1) RESID2(-2) RESID2(-3) 0.0000 0. Durbin-Watson stat 0. Dus ik zou een constante en 2 lags van de kwadratische storingstermen meenemen. .338294 0.925756 2.341771 0. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.9990 -751.545855 2.0680 0.036688 0.040891 0.037352 0.E.0250 R-squared Adjusted R-squared S.495097 8.D. Error t-Statistic Prob. Dependent Variable: D(TBILL) Method: ML .77380 0.000000 Mean dependent var S. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat 0.134719 0.Normal distribution Date: 12/04/11 Time: 19:11 Sample (adjusted): 1962M02 2011M11 Included observations: 598 after adjustments Convergence achieved after 42 iterations Presample variance: backcast (parameter = 0.043275 0.091918 0.040891 3.0003 0.672046 8.926484 2.238281 0. Error t-Statistic Prob.7) GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*RESID(-2)^2 + C(6)*RESID(-3)^2 Variable Coefficient Std.150033 0.3756 -749.247871 0. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.000000 Dependent Variable: RESID2 Method: Least Squares Date: 12/04/11 Time: 18:36 Sample (adjusted): 1962M04 2011M11 Included observations: 596 after adjustments Variable Coefficient Std.0000 0.Huiswerk week 5 Jasper Kunst 6065082 Prob(F-statistic) 0.3639 R-squared Adjusted R-squared S.855494 433.D.0005 0.9738 34.908692 0.828042 0.145719 0.010658 De AIK en BIC criteria veranderen nauwelijks maar de t-test voor significantie van de coëfficiënten laat zien dat de derde coëfficiënt niet significant meer is.146034 0.148904 0.534366 2.041106 0.552844 2.856325 433.E.1622 51. C RESID2(-1) RESID2(-2) 0.563869 2.539351 2.041106 3.530746 2.(p=2) 2c.87446 0.ARCH (Marquardt) .237884 0.129924 0.229841 1. Error z-Statistic Prob.079109 0.358067 2.037173 0.

402582 0.389270 0.13 α voor e2 t-1 0.713169 0.0000 0.856282 0. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) OLS (met keuze voor α1α3) ARCH(3) 0.013 0.023841 0.013014 0.004565 0.18 2d. Durbin-Watson stat -0.024 0. De coëfficiënten komen aardig overeen voor beta 1 en beta 2.063181 0.003505 2.002201 0.051486 Mean dependent var S.0000 0.83062 6.0004 Variance Equation C RESID(-1)^2 RESID(-2)^2 RESID(-3)^2 R-squared Adjusted R-squared S.0002 10. Maar ik zou nu denk ik toch de derde lag voor de residuen ook meenemen.69 0.E.0293 -174. .183961 0.Huiswerk week 5 Jasper Kunst 6065082 C TBILL(-1) 0. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter.086124 0.003277 -0.0299 0.0000 0.648794 0.057 Beta2 -0.005141 0.09 αt-3 0.043435 -0.171881 -3.489810 142.40 0.488556 0.8087 0.011 α 0.573009 0.621874 1.036880 3.721852 Beta1 0.043 -0.3 αt-2 0.692170 0.019999 0.371864 8.604711 0.D.