Microsoft Word - MAF759_Assignment_2020 T1.doc Page 1 MAF759 - ANALYTICAL METHODS Trimester 1, 2020 MAJOR ASSIGNMENT Due date: 12th May 2020  An electronic copy of the assignment has to be uploaded...

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    Date    NASDAQ    INTC    MSFT        Return                    4)
    1/1/10    2300.05    15.05    23.9        INTC    MSFT    NASDAQ            (i)
    1/8/10    2316.74    15.69    24.3        0.0425249169    0.0167364017    0.007256364            Ho:    mean returns of NASDAQ index is not significantly different from zero. u = 0
    1/15/10    2265.7    15.22    23.56        -0.0299553856    -0.0304526749    -0.0220309573            h1:    mean returns of NASDAQ index is significantly different from zero. U =/=0
    1/22/10    2179    14.55    22.89        -0.044021025    -0.0284380306    -0.0382663195
    1/29/10    2125.43    13.89    21.85        -0.0453608247    -0.0454346876    -0.0245846719            alpha =     1%
    2/5/10    2177.41    14.77    22.07        0.0633549316    0.0100686499    0.0244562277
    2/12/10    2241.71    15.34    22.74        0.03859174    0.030357952    0.0295304972            test statistic, z = (Mean-u)/(sd/sqrt(n))
    2/19/10    2234.22    15.19    22.55        -0.0097783572    -0.008355321    -0.0033411994            z =     67.2608171651
    2/26/10    2292.31    15.12    22.58        -0.0046082949    0.0013303769    0.0260001253
    3/5/10    2368.46    15.65    23.01        0.0350529101    0.0190434012    0.0332197652            p-value=    0.00000000
    3/12/10    2391.28    16.35    23.35        0.0447284345    0.0147761843    0.0096349527
    3/19/10    2397.41    16.46    23.67        0.0067278287    0.0137044968    0.0025634806            With z=67.26, p<1%, I reject Ho and conclude that
    3/26/10    2402.58    16.49    23        0.0018226002    -0.0283058724    0.0021564939            mean returns of NASDAQ index is significantly different from zero. U =/=0
    4/2/10    2436.81    16.43    23.6        -0.0036385688    0.0260869565    0.0142471843
    4/9/10    2515.69    17.83    24.34        0.0852099817    0.0313559322    0.0323701889            (ii)
    4/16/10    2519.07    17.66    24.75        -0.0095344924    0.0168447001    0.0013435678            Ho:    mean returns of INTC is not significantly different from 0.5%
    4/23/10    2511.92    17.3    24.45        -0.020385051    -0.0121212121    -0.0028383491            h1:    mean returns of INTC is significantly different from 0.5%
    4/30/10    2319.64    15.84    22.85        -0.0843930636    -0.0654396728    -0.0765470238
    5/7/10    2394.36    16.68    23.06        0.053030303    0.009190372    0.0322118949            alpha =     5%
    5/14/10    2204.01    15.42    21.38        -0.0755395683    -0.0728534258    -0.0794993234
    5/21/10    2277.68    16.13    20.6        0.0460440986    -0.0364826941    0.0334254382            test statistic, z = (Mean-u)/(sd/sqrt(n))
    5/28/10    2303.03    16.24    21.28        0.0068195908    0.0330097087    0.0111297461            z =     -27.6229459766
    6/4/10    2218.71    15.24    19.8        -0.0615763547    -0.0695488722    -0.0366126364
    6/11/10    2307.16    15.96    20.89        0.0472440945    0.0550505051    0.0398655074            p-value=    0.00000000
    6/18/10    2217.42    15.07    19.8        -0.055764411    -0.0521780756    -0.0388963054
    6/25/10    2101.36    14.27    18.35        -0.0530856005    -0.0732323232    -0.052340107            With z=-27.62, p<5%, I fail to reject Ho and conclude that
    7/2/10    2175.4    14.9    19.34        0.0441485634    0.0539509537    0.0352343244            mean returns of INTC is not significantly different from 0.5%
    7/9/10    2249.08    15.95    20.21        0.0704697987    0.0449844881    0.0338696332
    7/16/10    2245.89    16.15    20.47        0.012539185    0.0128649184    -0.0014183577            5)
    7/23/10    2251.69    15.59    20.62        -0.0346749226    0.0073277968    0.0025824951            covariance(NASDAQ, INTC)
    7/30/10    2293.06    15.33    20.1        -0.0166773573    -0.0252182347    0.0183728666            0.0004836733
    8/6/10    2190.27    14.53    19.4        -0.0521852577    -0.0348258706    -0.0448265636
    8/13/10    2178.95    14.12    19.36        -0.0282174811    -0.0020618557    -0.0051683126            correlation (MSFT, INTC)
    8/20/10    2118.69    13.58    18.97        -0.0382436261    -0.0201446281    -0.0276555222            0.546769899
    8/27/10    2200.01    13.66    19.07        0.0058910162    0.0052714813    0.0383822079
    9/3/10    2236.2    13.45    19.12        -0.0153733529    0.0026219192    0.0164499252            6)
    9/10/10    2303.25    14.17    20.17        0.0535315985    0.054916318    0.0299839013            MODEL A output:
    9/17/10    2327.08    14.18    19.46        0.0007057163    -0.0352007933    0.0103462499            SUMMARY OUTPUT
    9/24/10    2368.62    14.34    19.5        0.0112834979    0.0020554985    0.017850697
    10/1/10    2383.67    14.49    19.54        0.010460251    0.0020512821    0.0063539107            Regression Statistics
    10/8/10    2435.38    14.43    20.09        -0.0041407867    0.02814739    0.0216934391            Multiple R    0.546769899
    10/15/10    2459.67    14.76    20.24        0.0228690229    0.0074664012    0.0099738029            R Square    0.2989573225
    10/22/10    2507.37    15.29    20.93        0.0359078591    0.0340909091    0.0193928454            Adjusted R Square    0.2976065659
    10/29/10    2577.34    15.67    21.61        0.024852845    0.0324892499    0.0279057339            Standard Error    0.0283378016
    11/5/10    2555.52    15.97    21.25        0.0191448628    -0.0166589542    -0.0084660929            Observations    521
    11/12/10    2514.4    15.83    20.58        -0.0087664371    -0.0315294118    -0.0160906587
    11/19/10    2543.12    16.11    20.33        0.0176879343    -0.0121477162    0.0114222081            ANOVA
    11/26/10    2579.35    16.34    21.55        0.0142768467    0.0600098377    0.0142462802                df    SS    MS    F    Significance F
    12/3/10    2616.67    16.42    21.7        0.0048959608    0.0069605568    0.0144687615            Regression    1    0.1777315003    0.1777315003    221.325827024    5.95793828011566E-42
    12/10/10    2637.31    16.04    22.43        -0.0231425091    0.033640553    0.007887888            Residual    519    0.4167730893    0.000803031
    12/17/10    2665.6    15.69    22.68        -0.0218204489    0.0111457869    0.0107268391            Total    520    0.5945045896
    12/24/10    2662.98    15.83    22.32        0.0089228808    -0.0158730159    -0.0009828932
    12/31/10    2709.89    15.64    23.09        -0.0120025268    0.0344982079    0.0176156036                Coefficients    Standard Error    t Stat    P-value    Lower 95%    Upper 95%    Lower 99.0%    Upper 99.0%
    1/7/11    2735.29    16.03    22.59        0.0249360614    -0.0216543958    0.0093730742            Intercept    0.000698512    0.0012529022    0.5575151245    0.5774158994    -0.0017628713    0.0031598952    -0.0025406605    0.0039376844
    1/14/11    2704.29    15.77    22.72        -0.0162195883    0.0057547587    -0.0113333504            MSFT    0.6161409214    0.0414156046    14.8770234598    5.95793828011378E-42    0.5347780887    0.6975037541    0.5090676966    0.7232141462
    1/21/11    2755.28    16.38    23.13        0.0386810399    0.0180457746    0.0188552263
    1/28/11    2753.88    16.24    22.16        -0.0085470085    -0.0419368785    -0.0005081153
    2/4/11    2790.45    16.55    22.04        0.01908867    -0.0054151625    0.0132794457
    2/11/11    2831.58    16.68    21.8        0.0078549849    -0.0108892922    0.0147395581
    2/18/11    2737.9    16.17    21.58        -0.0305755396    -0.0100917431    -0.0330840026            Model B
    2/25/11    2798.74    16.55    21.12        0.0235003092    -0.0213160334    0.0222214106            SUMMARY OUTPUT
    3/4/11    2701.02    15.79    20.48        -0.0459214502    -0.0303030303    -0.0349157121
    3/11/11    2636.05    15.11    19.97        -0.0430652312    -0.0249023438    -0.0240538759            Regression Statistics
    3/18/11    2736.42    15.48    20.8        0.0244870946    0.0415623435    0.038075909            Multiple R    0.6629225374
    3/25/11    2781.07    15.32    20.47        -0.0103359173    -0.0158653846    0.0163169397            R Square    0.4394662906
    4/1/11    2796.14    15.21    21.12        -0.0071801567    0.031753786    0.0054187777            Adjusted R Square    0.4373020678
    4/8/11    2760.22    14.87    20.49        -0.0223537147    -0.0298295455    -0.0128462809            Standard Error    0.0253637576
    4/15/11    2820.16    16.3    20.57        0.0961667787    0.0039043436    0.0217156603            Observations    521
    4/22/11    2872.53    17.31    21.53        0.0619631902    0.0466699076    0.0185698684
    4/29/11    2814.72    17.93    20.79        0.0358174466    -0.0343706456    -0.0201251162            ANOVA
    5/6/11    2863.04    18.15    20.41        0.0122699387    -0.0182780183    0.017166894                df    SS    MS    F    Significance F
    5/13/11    2823.31    18.02    19.93        -0.0071625344    -0.0235178834    -0.0138768582            Regression    2    0.2612647268    0.1306323634    203.0596329067    7.72412784498259E-66
    5/20/11    2782.92    17.22    20.02        -0.0443951165    0.0045158053    -0.0143059034            Residual    518    0.3332398629    0.0006433202
    5/27/11    2773.31    16.91    19.65        -0.0180023229    -0.0184815185    -0.0034532074            Total    520    0.5945045896
    6/3/11    2684.87    16.65    19.44        -0.0153755174    -0.0106870229    -0.0318896914
    6/10/11    2623.7    16.39    19.47        -0.0156156156    0.0015432099    -0.022783226                Coefficients    Standard Error    t Stat    P-value    Lower 95%    Upper 95%    Lower 99.0%    Upper 99.0%
    6/17/11    2686.75    16.61    19.98        0.0134228188    0.0261941448    0.0240309487            Intercept    0.0000711631    0.0011227611    0.0633822323    0.9494865855    -0.002134562    0.0022768882    -0.0028315716    0.0029738978
    6/24/11    2773.52    16.96    21.09        0.0210716436    0.0555555556    0.0322955243            MSFT    0.2179591544    0.0509426794    4.2785176811    0.0000224134    0.1178794999    0.3180388089    0.0862543087    0.3496640001
    7/1/11    2872.66    17.78    21.72        0.0483490566    0.0298719772    0.0357451902            NASDAQ    0.7872908493    0.0690906326    11.3950447316    5.37465161918509E-27    0.6515585571    0.9230231416    0.6086671251    0.9659145735
    7/8/11    2762.67    17.04    21.48        -0.0416197975    -0.0110497238    -0.0382885549
    7/15/11    2834.43    17.46    21.99        0.0246478873    0.0237430168    0.0259748721
    7/22/11    2766.25    17.26    22.49        -0.0114547537    0.022737608    -0.024054219
    7/29/11    2556.39    15.96    21.05        -0.0753186559    -0.0640284571    -0.0758644374
    8/5/11    2492.68    16.04    20.44        0.0050125313    -0.0289786223    -0.0249218625            (i)
    8/12/11    2380.43    15.28    20.02        -0.0473815461    -0.0205479452    -0.0450318533            Ho:    intercept coefficient is not significant. B0=0
    8/19/11    2419.63    15.01    20.06        -0.0176701571    0.001998002    0.016467613            h1:    intercept coefficient significant, b0=/=0
    8/26/11    2546.04    15.45    21.4        0.0293137908    0.0667996012    0.0522435248            t=    0.5575151245
    9/2/11    2529.14    15.38    21.41        -0.0045307443    0.0004672897    -0.006637759            p-value    0.5774158994
    9/9/11    2607.07    16.65    22.04        0.0825747724    0.0294255021    0.0308128455            alph =     5%
    9/16/11    2455.67    16.71    20.46        0.0036036036    -0.0716878403    -0.0580728557            Since p>5%, I fail to reject Ho at 5% level of significance and conclude that
    9/23/11    2480.76    17.16    20.78        0.026929982    0.0156402737    0.0102171709            intercept coefficient is not significant. B0=0
    9/30/11    2506.82    17.02    21.51        -0.0081585082    0.0351299326    0.0105048453
    10/7/11    2620.24    18.08    22.19        0.062279671    0.0316132032    0.0452445728            Ho:    slope coefficient is not significant. B1=0
    10/14/11    2598.62    18.25    22.08        0.0094026549    -0.0049571879    -0.0082511526            h1:    slope coefficient significant, b1=/=0
    10/21/11    2738.63    19.42    22.25        0.064109589    0.0076992754    0.0538785971            t=    14.8770234598
    10/28/11    2697.97    18.7    21.66        -0.0370751802    -0.0265168539    -0.0148468395            p-value    5.95793828011378E-42
    11/4/11    2625.15    18.76    21.46        0.0032085561    -0.0092336103    -0.0269906634            alph =     1%
    11/11/11    2587.99    18.98    20.85        0.0117270789    -0.0284249767    -0.0141553816            Since p<1%, I reject Ho at 5% level of significance and conclude that
    11/18/11    2460.08    17.7    20.13        -0.0674394099    -0.0345323741    -0.0494244568            slope coefficient significant, b1=/=0
    11/25/11    2626.2    19.43    20.8        0.097740113    0.0332836562    0.0675262593
    12/2/11    2596.38    19.27    20.89        -0.0082346886    0.0043269231    -0.0113548092            (ii)
    12/9/11    2541.01    18.17    21.03        -0.0570835496    0.0067017712    -0.021325846            99% confidence interval for the intercept coefficient
    12/16/11    2599.45    18.73    21.23        0.030820033    0.0095102235    0.0229987289            lower =     -0.0028315716
    12/23/11    2613.74    19.14    21.4        0.021890016    0.0080075365    0.0054973167            upper =    0.0029738978
    12/30/11    2669.86    19.8    22.77        0.0344827586    0.0640186916    0.0214711486            I am 99% confident that the estimated population value of intercept coefficient lie in the interval (-0.0028, 0.00297)
    1/6/12    2724.7    20.08    23.03        0.0141414141    0.0114185332    0.0205404029
    1/13/12    2788.33    19.98    23.13        -0.0049800797    0.0043421624    0.0233530297
    1/20/12    2805.28    20.86    24.27        0.044044044    0.0492866407    0.0060789074            (iii)
    1/27/12    2859.68    20.65    24.64        -0.0100671141    0.0152451586    0.0193920037                Model A    Model B
    2/3/12    2927.23    20.94    25.31        0.0140435835    0.0271915584    0.0236215241            R^2=    29.9%    43.9%
    2/10/12    2959.85    21.09    25.74        0.0071633238    0.0169893323    0.0111436409            Adj R^2 =    29.8%    43.7%
    2/17/12    2956.98    20.95    25.97        -0.0066382172    0.0089355089    -0.0009696437            no. of independnet variables    1    2
    2/24/12    2988.97    21.11    26.74        0.0076372315    0.0296495957    0.0108184702
    3/2/12    2970.42    21.09    26.5        -0.0009474183    -0.0089753179    -0.0062061513            There is not mcuh difference in the Adj R^2 for model A and B.
    3/9/12    3056.37    21.81    27.2        0.0341394026    0.0264150943    0.0289353021            Thus model A is preferred as it has less number of independent variables.
    3/16/12    3063.32    21.93    26.5        0.0055020633    -0.0257352941    0.0022739393            this saves time, cost an effort involved in model construction with less independent...