Desklib - Online Library for Study Material

TASK A: DATA
PRICE SERIES
Date S&P BA GD T-BILL
1-Mar-12 1408.47 74.37 73.38 2.216
1-Apr-12 1397.91 76.8 67.5 1.915
1-May-12 1310.33 69.61 64.01 1.581
1-Jun-12 1362.16 74.3 65.96 1.659
1-Jul-12 1379.32 73.91 63.44 1.492
1-Aug-12 1406.58 71.4 65.51 1.562
1-Sep-12 1440.67 69.6 66.12 1.637
1-Oct-12 1412.16 70.44 68.08 1.686
1-Nov-12 1416.18 74.28 66.5 1.606
1-Dec-12 1426.19 75.36 69.27 1.756
1-Jan-13 1498.11 73.87 66.3 1.985
1-Feb-13 1514.68 76.9 67.97 1.888
1-Mar-13 1569.19 85.85 70.51 1.852
1-Apr-13 1597.57 91.41 73.96 1.675
1-May-13 1630.74 99.02 77.1 2.164
1-Jun-13 1606.28 102.44 78.33 2.478
1-Jul-13 1685.73 105.1 85.34 2.593
1-Aug-13 1632.97 103.92 83.25 2.749
1-Sep-13 1681.55 117.5 87.52 2.615
1-Oct-13 1756.54 130.5 86.63 2.542
1-Nov-13 1805.81 134.25 91.66 2.741
1-Dec-13 1848.36 136.49 95.55 3.026
1-Jan-14 1782.59 125.26 101.31 2.668
1-Feb-14 1859.45 128.92 109.54 2.658
1-Mar-14 1872.34 125.49 108.92 2.723
1-Apr-14 1883.95 129.02 109.45 2.648
1-May-14 1923.57 135.25 118.12 2.457
1-Jun-14 1960.23 127.23 116.55 2.516
1-Jul-14 1930.67 120.48 116.77 2.556
1-Aug-14 2003.37 126.8 123.25 2.343
1-Sep-14 1972.29 127.38 127.09 2.508
1-Oct-14 2018.05 124.91 139.76 2.335
1-Nov-14 2067.56 134.36 145.36 2.194
1-Dec-14 2058.9 129.98 137.62 2.17
1-Jan-15 1994.99 145.37 133.21 1.675
1-Feb-15 2104.5 150.85 138.78 2.002
1-Mar-15 2067.89 150.08 135.73 1.934
1-Apr-15 2085.51 143.34 137.32 2.046
1-May-15 2107.39 140.52 140.16 2.095

1-Jun-15 2063.11 138.72 141.69 2.335
1-Jul-15 2103.84 144.17 149.11 2.205
1-Aug-15 1972.18 130.68 145.17 2.2
1-Sep-15 1920.03 130.95 137.95 2.06
1-Oct-15 2079.36 148.07 148.58 2.151
1-Nov-15 2080.41 145.45 146.46 2.218
1-Dec-15 2043.94 144.59 137.36 2.269
1-Jan-16 1940.24 120.13 133.77 1.931
1-Feb-16 1932.23 118.18 136.27 1.74
1-Mar-16 2059.74 126.94 131.37 1.786
1-Apr-16 2065.3 134.8 140.52 1.819
1-May-16 2096.95 126.15 141.87 1.834
1-Jun-16 2098.86 129.87 139.24 1.488
1-Jul-16 2173.6 133.66 146.89 1.458
1-Aug-16 2170.95 129.45 152.22 1.568
1-Sep-16 2168.27 131.74 155.16 1.608
1-Oct-16 2126.15 142.43 150.74 1.834
1-Nov-16 2198.81 150.56 175.35 2.368
1-Dec-16 2238.83 155.68 175.39 2.479
1-Jan-17 2278.87 163.42 181.08 2.451
1-Feb-17 2363.64 180.23 189.81 2.358
1-Mar-17 2362.72 176.86 187.2 2.396

TASK B
PART 1:
Monthly returns
S&P BA GD T-BILL
-0.75 3.22 -8.35 -14.60
-6.47 -9.83 -5.31 -19.17
3.88 6.52 3.00 4.82
1.25 -0.53 -3.90 -10.61
1.96 -3.46 3.21 4.58
2.39 -2.55 0.93 4.69
-2.00 1.20 2.92 2.95
0.28 5.31 -2.35 -4.86
0.70 1.44 4.08 8.93
4.92 -2.00 -4.38 12.26
1.10 4.02 2.49 -5.01
3.54 11.01 3.67 -1.93
1.79 6.28 4.78 -10.05
2.06 8.00 4.16 25.61
-1.51 3.40 1.58 13.55
4.83 2.56 8.57 4.54
-3.18 -1.13 -2.48 5.84
2.93 12.28 5.00 -5.00
4.36 10.49 -1.02 -2.83
2.77 2.83 5.64 7.54
2.33 1.65 4.16 9.89
-3.62 -8.59 5.85 -12.59
4.22 2.88 7.81 -0.38
0.69 -2.70 -0.57 2.42
0.62 2.77 0.49 -2.79
2.08 4.72 7.62 -7.49
1.89 -6.11 -1.34 2.37
-1.52 -5.45 0.19 1.58
3.70 5.11 5.40 -8.70
-1.56 0.46 3.07 6.81
2.29 -1.96 9.50 -7.15
2.42 7.29 3.93 -6.23
-0.42 -3.31 -5.47 -1.10
-3.15 11.19 -3.26 -25.89
5.34 3.70 4.10 17.83
-1.75 -0.51 -2.22 -3.46
0.85 -4.59 1.16 5.63
1.04 -1.99 2.05 2.37

-2.12 -1.29 1.09 10.85
1.95 3.85 5.10 -5.73
-6.46 -9.82 -2.68 -0.23
-2.68 0.21 -5.10 -6.58
7.97 12.29 7.42 4.32
0.05 -1.79 -1.44 3.07
-1.77 -0.59 -6.41 2.27
-5.21 -18.53 -2.65 -16.13
-0.41 -1.64 1.85 -10.42
6.39 7.15 -3.66 2.61
0.27 6.01 6.73 1.83
1.52 -6.63 0.96 0.82
0.09 2.91 -1.87 -20.91
3.50 2.88 5.35 -2.04
-0.12 -3.20 3.56 7.27
-0.12 1.75 1.91 2.52
-1.96 7.80 -2.89 13.15
3.36 5.55 15.12 25.55
1.80 3.34 0.02 4.58
1.77 4.85 3.19 -1.14
3.65 9.79 4.71 -3.87
-0.04 -1.89 -1.38 1.60
Summary Statistics
Boeing Stocks GD Stocks
Mean 1.4438 1.5609
Standard Error 0.7622 0.5751
Median 2.1585 1.8823
Standard Deviation 5.9036 4.4544
Sample Variance 34.8525 19.8414
Kurtosis 1.1784 0.3085
Skewness -0.5822 0.2032
Range 30.8197 23.4751
Minimum -18.5328 -8.3524
Maximum 12.2870 15.1227
Sum 86.6306 93.6526
Count 60 60
Jarque-Berra test of normally distributed returns
A. Boeing Stocks