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Xyz SAS Document - Data Analysis

1) The document analyzes spot and future returns data through graphical analysis and descriptive statistics. It finds the data to be non-stationary. 2) A regression of spot returns on future returns finds them to be highly correlated. Diagnostic tests show evidence of heteroscedasticity. 3) Taking logarithmic transformations of the data makes the series stationary, allowing the regression to then be run with transformed variables.

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Harsh Chaudhry
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© Attribution Non-Commercial (BY-NC)
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55 views

Xyz SAS Document - Data Analysis

1) The document analyzes spot and future returns data through graphical analysis and descriptive statistics. It finds the data to be non-stationary. 2) A regression of spot returns on future returns finds them to be highly correlated. Diagnostic tests show evidence of heteroscedasticity. 3) Taking logarithmic transformations of the data makes the series stationary, allowing the regression to then be run with transformed variables.

Uploaded by

Harsh Chaudhry
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
You are on page 1/ 11

Ans 1.

)
A.) Graphical analysis and descriptive stats:

1.) SPOT returns: Variable name = SPOT


i) Graphical analysis:
SPOT
40,000
35,000
30,000
25,000
20,000
15,000
10,000
5,000
250

ii)

500

750

1000

1250

1500

1750

2000

Descriptive Statistics

500

Series: SPOT
Sample 1 2171
Observations 2171

400

300

200

100

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

14101.57
13278.35
36542.50
5826.150
7071.339
1.260478
4.322716

Jarque-Bera
Probability

733.1466
0.000000

0
8000 12000 16000 20000 24000 28000 32000 36000

2.) Future returns : Variable name = close_price


i)

Graphical analysis:

Close Price
40,000
35,000
30,000
25,000
20,000
15,000
10,000
5,000
250

ii)

500

750

1000

1250

1500

1750

2000

Descriptive Statistics:

500

Series: CLOSE_PRICE
Sample 1 2171
Observations 2171

400

300

200

100

0
5000

B.) Run a regression:

Dependent Variable: SPOT

10000

15000

20000

25000

30000

35000

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

14105.95
12998.00
38570.00
5444.000
7254.491
1.317467
4.420478

Jarque-Bera
Probability

810.5643
0.000000

Method: Least Squares


Date: 12/30/13 Time: 12:36
Sample: 1 2171
Included observations: 2171
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
CLOSE_PRICE

368.1838
0.973588

16.22785
0.001023

22.68839
951.5976

0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.997610
0.997609
345.7472
2.59E+08
-15770.55
905538.0
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

14101.57
7071.339
14.53021
14.53545
14.53213
0.412105

C.) Check presence of heteroscedasticity and non-stationarity:


i.)

SPOT:
a.) LEVEL Unit root test

Null Hypothesis: SPOT has a unit root


Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

2.718054
-3.433168
-2.862671
-2.567418

1.0000

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(SPOT)
Method: Least Squares
Date: 12/30/13 Time: 12:43
Sample (adjusted): 3 2171
Included observations: 2169 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

SPOT(-1)
D(SPOT(-1))
C

0.001333
0.179913
-7.864034

0.000491
0.021219
7.703043

2.718054
8.478701
-1.020900

0.0066
0.0000
0.3074

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.037729
0.036840
160.3433
55687802
-14088.88

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

13.36517
163.3810
12.99389
13.00175
12.99677

F-statistic
Prob(F-statistic)

42.46241
0.000000

Durbin-Watson stat

2.015346

st

1 difference unit root test:

Null Hypothesis: D(SPOT) has a unit root


Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-38.51651
-3.433168
-2.862671
-2.567418

0.0000

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(SPOT,2)
Method: Least Squares
Date: 12/30/13 Time: 12:54
Sample (adjusted): 3 2171
Included observations: 2169 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(SPOT(-1))
C

-0.814146
10.84950

0.021138
3.459794

-38.51651
3.135881

0.0000
0.0017

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.406386
0.406112
160.5795
55877742
-14092.57
1483.521
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-0.170562
208.3712
12.99638
13.00162
12.99829
2.018313

b.) White test - heteroscedasticity

Heteroskedasticity Test: White


F-statistic
Obs*R-squared
Scaled explained SS

192.6396
327.5949
546.6771

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/30/13 Time: 12:52
Sample: 1 2171

Prob. F(2,2168)
Prob. Chi-Square(2)
Prob. Chi-Square(2)

0.0000
0.0000
0.0000

Included observations: 2171


Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
CLOSE_PRICE
CLOSE_PRICE^2

99597.08
-7.016397
0.000472

20151.40
2.463782
6.33E-05

4.942439
-2.847815
7.460464

0.0000
0.0044
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.150896
0.150113
201377.1
8.79E+13
-29593.30
192.6396
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

119431.0
218438.6
27.26513
27.27298
27.26800
0.877100

(ii) Close_price:
a.) LEVEL Unit root test

Null Hypothesis: CLOSE_PRICE has a unit root


Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

1.935573
-3.433166
-2.862670
-2.567418

0.9999

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(CLOSE_PRICE)
Method: Least Squares
Date: 12/30/13 Time: 12:56
Sample (adjusted): 2 2171
Included observations: 2170 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

CLOSE_PRICE(-1)
C

0.001544
-7.830548

0.000798
12.63899

1.935573
-0.619555

0.0530
0.5356

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.001725
0.001265
268.9176
1.57E+08
-15217.95
3.746442
0.053050

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

13.93226
269.0878
14.02761
14.03285
14.02952
1.892016

1st difference unit root test:

Null Hypothesis: D(CLOSE_PRICE) has a unit root


Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-43.95284
-3.433168
-2.862671
-2.567418

0.0001

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(CLOSE_PRICE,2)
Method: Least Squares
Date: 12/30/13 Time: 13:02
Sample (adjusted): 3 2171
Included observations: 2169 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(CLOSE_PRICE(-1))
C

-0.945579
13.18580

0.021513
5.780142

-43.95284
2.281224

0.0000
0.0226

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.471315
0.471071
268.8101
1.57E+08
-15210.07
1931.852
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-0.408483
369.6129
14.02681
14.03205
14.02873
1.993044

D.) If yes, then run the same regression by applying the proper method:
Generating new series lnspot = log(spot) and lnfut = log(close_price)
Running unit root test on lnspot and lnfut to check if it is stationary or not.
a.) Lnfut
i.)

Unit root test

Null Hypothesis: LNFUT has a unit root


Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level

t-Statistic

Prob.*

0.318761
-3.433166

0.9793

5% level
10% level

-2.862670
-2.567418

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(LNFUT)
Method: Least Squares
Date: 12/30/13 Time: 13:07
Sample (adjusted): 2 2171
Included observations: 2170 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LNFUT(-1)
C

0.000253
-0.001641

0.000795
0.007512

0.318761
-0.218494

0.7499
0.8271

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.000047
-0.000414
0.017643
0.674808
5683.157
0.101608
0.749939

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.000750
0.017639
-5.236089
-5.230852
-5.234174
1.895254

1st difference.
Null Hypothesis: D(LNFUT) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-44.16466
-3.433168
-2.862671
-2.567418

0.0001

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(LNFUT,2)
Method: Least Squares
Date: 12/30/13 Time: 13:12
Sample (adjusted): 3 2171
Included observations: 2169 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(LNFUT(-1))
C

-0.947847
0.000715

0.021462
0.000379

-44.16466
1.887275

0.0000
0.0593

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.473712
0.473469
0.017622
0.672917

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion

-7.49E-06
0.024285
-5.238434
-5.233195

Log likelihood
F-statistic
Prob(F-statistic)

5683.082
1950.517
0.000000

Hannan-Quinn criter.
Durbin-Watson stat

-5.236518
1.997740

b.) Lnspot
i.)
Unit root test

Null Hypothesis: LNSPOT has a unit root


Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

0.575021
-3.433169
-2.862672
-2.567418

0.9891

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(LNSPOT)
Method: Least Squares
Date: 12/30/13 Time: 13:17
Sample (adjusted): 4 2171
Included observations: 2168 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

LNSPOT(-1)
D(LNSPOT(-1))
D(LNSPOT(-2))
C

0.000275
0.196479
0.068948
-0.002056

0.000479
0.021462
0.021467
0.004524

0.575021
9.154929
3.211817
-0.454492

0.5653
0.0000
0.0013
0.6495

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.049552
0.048234
0.010468
0.237108
6810.687
37.60668
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.000742
0.010730
-6.279231
-6.268749
-6.275398
2.006007

1st difference unit root test


Null Hypothesis: D(LNSPOT) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=25)
t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level

-27.24667
-3.433169
-2.862672
-2.567418

0.0000

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(LNSPOT,2)
Method: Least Squares
Date: 12/30/13 Time: 13:17
Sample (adjusted): 4 2171
Included observations: 2168 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(LNSPOT(-1))
D(LNSPOT(-1),2)
C

-0.733556
-0.069492
0.000542

0.026923
0.021443
0.000226

-27.24667
-3.240783
2.401562

0.0000
0.0012
0.0164

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.397044
0.396487
0.010466
0.237145
6810.521
712.8207
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-9.43E-06
0.013472
-6.280001
-6.272139
-6.277126
2.006155

Generating new series dlnspot = D(lnspot) and dlnfut = D(lnfut)


Running unit root test on lnspot and lnfut to check if it is stationary or not.
a.) dlnspot
i.)

Unit root test Level

Null Hypothesis: DLNSPOT has a unit root


Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(DLNSPOT)
Method: Least Squares
Date: 12/30/13 Time: 13:23

t-Statistic

Prob.*

-27.24667
-3.433169
-2.862672
-2.567418

0.0000

Sample (adjusted): 4 2171


Included observations: 2168 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DLNSPOT(-1)
D(DLNSPOT(-1))
C

-0.733556
-0.069492
0.000542

0.026923
0.021443
0.000226

-27.24667
-3.240783
2.401562

0.0000
0.0012
0.0164

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.397044
0.396487
0.010466
0.237145
6810.521
712.8207
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-9.43E-06
0.013472
-6.280001
-6.272139
-6.277126
2.006155

b.) dlnfut
i.) Unit root test Level

Null Hypothesis: DLNFUT has a unit root


Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic


Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-44.16466
-3.433168
-2.862671
-2.567418

0.0001

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

Augmented Dickey-Fuller Test Equation


Dependent Variable: D(DLNFUT)
Method: Least Squares
Date: 12/30/13 Time: 13:22
Sample (adjusted): 3 2171
Included observations: 2169 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

DLNFUT(-1)
C

-0.947847
0.000715

0.021462
0.000379

-44.16466
1.887275

0.0000
0.0593

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.473712
0.473469
0.017622
0.672917
5683.082
1950.517
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

-7.49E-06
0.024285
-5.238434
-5.233195
-5.236518
1.997740

Running regression

Dependent Variable: DLNSPOT


Method: Least Squares
Date: 12/30/13 Time: 13:25
Sample (adjusted): 2 2171
Included observations: 2170 after adjustments
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
DLNFUT

0.000508
0.315769

0.000197
0.011162

2.577789
28.29033

0.0100
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.269626
0.269289
0.009169
0.182273
7103.338
800.3428
0.000000

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.000745
0.010727
-6.545012
-6.539774
-6.543097
2.252265

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