Análisis del modelo de minimos cuadrados de la evolucion del valor de las cotizaciones de apple

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  • Publicado : 2 de marzo de 2012
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Jaime Idiazabal
Group 3ºA

Prof: Ricardo A. Queralt

Introduction to Econometrics´
Proyect

Index
* Initial Summary

* First Introduction

* Data: Source, Sample size, Graph and statistical descriptions

* Structure of the model

* Estimation and Interpretation
Betas: estimators, variances and covariance, Interval estimation (95%), Hypothesis,Representation, Goodness, Normality and final Forecast.

* Conclusions

* Bibliography

Executive Summary

* Introduction of setting and data.
First we will show the initial steps of putting toghether all the data, (all three variables including the security and market returns, as well as its risk premiums).

* Graphs and statistical description of the above mentioned.
Secondly arethe GNUPLOTS and the Graphic Box Plot, which will give an idea of the average value and also most representatives such as quartiles and median.

* Explanation of the model.
Different options, and its theoretical and econometric points of view.

* Estimations: Interpretation
Regresion table - Interpretation of the betas, variance and covariance, representation of the interval estimation.(Pulling the ecuation of the model and a representation). Significance...

* Conclusions
Leading to resolutions and posible outcomes of future values.
Introduction

For the initial setting, three different variables are given. First is a random company Which is Apple in this case (AAPL). Then a market index, the NASDAQ Composite (^IXIC), and the last one, the Federal Reserve PremiumRate.

With this scenario, we will start by calculating the market and security returns, for both Apple and Nasdaq Composite. For later calculations of their respective risk premium. This two operation will be the frist step for obtaining the final formula of the model.

Obtaning the regresion table we will proceed to observe the behaviour of the betas, its meaning and the standadrt error.And finally the hipothesis testing will give us an idea of the loyalty of the model along with term R squared, which will give us the estimated standard deviation of this error.

Later thoughts will lead to the conclusion of this calculations, giving out preformance posibilities and also posible decision making patterns.

DATA ( http://es.finance.yahoo.com/ Sample size: N=120)
Security Prices =Pt, Market Index=It and Free rate=ft
Date: | APPL | NASDAQ COMP. | Free Rate |
| | | |
02/01/2001 | 21.62 | 2772.73 | 0,007916667 |
01/02/2001 | 18.25 | 2151.83 | 0,007083333 |
01/03/2001 | 22.07 | 1840.26 | 0,007083333 |
02/04/2001 | 25.49 | 2116.24 | 0,00625 |
01/05/2001 | 19.95 | 2110.49 | 0,005833333 |
01/06/2001 | 23.25 | 2160.54 | 0,005625 |
02/07/2001 | 18.79 |2027.13 | 0,005625 |
01/08/2001 | 18.55 | 1805.43 | 0,005416667 |
04/09/2001 | 15.51 | 1498.80 | 0,005 |
01/10/2001 | 17.56 | 1690.20 | 0,004583333 |
01/11/2001 | 21.30 | 1930.58 | 0,004166667 |
03/12/2001 | 21.90 | 1950.40 | 0,003958333 |
02/01/2002 | 24.72 | 1934.03 | 0,003958333 |
01/02/2002 | 21.70 | 1731.49 | 0,003958333 |
01/03/2002 | 23.67 | 1845.35 | 0,003958333 |01/04/2002 | 24.27 | 1688.23 | 0,003958333 |
01/05/2002 | 23.30 | 1615.73 | 0,003958333 |
03/06/2002 | 17.72 | 1463.21 | 0,003958333 |
01/07/2002 | 15.26 | 1328.26 | 0,003958333 |
01/08/2002 | 14.75 | 1314.85 | 0,003958333 |
03/09/2002 | 14.50 | 1172.06 | 0,003958333 |
01/10/2002 | 16.07 | 1329.75 | 0,003958333 |
01/11/2002 | 15.50 | 1478.78 | 0,003541667 |
02/12/2002 | 14.33 | 1335.51 |0,003541667 |
02/01/2003 | 14.36 | 1320.91 | 0,003541667 |
03/02/2003 | 15.01 | 1337.52 | 0,003541667 |
03/03/2003 | 14.14 | 1341.17 | 0,003541667 |
01/04/2003 | 14.22 | 1464.31 | 0,003541667 |
01/05/2003 | 17.95 | 1595.91 | 0,003541667 |
02/06/2003 | 19.06 | 1622.80 | 0,003333333 |
01/07/2003 | 21.08 | 1735.02 | 0,003333333 |
01/08/2003 | 22.61 | 1810.45 | 0,003333333 |...
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