Professional Documents
Culture Documents
GarchML Dow
GarchML Dow
GarchML Dow
0 3 7 1 4 8 1 5 9 2 6 9 3
2 /6 9 /6 5 /6 1/7 9 /7 4/7 1/8 7 /8 2/8 9/9 4/9 2/9 7 /0
/0 /0 /0 /0 /0 /0 /1 /0 /0 /0 /0 /1 /0
04 19 04 26 06 18 24 03 10 21 30 09 30
350.00% 180.00%
300.00% 160.00%
140.00%
250.00%
120.00%
200.00%
100.00%
150.00%
80.00%
100.00%
60.00%
50.00%
40.00%
0.00% 20.00%
-50.00% 0.00%
Page 433
Date Time CDS_Px_Change (X) FX_Px_Change (Y) EMWA[var(X)]
5/25/2010 1 13.18% -0.22% 1.74%
5/26/2010 2 -5.68% -1.36% 1.7362%
5/27/2010 3 -11.75% 1.50% 0.9811%
5/28/2010 4 -4.12% -0.72% 1.1948%
5/31/2010 5 0.97% 0.27% 0.6473%
6/1/2010 6 3.53% -0.63% 0.3066%
6/2/2010 7 0.23% 0.16% 0.2096%
6/3/2010 8 -3.62% -0.70% 0.0979%
6/4/2010 9 1.28% -1.62% 0.1157%
6/7/2010 10 3.73% -0.37% 0.0627%
6/8/2010 11 3.50% 0.42% 0.1034%
6/9/2010 12 -3.81% 0.05% 0.1137%
6/10/2010 13 -2.98% 1.20% 0.1305%
6/11/2010 14 -3.85% -0.10% 0.1084%
6/14/2010 15 -2.46% 0.90% 0.1296%
6/15/2010 16 -0.07% 0.90% 0.0926%
6/16/2010 17 -1.31% -0.17% 0.0432%
6/17/2010 18 -2.07% 0.63% 0.0293%
6/18/2010 19 -2.22% -0.01% 0.0365%
6/21/2010 20 -4.95% -0.62% 0.0433%
6/22/2010 21 2.47% -0.33% 0.1511%
6/23/2010 22 1.56% 0.33% 0.1030%
6/24/2010 23 3.22% 0.18% 0.0611%
6/25/2010 24 0.41% 0.29% 0.0837%
6/28/2010 25 -1.57% -0.75% 0.0399%
6/29/2010 26 5.43% -0.73% 0.0318%
6/30/2010 27 0.04% 0.41% 0.1720%
7/1/2010 28 2.55% 2.33% 0.0802%
7/2/2010 29 -0.73% 0.31% 0.0721%
7/5/2010 30 0.11% -0.22% 0.0365%
7/6/2010 31 -0.59% 0.70% 0.0171%
7/7/2010 32 1.85% 0.09% 0.0098%
7/8/2010 33 -5.15% 0.47% 0.0229%
7/9/2010 34 -1.68% -0.45% 0.1522%
7/12/2010 35 0.53% -0.36% 0.0859%
7/13/2010 36 -1.82% 1.01% 0.0416%
7/14/2010 37 -2.01% 0.15% 0.0371%
7/15/2010 38 1.16% 1.61% 0.0389%
7/16/2010 39 -0.14% -0.15% 0.0253%
7/19/2010 40 0.58% 0.09% 0.0119%
7/20/2010 41 -2.02% -0.48% 0.0073%
7/21/2010 42 -4.39% -0.98% 0.0252%
7/22/2010 43 -5.47% 1.08% 0.1148%
7/23/2010 44 -3.04% 0.12% 0.2133%
7/26/2010 45 -6.23% 0.66% 0.1488%
7/27/2010 46 -1.36% 0.02% 0.2764%
7/28/2010 47 2.06% -0.01% 0.1386%
7/29/2010 48 -2.79% 0.64% 0.0872%
7/30/2010 49 1.97% -0.21% 0.0822%
8/2/2010 50 -2.12% 0.97% 0.0591%
8/3/2010 51 -1.59% 0.39% 0.0516%
8/4/2010 52 -0.33% -0.53% 0.0375%
8/5/2010 53 -0.53% 0.21% 0.0181%
8/6/2010 54 -1.25% 0.69% 0.0099%
8/9/2010 55 0.51% -0.44% 0.0129%
8/10/2010 56 0.79% -0.34% 0.0074%
8/11/2010 57 1.22% -2.41% 0.0068%
8/12/2010 58 1.52% -0.26% 0.0111%
8/13/2010 59 -1.33% -0.59% 0.0174%
8/16/2010 60 -0.06% 0.57% 0.0175%
8/17/2010 61 -2.10% 0.45% 0.0082%
8/18/2010 62 -4.66% -0.25% 0.0273%
8/19/2010 63 1.19% -0.23% 0.1285%
8/20/2010 64 0.69% -0.87% 0.0674%
8/23/2010 65 -0.59% -0.43% 0.0339%
8/24/2010 66 0.93% -0.24% 0.0177%
8/25/2010 67 2.95% 0.25% 0.0129%
8/26/2010 68 -1.03% 0.45% 0.0526%
8/27/2010 69 -0.80% 0.37% 0.0302%
8/30/2010 70 0.06% -0.79% 0.0175%
8/31/2010 71 1.23% 0.13% 0.0082%
9/1/2010 72 -3.74% 1.01% 0.0119%
9/2/2010 73 -2.06% 0.13% 0.0801%
9/3/2010 74 -2.52% 0.54% 0.0599%
9/6/2010 75 -1.50% -0.16% 0.0617%
9/7/2010 76 3.06% -1.52% 0.0407%
9/8/2010 77 0.90% 0.30% 0.0690%
9/9/2010 78 -1.29% -0.19% 0.0365%
9/10/2010 79 -2.51% -0.13% 0.0259%
9/13/2010 80 -3.19% 1.60% 0.0456%
9/14/2010 81 1.18% 0.89% 0.0757%
9/15/2010 82 1.18% 0.10% 0.0427%
9/16/2010 83 -0.73% 0.51% 0.0274%
9/17/2010 84 -0.89% -0.21% 0.0156%
9/20/2010 85 0.04% 0.08% 0.0115%
9/21/2010 86 -0.51% 1.54% 0.0054%
9/22/2010 87 -2.22% 1.06% 0.0039%
9/23/2010 88 2.22% -0.69% 0.0282%
9/24/2010 89 -1.88% 1.33% 0.0394%
9/27/2010 90 -1.63% -0.27% 0.0373%
9/28/2010 91 0.29% 0.96% 0.0315%
9/29/2010 92 -5.41% 0.31% 0.0152%
9/30/2010 93 1.31% 0.05% 0.1635%
10/1/2010 94 -1.96% 1.14% 0.0854%
10/4/2010 95 0.12% -0.77% 0.0602%
10/5/2010 96 -1.41% 1.12% 0.0282%
10/6/2010 97 -2.63% 0.66% 0.0237%
10/7/2010 98 -0.93% -0.03% 0.0480%
10/8/2010 99 -0.46% 0.09% 0.0270%
10/11/2010 100 -1.77% -0.45% 0.0137%
10/12/2010 101 -0.62% 0.35% 0.0232%
10/13/2010 102 -3.75% 0.26% 0.0128%
10/14/2010 103 0.09% 0.88% 0.0811%
10/15/2010 104 0.86% -0.76% 0.0378%
10/18/2010 105 -0.55% -0.31% 0.0216%
10/19/2010 106 -1.69% -1.50% 0.0117%
10/20/2010 107 0.03% 1.71% 0.0207%
10/21/2010 108 -2.05% -0.32% 0.0096%
10/22/2010 109 -1.25% 0.24% 0.0270%
10/25/2010 110 -2.48% 0.08% 0.0209%
10/26/2010 111 0.43% -0.76% 0.0427%
10/27/2010 112 0.59% -0.65% 0.0209%
10/28/2010 113 0.45% 1.16% 0.0116%
10/29/2010 114 0.99% 0.12% 0.0065%
11/1/2010 115 -0.29% -0.39% 0.0082%
11/2/2010 116 -0.62% 1.01% 0.0043%
11/3/2010 117 -0.41% 0.75% 0.0040%
11/4/2010 118 4.38% 0.48% 0.0028%
11/5/2010 119 6.88% -1.24% 0.1037%
11/8/2010 120 0.21% -0.80% 0.3014%
11/9/2010 121 -1.61% -1.06% 0.1407%
11/10/2010 122 -0.18% 0.07% 0.0794%
11/11/2010 123 0.64% -0.85% 0.0372%
11/12/2010 124 -0.96% 0.18% 0.0195%
11/15/2010 125 -0.41% -0.76% 0.0140%
11/16/2010 126 2.48% -0.72% 0.0074%
11/17/2010 127 0.10% 0.30% 0.0362%
11/18/2010 128 -2.40% 0.84% 0.0169%
11/19/2010 129 0.52% 0.22% 0.0387%
11/22/2010 130 -0.22% -0.34% 0.0195%
11/23/2010 131 0.71% -1.93% 0.0093%
11/24/2010 132 0.19% -0.24% 0.0070%
11/25/2010 133 0.90% 0.19% 0.0035%
11/26/2010 134 1.96% -0.89% 0.0059%
11/29/2010 135 2.76% -0.89% 0.0234%
11/30/2010 136 20.60% -1.09% 0.0517%
12/1/2010 137 -3.91% 1.19% 2.2900%
12/2/2010 138 -0.73% 0.53% 1.1489%
12/3/2010 139 -2.62% 1.54% 0.5382%
12/6/2010 140 -0.69% -0.79% 0.2874%
12/7/2010 141 -3.11% -0.35% 0.1365%
12/8/2010 142 0.50% 0.01% 0.1154%
12/9/2010 143 -1.15% -0.17% 0.0551%
12/10/2010 144 3.77% -0.10% 0.0327%
12/13/2010 145 -0.21% 1.24% 0.0913%
12/14/2010 146 -3.17% -0.10% 0.0428%
12/15/2010 147 0.39% -1.23% 0.0736%
12/16/2010 148 0.15% 0.23% 0.0351%
12/17/2010 149 -0.04% -0.42% 0.0165%
12/20/2010 150 0.31% -0.43% 0.0077%
12/21/2010 151 0.41% -0.24% 0.0041%
12/22/2010 152 0.11% 0.00% 0.0028%
12/23/2010 153 0.83% 0.11% 0.0014%
12/24/2010 154 0.00% 0.06% 0.0043%
12/27/2010 155 -0.37% 0.33% 0.0020%
12/28/2010 156 0.06% -0.38% 0.0017%
12/29/2010 157 0.38% 0.84% 0.0008%
12/30/2010 158 0.25% 0.50% 0.0012%
12/31/2010 159 0.00% 0.70% 0.0009%
1/3/2011 160 -0.05% -0.17% 0.0004%
1/4/2011 161 -1.72% -0.40% 0.0002%
1/5/2011 162 0.73% -1.20% 0.0159%
1/6/2011 163 0.87% -1.12% 0.0103%
1/7/2011 164 2.96% -0.74% 0.0088%
1/10/2011 165 2.66% 0.34% 0.0508%
1/11/2011 166 -0.79% 0.18% 0.0616%
1/12/2011 167 -4.79% 1.20% 0.0320%
1/13/2011 168 -1.16% 1.76% 0.1375%
1/14/2011 169 0.87% 0.18% 0.0712%
1/17/2011 170 0.19% -0.70% 0.0372%
1/18/2011 171 -1.09% 0.70% 0.0175%
1/19/2011 172 -4.52% 0.64% 0.0146%
1/20/2011 173 -0.08% 0.00% 0.1158%
1/21/2011 174 -2.19% 1.09% 0.0540%
1/24/2011 175 -2.56% 0.12% 0.0508%
1/25/2011 176 -3.36% 0.31% 0.0586%
1/26/2011 177 0.90% 0.23% 0.0875%
1/27/2011 178 2.12% 0.15% 0.0451%
1/28/2011 179 0.29% -0.90% 0.0451%
1/31/2011 180 0.52% 0.61% 0.0215%
2/1/2011 181 -4.20% 0.98% 0.0115%
2/2/2011 182 1.72% -0.13% 0.0993%
2/3/2011 183 0.01% -1.29% 0.0621%
2/4/2011 184 -1.84% -0.39% 0.0289%
2/7/2011 185 -0.59% 0.01% 0.0315%
2/8/2011 186 -0.02% 0.31% 0.0165%
2/9/2011 187 -0.90% 0.79% 0.0077%
2/10/2011 188 0.45% -0.95% 0.0079%
2/11/2011 189 -0.08% -0.36% 0.0047%
2/14/2011 190 -0.34% -0.48% 0.0022%
2/15/2011 191 0.83% -0.01% 0.0017%
2/16/2011 192 -1.12% 0.61% 0.0044%
2/17/2011 193 -0.72% 0.29% 0.0087%
2/18/2011 194 -1.77% 0.62% 0.0068%
2/21/2011 195 0.33% -0.11% 0.0200%
2/22/2011 196 0.63% -0.20% 0.0099%
2/23/2011 197 0.50% 0.72% 0.0067%
2/24/2011 198 0.54% 0.37% 0.0045%
2/25/2011 199 -2.80% -0.33% 0.0037%
2/28/2011 200 -2.53% 0.38% 0.0435%
3/1/2011 201 -0.50% -0.21% 0.0543%
3/2/2011 202 0.24% 0.64% 0.0267%
3/3/2011 203 -1.66% 0.74% 0.0127%
3/4/2011 204 1.13% 0.13% 0.0207%
3/7/2011 205 0.21% -0.14% 0.0164%
3/8/2011 206 0.06% -0.45% 0.0079%
3/9/2011 207 0.01% 0.03% 0.0037%
3/10/2011 208 1.42% -0.80% 0.0017%
3/11/2011 209 1.42% 0.76% 0.0116%
3/14/2011 210 -0.99% 0.64% 0.0161%
3/15/2011 211 2.36% 0.04% 0.0127%
3/16/2011 212 -0.51% -0.70% 0.0357%
3/17/2011 213 -0.30% 0.87% 0.0181%
3/18/2011 214 -2.76% 1.14% 0.0089%
3/21/2011 215 -0.13% 0.31% 0.0448%
3/22/2011 216 1.97% -0.21% 0.0209%
3/23/2011 217 3.18% -0.76% 0.0305%
3/24/2011 218 -1.46% 0.63% 0.0683%
3/25/2011 219 0.16% -0.63% 0.0433%
3/28/2011 220 0.31% -0.01% 0.0203%
3/29/2011 221 1.51% 0.18% 0.0100%
3/30/2011 222 0.59% 0.10% 0.0168%
3/31/2011 223 0.50% 0.22% 0.0097%
4/1/2011 224 -0.75% 0.56% 0.0059%
4/4/2011 225 -0.88% -0.11% 0.0057%
4/5/2011 226 -0.24% 0.01% 0.0068%
4/6/2011 227 -1.61% 0.76% 0.0035%
4/7/2011 228 1.33% -0.16% 0.0154%
4/8/2011 229 -0.35% 1.22% 0.0166%
4/11/2011 230 -0.94% -0.33% 0.0084%
4/12/2011 231 0.92% 0.28% 0.0087%
4/13/2011 232 0.89% -0.24% 0.0085%
4/14/2011 233 0.62% 0.31% 0.0082%
4/15/2011 234 1.22% -0.40% 0.0059%
4/18/2011 235 1.84% -1.36% 0.0107%
4/19/2011 236 -0.17% 0.70% 0.0230%
4/20/2011 237 -0.96% 1.30% 0.0109%
4/21/2011 238 0.32% 0.20% 0.0099%
4/22/2011 239 0.00% 0.06% 0.0052%
4/25/2011 240 -0.48% 0.14% 0.0024%
4/26/2011 241 -0.06% 0.42% 0.0024%
4/27/2011 242 0.00% 0.98% 0.0011%
4/28/2011 243 0.40% 0.23% 0.0005%
4/29/2011 244 -0.52% -0.10% 0.0011%
5/2/2011 245 0.16% 0.16% 0.0020%
5/3/2011 246 0.01% -0.03% 0.0011%
5/4/2011 247 0.47% 0.01% 0.0005%
5/5/2011 248 0.31% -1.96% 0.0014%
5/6/2011 249 -0.16% -1.55% 0.0012%
5/9/2011 250 0.20% 0.34% 0.0007%
5/10/2011 251 -0.05% 0.31% 0.0005%
5/11/2011 252 -1.01% -1.52% 0.0003%
5/12/2011 253 1.11% 0.38% 0.0056%
5/13/2011 254 -0.95% -0.90% 0.0092%
5/16/2011 255 -0.06% 0.26% 0.0091%
5/17/2011 256 0.07% 0.57% 0.0043%
EMWA[var(Y)] EWMA[Cov(XY)] LogLik Corr(XY) Average Corr
0.00% -0.02879%
0.0005% -0.02879% -22.744880392 -100.00% -27.17%
0.0101% 0.02786% 10.19355836 27.95% -27.17%
0.0167% -0.08113% 12.669136064 -57.39% -27.17%
0.0106% -0.02193% 14.111207915 -26.49% -27.17% 150.00%
0.0053% -0.00883% 14.481197643 -21.87% -27.17%
0.0046% -0.01596% 16.097931122 -51.50% -27.17%
0.0023% -0.00723% 14.099240764 -48.43% -27.17%
0.0037% 0.01026% 9.7124003342 49.49% -27.17% 100.00%
0.0158% -0.00631% 13.821609275 -20.05% -27.17%
0.0081% -0.01028% 14.893877408 -35.50% -27.17%
0.0047% 0.00303% 15.459739461 13.12% -27.17%
0.0022% 0.00039% 10.12377452 2.32% -27.17%
50.00%
0.0088% -0.01898% 14.79131215 -61.62% -27.17%
0.0041% -0.00681% 14.33499891 -29.42% -27.17%
0.0062% -0.01492% 15.354268354 -62.21% -27.17%
Corr
0.0073% -0.00728% 16.840243236 -41.11% -27.17%
0.0035% -0.00220% 15.79458274 -21.61% -27.17% 0.00%
5/26/2010 6/26/
0.0038% -0.00801% 16.752816818 -68.14% -27.17%
0.0018% -0.00364% 10.873598145 -41.65% -27.17%
0.0028% 0.01458% 16.167327375 70.33% -27.17%
0.0019% 0.00239% 16.949534072 17.01% -27.17% -50.00%
0.0015% 0.00383% 16.622302295 40.59% -27.17%
0.0009% 0.00485% 17.741458743 57.51% -27.17%
0.0009% 0.00289% 12.327159293 49.69% -27.17%
0.0034% 0.00761% 7.5123308679 73.51% -27.17%
-100.00%
0.0044% -0.01753% 16.016021795 -63.75% -27.17%
0.0029% -0.00809% -1.7500307982 -52.66% -27.17%
0.0305% 0.02802% 15.225225591 59.79% -27.17%
0.0147% 0.01184% 16.703850053 51.13% -27.17%
0.0071% 0.00539% 17.336852756 48.90% -27.17% -150.00%
0.0059% 0.00032% 15.437734494 4.16% -27.17%
0.0028% 0.00109% 6.5036911541 13.55% -27.17%
0.0025% -0.01251% 16.089713377 -64.04% -27.17%
0.0022% -0.00180% 17.163219401 -12.97% -27.17%
0.0017% -0.00186% 12.037333775 -21.92% -27.17%
0.0063% -0.01069% 16.450180958 -70.18% -27.17%
0.0030% -0.00659% 9.3636595421 -60.59% -27.17%
0.0153% 0.00687% 17.0471537 34.97% -27.17%
0.0072% 0.00332% 18.275763511 35.74% -27.17%
0.0034% 0.00183% 13.563519426 36.58% -27.17%
0.0028% 0.00603% 7.6790630149 71.48% -27.17%
0.0065% 0.02588% 11.994394341 94.88% -27.17%
0.0093% -0.01960% 14.983468551 -44.03% -27.17%
0.0044% -0.01115% 12.957353812 -43.51% -27.17%
0.0044% -0.02702% 15.865152485 -77.86% -27.17%
0.0020% -0.01270% 17.079226155 -75.69% -27.17%
0.0009% -0.00600% 13.336040351 -66.05% -27.17%
0.0027% -0.01240% 17.005081402 -83.85% -27.17%
0.0015% -0.00795% 11.407922292 -85.43% -27.17%
0.0057% -0.01469% 16.582986388 -85.70% -27.17%
0.0035% -0.01018% 17.316540857 -89.12% -27.17%
0.0031% -0.00380% 18.692605259 -50.63% -27.17%
0.0017% -0.00237% 15.849226126 -57.87% -27.17%
0.0033% -0.00568% 18.48912251 -86.84% -27.17%
0.0026% -0.00384% 18.792970758 -88.04% -27.17%
0.0018% -0.00322% -13.689552892 -91.94% -27.17%
0.0319% -0.01721% 15.063290936 -91.48% -27.17%
0.0152% -0.01016% 16.208902431 -62.33% -27.17%
0.0089% -0.00058% 17.605506236 -4.67% -27.17%
0.0059% -0.00046% 13.439050784 -6.64% -27.17%
0.0038% -0.00526% 10.25982009 -51.45% -27.17%
0.0021% 0.00373% 17.051885085 22.61% -27.17%
0.0013% 0.00026% 12.58965857 2.78% -27.17%
0.0046% -0.00308% 17.459756524 -24.58% -27.17%
0.0032% -0.00007% 18.332709728 -0.95% -27.17%
0.0018% -0.00121% 12.754641252 -25.40% -27.17%
0.0012% 0.00343% 16.977811773 43.70% -27.17%
0.0016% -0.00088% 18.084167665 -12.53% -27.17%
0.0015% -0.00198% 15.596256768 -38.91% -27.17%
0.0040% -0.00119% 17.649355273 -20.89% -27.17%
0.0020% 0.00032% 2.8771405444 6.72% -27.17%
0.0064% -0.02004% 16.23407838 -88.66% -27.17%
0.0031% -0.01080% 15.789679667 -79.65% -27.17%
0.0030% -0.01234% 17.357589871 -90.54% -27.17%
0.0015% -0.00451% 1.5522820253 -57.11% -27.17%
0.0130% -0.02691% 16.039625182 -89.78% -27.17%
0.0065% -0.01110% 17.040414444 -71.86% -27.17%
0.0032% -0.00387% 16.114305 -42.30% -27.17%
0.0016% -0.00001% 0.6341743722 -0.14% -27.17%
0.0144% -0.02722% 15.301012098 -82.59% -27.17%
0.0109% -0.00709% 16.546144965 -32.84% -27.17%
0.0051% -0.00267% 17.373178412 -22.55% -27.17%
0.0038% -0.00324% 18.30943477 -42.13% -27.17%
0.0020% -0.00049% 19.842217663 -10.09% -27.17%
0.0010% -0.00021% -3.4444232903 -9.17% -27.17%
0.0132% -0.00431% 5.5959998964 -60.14% -27.17%
0.0122% -0.01464% 15.049508633 -79.02% -27.17%
0.0082% -0.01498% 14.197538936 -83.27% -27.17%
0.0132% -0.02034% 16.056005947 -91.49% -27.17%
0.0066% -0.00709% 16.258139311 -49.26% -27.17%
0.0080% -0.00181% -1.2195165584 -16.41% -27.17%
0.0042% -0.00976% 16.373949685 -37.09% -27.17%
0.0020% -0.00419% 10.851203315 -32.16% -27.17%
0.0079% -0.01392% 16.103799998 -63.71% -27.17%
0.0069% -0.00698% 15.234252331 -50.18% -27.17%
0.0099% -0.01167% 14.215023226 -76.20% -27.17%
0.0069% -0.01464% 17.039762274 -80.45% -27.17%
0.0032% -0.00668% 18.454203577 -71.60% -27.17%
0.0015% -0.00334% 16.35656021 -72.53% -27.17%
0.0018% 0.00273% 18.437582679 42.06% -27.17%
0.0015% 0.00011% 8.6620133368 2.45% -27.17%
0.0011% -0.00512% 11.31151975 -55.23% -27.17%
0.0046% -0.00197% 16.405989057 -14.94% -27.17%
0.0053% -0.00443% 17.973927456 -41.62% -27.17%
0.0030% -0.00116% 9.4598054828 -19.75% -27.17%
0.0133% 0.01295% 15.209168896 78.02% -27.17%
0.0219% 0.00634% 13.265968293 43.69% -27.17%
0.0107% 0.00641% 16.725229258 37.72% -27.17%
0.0053% 0.00136% 15.35126766 12.92% -27.17%
0.0025% -0.00041% 15.995979955 -3.97% -27.17%
0.0043% -0.00193% 17.376007326 -20.42% -27.17%
0.0043% -0.00295% 15.7814611119 -41.98% -27.17%
0.0092% 0.00140% 17.421732737 18.13% -27.17%
0.0044% 0.00129% 19.002605936 21.61% -27.17%
0.0028% 0.00120% 16.037239446 34.48% -27.17%
0.0068% -0.00279% 18.482914185 -53.29% -27.17%
0.0061% -0.00293% -49.312106786 -70.98% -27.17%
0.0041% 0.00986% 8.6451550618 47.91% -27.17%
0.0101% -0.04097% 14.367348272 -74.23% -27.17%
0.0081% -0.01999% 14.41335736 -59.08% -27.17%
0.0098% -0.00019% 16.358119975 -0.67% -27.17%
0.0046% -0.00016% 16.222153657 -1.20% -27.17%
0.0060% -0.00295% 17.746213719 -27.33% -27.17%
0.0029% -0.00227% 17.209838746 -35.40% -27.17%
0.0045% 0.00061% 10.090220825 10.66% -27.17%
0.0049% -0.00929% 17.667382582 -69.83% -27.17%
0.0027% -0.00417% 13.214671275 -61.10% -27.17%
0.0050% -0.01271% 17.585869558 -90.97% -27.17%
0.0026% -0.00531% 18.637426358 -74.43% -27.17%
0.0018% -0.00208% -0.7293735292 -50.50% -27.17%
0.0207% -0.00827% 17.967891152 -68.56% -27.17%
0.0099% -0.00409% 17.117951484 -69.73% -27.17%
0.0048% -0.00101% 11.540529576 -18.85% -27.17%
0.0064% -0.00977% 13.518777551 -79.63% -27.17%
0.0072% -0.01766% -66.614036644 -91.45% -27.17%
0.0097% -0.12788% 11.478868287 -85.90% -27.17%
0.0121% -0.08454% 13.246362429 -71.62% -27.17%
0.0072% -0.04147% 11.329151544 -66.80% -27.17%
0.0160% -0.04085% 14.182491915 -60.24% -27.17%
0.0108% -0.01613% 14.90207484 -41.97% -27.17%
0.0057% -0.00163% 16.513919364 -6.36% -27.17%
0.0027% -0.00074% 17.685379664 -6.11% -27.17%
0.0014% 0.00072% 14.777958003 10.63% -27.17%
0.0007% -0.00164% -2.96314502 -20.50% -27.17%
0.0085% -0.00215% 14.766378777 -11.26% -27.17%
0.0040% 0.00064% 13.537058056 3.73% -27.17%
0.0100% -0.00225% 17.107703439 -12.00% -27.17%
0.0049% -0.00087% 18.263202013 -9.65% -27.17%
0.0033% -0.00031% 19.105016646 -6.21% -27.17%
0.0025% -0.00086% 20.06661847 -26.80% -27.17%
0.0015% -0.00091% 21.570693563 -45.10% -27.17%
0.0007% -0.00043% 17.899933903 -44.06% -27.17%
0.0004% 0.00027% 22.436799041 21.39% -27.17%
0.0002% 0.00013% 17.851366313 20.47% -27.17%
0.0007% -0.00058% 20.725703131 -55.70% -27.17%
0.0011% -0.00040% 14.872057071 -42.71% -27.17%
0.0042% 0.00153% 20.321759512 69.11% -27.17%
0.0033% 0.00137% 20.500515418 81.12% -27.17%
0.0041% 0.00063% 22.381700382 48.39% -27.17%
0.0021% 0.00034% -124.27909426 51.99% -27.17%
0.0018% 0.00381% 11.361842202 70.90% -27.17%
0.0086% -0.00293% 16.354439538 -31.19% -27.17%
0.0106% -0.00656% 8.0821869053 -67.55% -27.17%
0.0079% -0.01475% 15.488510419 -73.68% -27.17%
0.0043% -0.00204% 17.273098748 -12.51% -27.17%
0.0022% -0.00170% 4.9531225454 -20.36% -27.17%
0.0087% -0.03156% 12.296754752 -91.06% -27.17%
0.0206% -0.02558% 15.613383486 -66.79% -27.17%
0.0098% -0.01109% 16.611377517 -58.14% -27.17%
0.0072% -0.00589% 16.828888555 -52.42% -27.17%
0.0060% -0.00682% 3.8649516917 -73.23% -27.17%
0.0050% -0.01863% 16.671128564 -77.70% -27.17%
0.0023% -0.00868% 12.148209994 -77.68% -27.17%
0.0075% -0.01683% 15.781206027 -86.50% -27.17%
0.0036% -0.00955% 15.483647519 -66.14% -27.17%
0.0022% -0.01009% 17.428987124 -72.97% -27.17%
0.0013% -0.00358% 17.768340612 -46.54% -27.17%
0.0007% 0.00007% 8.5029837671 1.17% -27.17%
0.0047% -0.00138% 17.500389186 -13.80% -27.17%
0.0041% 0.00104% 1.4818512521 15.14% -27.17%
0.0071% -0.02149% 16.148954721 -81.09% -27.17%
0.0034% -0.01121% 12.763685389 -77.31% -27.17%
0.0105% -0.00528% 15.999452313 -30.35% -27.17%
0.0057% 0.00136% 17.727516942 10.18% -27.17%
0.0027% 0.00059% 18.88607025 8.90% -27.17%
0.0017% 0.00025% 15.812836691 6.73% -27.17%
0.0041% -0.00366% 17.101052019 -64.11% -27.17%
0.0068% -0.00399% 19.350792644 -70.37% -27.17%
0.0038% -0.00170% 19.763773511 -57.79% -27.17%
0.0030% 0.00007% 17.294065178 3.24% -27.17%
0.0014% -0.00003% 15.75868409 -1.27% -27.17%
0.0026% -0.00363% 18.971697066 -75.98% -27.17%
0.0017% -0.00282% 13.733572077 -83.27% -27.17%
0.0028% -0.00714% 18.902948553 -95.40% -27.17%
0.0014% -0.00352% 19.709696435 -95.61% -27.17%
0.0009% -0.00233% 14.841797882 -96.68% -27.17%
0.0032% 0.00086% 19.27423148 22.63% -27.17%
0.0022% 0.00148% -0.861044863 51.66% -27.17%
0.0016% 0.00567% 16.425033358 67.41% -27.17%
0.0015% -0.00244% 18.275069366 -26.90% -27.17%
0.0009% -0.00057% 15.387512446 -11.44% -27.17%
0.0027% 0.00056% 15.267986198 9.59% -27.17%
0.0042% -0.00631% 17.915994802 -68.02% -27.17%
0.0020% -0.00217% 19.40172834 -37.55% -27.17%
0.0010% -0.00116% 18.954810921 -40.48% -27.17%
0.0016% -0.00069% 21.257136366 -28.37% -27.17%
0.0007% -0.00032% 2.4015763829 -28.20% -27.17%
0.0038% -0.00622% 15.986019245 -94.20% -27.17%
0.0048% 0.00284% 17.222035441 32.22% -27.17%
0.0044% -0.00204% 14.606018035 -27.19% -27.17%
0.0021% -0.00041% 16.264484263 -4.77% -27.17%
0.0036% 0.00174% 16.713329306 21.52% -27.17%
0.0057% -0.00060% 8.2732295417 -8.38% -27.17%
0.0096% -0.01709% 16.857847116 -82.39% -27.17%
0.0050% -0.00817% 16.436184774 -79.93% -27.17%
0.0026% -0.00603% 13.065251223 -68.21% -27.17%
0.0043% -0.01579% 16.106893997 -92.04% -27.17%
0.0041% -0.01228% 16.873666658 -91.91% -27.17%
0.0040% -0.00626% 18.57087203 -69.13% -27.17%
0.0019% -0.00293% 17.638291412 -67.59% -27.17%
0.0011% 0.00012% 19.848003928 2.79% -27.17%
0.0005% 0.00037% 20.219376752 15.99% -27.17%
0.0005% 0.00076% 14.906187263 43.94% -27.17%
0.0019% -0.00188% 19.223752284 -56.98% -27.17%
0.0009% -0.00035% 21.072277572 -13.64% -27.17%
0.0004% -0.00018% 2.2886680692 -14.46% -27.17%
0.0033% -0.00657% 17.880384202 -92.71% -27.17%
0.0017% -0.00420% 10.724629252 -80.04% -27.17%
0.0087% -0.00420% 17.5566619 -49.27% -27.17%
0.0046% -0.00032% 18.196582628 -5.05% -27.17%
0.0026% 0.00124% 18.801288055 26.46% -27.17%
0.0015% -0.00054% 19.399619394 -15.33% -27.17%
0.0012% 0.00079% 17.205865583 29.46% -27.17%
0.0014% -0.00225% 4.156923706 -57.55% -27.17%
0.0105% -0.01438% 17.058404974 -92.39% -27.17%
0.0075% -0.00734% 15.526787975 -81.17% -27.17%
0.0126% -0.01007% 18.063102758 -90.08% -27.17%
0.0061% -0.00435% 19.571314462 -77.61% -27.17%
0.0029% -0.00203% 20.064509981 -77.33% -27.17%
0.0014% -0.00132% 20.53840708 -71.36% -27.17%
0.0016% -0.00074% 16.557935958 -54.79% -27.17%
0.0059% -0.00034% 18.670860664 -19.72% -27.17%
0.0030% 0.00034% 19.375921392 18.28% -27.17%
0.0015% 0.00044% 21.672933143 25.83% -27.17%
0.0008% 0.00034% 23.168590876 36.78% -27.17%
0.0004% 0.00016% 20.22400358 36.22% -27.17%
0.0002% 0.00011% -190.43687815 21.33% -27.17%
0.0206% -0.00321% 18.451133398 -65.36% -27.17%
0.0224% -0.00014% 19.65554353 -3.54% -27.17%
0.0110% 0.00030% 21.119220546 12.35% -27.17%
0.0056% 0.00006% -20.581026158 5.04% -27.17%
0.0149% 0.00824% 16.310236892 90.07% -27.17%
0.0077% 0.00609% 16.737439558 72.30% -27.17%
0.0079% 0.00739% 18.659203179 87.18% -27.17%
0.0040% 0.00335% 19.359891858 80.75% -27.17%
mu 0.000026
beta 0.466024
Excel Correlation
-27.17% Daily Corr
Sum
150.00% Error 3262.6444
100.00%
50.00%
Corr
0.00%
5/26/2010 6/26/2010 7/26/2010 8/26/2010 9/26/2010 10/26/2010 11/26/2010
-50.00%
-100.00%
-150.00%
Daily Corr
Corr
6/2010 11/26/2010 12/26/2010 1/26/2011 2/26/2011 3/26/2011 4/26/2011 Average
Corr
4/26/2011 Average Corr
5/25/2010
5/26/2010
5/27/2010
5/28/2010
5/31/2010
6/1/2010
6/2/2010
6/3/2010
6/4/2010
6/7/2010
6/8/2010
6/9/2010
6/10/2010
6/11/2010
6/14/2010
6/15/2010
6/16/2010
6/17/2010
6/18/2010
6/21/2010
6/22/2010
6/23/2010
6/24/2010
6/25/2010
6/28/2010
6/29/2010
6/30/2010
7/1/2010
7/2/2010
7/5/2010
7/6/2010
7/7/2010
7/8/2010
7/9/2010
7/12/2010
7/13/2010
7/14/2010
7/15/2010
7/16/2010
7/19/2010
7/20/2010
7/21/2010
7/22/2010
7/23/2010
7/26/2010
7/27/2010
7/28/2010
7/29/2010
7/30/2010
8/2/2010
8/3/2010
8/4/2010
8/5/2010
8/6/2010
8/9/2010
8/10/2010
8/11/2010
8/12/2010
8/13/2010
8/16/2010
8/17/2010
8/18/2010
8/19/2010
8/20/2010
8/23/2010
8/24/2010
8/25/2010
8/26/2010
8/27/2010
8/30/2010
8/31/2010
9/1/2010
9/2/2010
9/3/2010
9/6/2010
9/7/2010
9/8/2010
9/9/2010
9/10/2010
9/13/2010
9/14/2010
9/15/2010
9/16/2010
9/17/2010
9/20/2010
9/21/2010
9/22/2010
9/23/2010
9/24/2010
9/27/2010
9/28/2010
9/29/2010
9/30/2010
10/1/2010
10/4/2010
10/5/2010
10/6/2010
10/7/2010
10/8/2010
10/11/2010
10/12/2010
10/13/2010
10/14/2010
10/15/2010
10/18/2010
10/19/2010
10/20/2010
10/21/2010
10/22/2010
10/25/2010
10/26/2010
10/27/2010
10/28/2010
10/29/2010
11/1/2010
11/2/2010
11/3/2010
11/4/2010
11/5/2010
11/8/2010
11/9/2010
11/10/2010
11/11/2010
11/12/2010
11/15/2010
11/16/2010
11/17/2010
11/18/2010
11/19/2010
11/22/2010
11/23/2010
11/24/2010
11/25/2010
11/26/2010
11/29/2010
11/30/2010
12/1/2010
12/2/2010
12/3/2010
12/6/2010
12/7/2010
12/8/2010
12/9/2010
12/10/2010
12/13/2010
12/14/2010
12/15/2010
12/16/2010
12/17/2010
12/20/2010
12/21/2010
12/22/2010
12/23/2010
12/24/2010
12/27/2010
12/28/2010
12/29/2010
12/30/2010
12/31/2010
1/3/2011
1/4/2011
1/5/2011
1/6/2011
1/7/2011
1/10/2011
1/11/2011
1/12/2011
1/13/2011
1/14/2011
1/17/2011
1/18/2011
1/19/2011
1/20/2011
1/21/2011
1/24/2011
1/25/2011
1/26/2011
1/27/2011
1/28/2011
1/31/2011
2/1/2011
2/2/2011
2/3/2011
2/4/2011
2/7/2011
2/8/2011
2/9/2011
2/10/2011
2/11/2011
2/14/2011
2/15/2011
2/16/2011
2/17/2011
2/18/2011
2/21/2011
2/22/2011
2/23/2011
2/24/2011
2/25/2011
2/28/2011
3/1/2011
3/2/2011
3/3/2011
3/4/2011
3/7/2011
3/8/2011
3/9/2011
3/10/2011
3/11/2011
3/14/2011
3/15/2011
3/16/2011
3/17/2011
3/18/2011
3/21/2011
3/22/2011
3/23/2011
3/24/2011
3/25/2011
3/28/2011
3/29/2011
3/30/2011
3/31/2011
4/1/2011
4/4/2011
4/5/2011
4/6/2011
4/7/2011
4/8/2011
4/11/2011
4/12/2011
4/13/2011
4/14/2011
4/15/2011
4/18/2011
4/19/2011
4/20/2011
4/21/2011
4/22/2011
4/25/2011
4/26/2011
4/27/2011
4/28/2011
4/29/2011
5/2/2011
5/3/2011
5/4/2011
5/5/2011
5/6/2011
5/9/2011
5/10/2011
5/11/2011
5/12/2011
5/13/2011
5/16/2011
5/17/2011