Ying & Yen
description
Transcript of Ying & Yen
Exploratory Data Analysis
0
10
20
30
40
50
60
80 120 160 200 240 280 320 360
Series: YENSample 1971:01 2003:04Observations 388
Mean 187.9490Median 154.1100Maximum 358.0200Minimum 83.69000Std. Dev. 74.62085Skewness 0.455751Kurtosis 1.838691
Jarque-Bera 35.23484Probability 0.000000
Breaking Yen into Change $
0
10
20
30
40
50
-0.10 -0.05 0.00 0.05
Series: DLNYENSample 1971:02 2003:04Observations 387
Mean -0.002827Median -6.64E-05Maximum 0.080641Minimum -0.105212Std. Dev. 0.027848Skewness -0.560805Kurtosis 3.994162
Jarque-Bera 36.22266Probability 0.000000
Modeling ARMA
Dependent Variable: DLNYEN Method: Least Squares Date: 05/27/03 Time: 19:55 Sample(adjusted): 1972:01 2003:04 Included observations: 376 after adjusting endpoints Convergence achieved after 5 iterations Backcast: 1971:11 1971:12
Variable Coefficient Std. Error t-Statistic Prob.
C -0.002491 0.002324 -1.072022 0.2844 AR(1) 0.384827 0.050768 7.580106 0.0000 AR(11) 0.109029 0.047550 2.292930 0.0224 MA(2) -0.127598 0.055173 -2.312705 0.0213
R-squared 0.142849 Mean dependent var -0.002611 Adjusted R-squared 0.135936 S.D. dependent var 0.028097 S.E. of regression 0.026118 Akaike info criterion -4.441825 Sum squared resid 0.253754 Schwarz criterion -4.400021 Log likelihood 839.0632 F-statistic 20.66526 Durbin-Watson stat 1.997878 Prob(F-statistic) 0.000000
Inverted AR Roots .86 .73+.44i .73 -.44i .38 -.74i .38+.74i -.08 -.80i -.08+.80i -.51 -.61i -.51+.61i -.76+.23i -.76 -.23i
Inverted MA Roots .36 -.36
Residual^2 Checking Periods of High Variance
0.000
0.002
0.004
0.006
0.008
0.010
75 80 85 90 95 00
RES1
ARCH - GARCH
Dependent Variable: DLNYEN Method: ML - ARCH Date: 05/27/03 Time: 20:01 Sample(adjusted): 1972:01 2003:04 Included observations: 376 after adjusting endpoints Convergence achieved after 16 iterations Backcast: 1971:11 1971:12
Coefficient Std. Error z-Statistic Prob.
C -0.003070 0.002464 -1.246078 0.2127 AR(1) 0.385571 0.049810 7.740781 0.0000 AR(11) 0.110189 0.047329 2.328143 0.0199 MA(2) -0.127388 0.057715 -2.207172 0.0273
Variance Equation
C 6.60E-05 3.06E-05 2.155304 0.0311 ARCH(1) 0.025874 0.022354 1.157461 0.2471
GARCH(1) 0.878035 0.060674 14.47141 0.0000
R-squared 0.142704 Mean dependent var -0.002611 Adjusted R-squared 0.128765 S.D. dependent var 0.028097 S.E. of regression 0.026226 Akaike info criterion -4.441799 Sum squared resid 0.253797 Schwarz criterion -4.368642 Log likelihood 842.0582 F-statistic 10.23721 Durbin-Watson stat 1.998922 Prob(F-statistic) 0.000000
Inverted AR Roots .86 .73+.44i .73 -.44i .38 -.74i .38+.74i -.08 -.80i -.08+.80i -.51 -.61i -.51+.61i -.76+.23i -.76 -.23i
Inverted MA Roots .36 -.36
ARCH - GARCH
-0.10
-0.05
0.00
0.05
0.10
-0.15
-0.10
-0.05
0.00
0.05
0.10
75 80 85 90 95 00
Residual Actual Fitted
Forecast Yen Exchange
-0.08
-0.06
-0.04
-0.02
0.00
0.02
0.04
0.06
03:05 03:07 03:09 03:11 04:01 04:03
DLNYENF ± 2 S.E.
-0.08
-0.06
-0.04
-0.02
0.00
0.02
0.04
0.06
03:05 03:07 03:09 03:11 04:01 04:03
DLNYENG ± 2 S.E.
0.00064
0.00065
0.00066
0.00067
0.00068
03:05 03:07 03:09 03:11 04:01 04:03
Forecast of Variance
ARMA- Forecast ARMA with ARCH-GARCH Forecast
Conclusion Our model forecasts a relatively flat
fractional change in the ¥/$ over the next twelve months.
We have more confidence in our second model because the ARCH-GARCH terms account for periods of high variance.