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qrwid.wasp

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Quasi Random-Walk Identification

Date of computation

Tue, 30 Nov 2010 15:16:26 +0000

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Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2010/Nov/30/t1291130062ji952b1ucntj5wt.htm/, Retrieved Mon, 29 Apr 2024 07:58:51 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=103602, Retrieved Mon, 29 Apr 2024 07:58:51 +0000

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-     [Quasi Random-Walk Identification] [Beursspel - QRW -...] [2010-11-28 11:24:07] [1f5baf2b24e732d76900bb8178fc04e7]
-    D    [Quasi Random-Walk Identification] [Workshop 8 Part 2...] [2010-11-30 15:16:26] [50e0b5177c9c80b42996aa89930b928a] [Current]

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7.35
7.47
7.26
7.50
7.45
7.29
6.89
6.99
7.20
7.11
7.34
7.48
7.41
7.59
7.66
7.52
7.30
7.10
6.86
6.98
6.91
6.94
6.82
6.57
6.46
6.51
6.52
6.26
6.44
6.29
6.27
6.32
6.17
6.14
6.15
5.88
5.90
5.89
5.66
5.84
5.81
5.82
5.90
5.83
5.92
5.66
5.75
5.83
5.98
5.85
5.69
5.86
5.88
5.90
5.72
5.52
5.50
5.43
5.59
5.40
5.30
5.08
5.06
5.17
4.95
5.00
4.92
5.00
5.01
4.90
5.11
5.06
4.89
4.88
5.01
5.01
5.38
5.53
5.49
5.59
5.48
5.30
5.32
5.19
5.33
5.32
5.31
5.30
5.27
5.19
4.95
5.09
5.00
4.94
5.15
5.11
5.35
5.10
5.18
5.06
4.91
4.51
4.56
4.76
4.82
4.89
5.43
5.40
5.21
5.53
5.58
5.66
5.54
5.59
5.79
5.58
5.31
5.33
5.20
4.76
4.34
4.46
4.65
4.81
5.22
5.12
5.33
5.36
5.05
4.97
4.96
5.04
4.66
5.00
5.23
5.37
5.54
5.89
5.98
5.85
5.85
5.13
5.79
6.33
6.07
6.23
6.13
6.45
6.00
5.92
6.17
6.11
6.00
6.08
5.92
5.60
5.33
5.66
5.56
5.50
5.54
5.53
5.57
5.58
5.57
5.51
5.28
5.08
5.01
4.85
4.85
4.77
4.78
4.73
4.60
4.62
4.79
4.85
4.78
4.79
4.83
4.82
4.67
4.65
4.60
4.53
4.31
4.15
4.20
4.34
4.30
4.29
4.11
3.85
3.91
3.78
3.62
3.56
3.53
3.46
3.48
3.37
3.23
3.21
3.25
3.33
3.64
3.49
3.39
3.69
3.78
3.85
3.78
3.80
3.91
4.10
4.37
4.04
3.87
3.95
3.75
3.30
3.15
3.05
2.90
2.65
2.57
2.56
2.44
2.51
2.50
2.57
2.53
2.41
2.39
2.39
2.52
2.67
2.80
2.84
2.93
2.93
2.83
2.87
2.95
3.02
2.98
2.89
2.91
2.93
2.94
2.88
3.02
3.09
3.15
3.06
2.98
3.08
2.89
2.89
2.84
2.77
2.93
2.91
2.98
2.94
3.02
2.78
2.71
2.61
2.68
2.80
2.68
3.04
3.16
3.05
3.13
3.11
3.09
3.24
3.24
3.25
3.31
3.12
3.20
3.19
3.21
3.14
2.83
2.64
2.71
2.92
3.23
3.30
3.38
3.22
3.20
3.42
3.17
3.04
3.18
3.27
3.41
2.57
2.64
2.28
2.28
2.29
2.28
2.20
2.24
2.13
2.26
2.48
2.49
2.45
2.50
2.54
2.74
2.93
2.88
2.81
2.87
2.76
2.94
2.96
2.98
3.09
3.22
3.08
2.85
3.02
3.61
3.57
3.61
3.44
3.18
3.28
3.24
3.05
3.10
2.91
2.76
2.85
2.88
2.99
3.03
2.86
2.92
2.84
2.82
2.83
2.94
3.10
3.08
3.18
3.21
3.09
3.17
2.72
2.71
2.62
2.85
3.20
3.27
3.54
3.89
4.28
3.75
3.35
2.76
2.84
2.83
2.84
2.97
2.70
2.91
2.90
2.75
2.92
2.99
3.26
3.15
3.24
3.35
3.47
3.46
3.04
3.25
3.00
3.44
3.65
3.45
3.36
3.28
4.78
4.64
3.76
3.09
2.79
2.65
2.66
2.79
2.75
2.74
2.60
2.31
2.79
2.70
2.62
2.62
2.72
2.50
2.05
2.02
2.25
2.50
2.63
2.25
1.87
1.82
2.15
2.28
2.19
1.94
1.63
1.19
1.01
1.15
1.10
1.08
0.98
1.10
0.84
0.76
0.63
0.59
0.70
0.75
0.75
1.19
1.35
1.38
1.21
1.48
1.30
1.41
1.55
1.71
1.88
2.25
2.71
2.70
2.62
3.33
2.73
2.48
2.45
2.47
2.66
2.86
3.14
4.12
4.09
4.00
4.19
3.83
4.16
3.66
4.58
4.46
4.75
5.23
5.13
5.81
6.15
6.24
7.31
5.20
3.68
3.24
2.94
2.88
3.09
3.05
3.08
3.24
3.33
3.09
3.05
3.24
3.05
3.09
3.12
3.27
3.37
3.57
3.15
3.46
3.74

Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)	Value
Kurtosis (small sample)	7.249139
Kurtosis S.E. (small sample)	0.218222
TEST 1 (small sample)	33.219062
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	7.164706
Kurtosis S.E. (large sample)	0.219308
TEST 1 (large sample)	32.669541
TEST 1 Prob. (large sample)	0.000000
Quasi Random-Walk probability	0.962935

\begin{tabular}{lllllllll}
\hline

Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model \tabularnewline

Statistics of (1-B)lnY(t)

Value \tabularnewline Kurtosis (small sample)

7.249139 \tabularnewline Kurtosis S.E. (small sample)

0.218222 \tabularnewline TEST 1 (small sample)

33.219062 \tabularnewline TEST 1 Prob. (small sample)

0.000000 \tabularnewline Quasi Random-Walk probability

0.962935 \tabularnewline \tabularnewline Kurtosis (large sample)

7.164706 \tabularnewline Kurtosis S.E. (large sample)

0.219308 \tabularnewline TEST 1 (large sample)

32.669541 \tabularnewline TEST 1 Prob. (large sample)

0.000000 \tabularnewline Quasi Random-Walk probability

0.962935 \tabularnewline \hline \end{tabular} %Source: https://freestatistics.org/blog/index.php?pk=103602&T=0

[TABLE]

[ROW][C]Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model[/C][/ROW]

[ROW]

Statistics of (1-B)lnY(t)[/C]

Value[/C][/ROW] [ROW][C]Kurtosis (small sample)[/C]

7.249139[/C][/ROW] [ROW][C]Kurtosis S.E. (small sample)[/C]

0.218222[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]

33.219062[/C][/ROW] [ROW][C]TEST 1 Prob. (small sample)[/C]

0.000000[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]

0.962935[/C][/ROW] [ROW][/ROW] [ROW][C]Kurtosis (large sample)[/C]

7.164706[/C][/ROW] [ROW][C]Kurtosis S.E. (large sample)[/C]

0.219308[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]

32.669541[/C][/ROW] [ROW][C]TEST 1 Prob. (large sample)[/C]

0.000000[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]

0.962935[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=103602&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=103602&T=0

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Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)	Value
Kurtosis (small sample)	7.249139
Kurtosis S.E. (small sample)	0.218222
TEST 1 (small sample)	33.219062
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	7.164706
Kurtosis S.E. (large sample)	0.219308
TEST 1 (large sample)	32.669541
TEST 1 Prob. (large sample)	0.000000
Quasi Random-Walk probability	0.962935

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