You believe that the price of Zoom Videoconferencing stock and the price of American Airlines stock will move in opposite directions. In order to test this relationship, we do a simple regression with the following variables: 1. A-dependent variable : month end price of American Airlines stock Z-independent variable: month end price of Zoom Videoconferencing stock Data from April 2019 through December 2020 (21 observations) is available Based on the data, we compute the following: Var (2) = 20927.702 Cov (AZ) = -899.153 E(A) = 20.790 E(Z) = 187.530 Std Error of Estimate = 6.088 TSS = 1476.830 Consider the equation A = b + bi Z+ E Based on the numbers given above, complete the following table a. Variable Estimate Std error t-statistic Slope b .00941 Constant b 2.2088 R-square N/A N/A F statistic N/A N/A b. Are the coefficients (slope and/or constant) significant at the.05 level?
You believe that the price of Zoom Videoconferencing stock and the price of American Airlines stock will move in opposite directions. In order to test this relationship, we do a simple regression with the following variables: 1. A-dependent variable : month end price of American Airlines stock Z-independent variable: month end price of Zoom Videoconferencing stock Data from April 2019 through December 2020 (21 observations) is available Based on the data, we compute the following: Var (2) = 20927.702 Cov (AZ) = -899.153 E(A) = 20.790 E(Z) = 187.530 Std Error of Estimate = 6.088 TSS = 1476.830 Consider the equation A = b + bi Z+ E Based on the numbers given above, complete the following table a. Variable Estimate Std error t-statistic Slope b .00941 Constant b 2.2088 R-square N/A N/A F statistic N/A N/A b. Are the coefficients (slope and/or constant) significant at the.05 level?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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This 2qstns are correlated
Transcribed Image Text:You believe that the price of Zoom Videoconferencing stock and
the price of American Airlines stock will move in opposite directions. In order to
test this relationship, we do a simple regression with the following variables:
1.
A-dependent variable : month end price of American Airlines stock
Z-independent variable: month end price of Zoom Videoconferencing stock
Data from April 2019 through December 2020 (21 observations) is available
Based on the data, we compute the following:
Var (2) = 20927.702
Cov (AZ) = -899.153
E(A) = 20.790
E(Z) = 187.530
Std Error of Estimate = 6.088
TSS = 1476.830
Consider the equation A = b + bi Z+ &
Based on the numbers given above, complete the following table
a.
Variable
Estimate
Std error
t-statistic
Slope b
.00941
Constant b
2.2088
R-square
N/A
N/A
F statistic
N/A
N/A
b.
Are the coefficients (slope and/or constant) significant at the.05 level?
Transcribed Image Text:You believe that the VIX trades in regimes where its average level
2.
is significantly different. You define four regimes from 2004 through 2021: June
2008 through October 2011 (financial crisis); February 2020 through March 2021
(the COVID-19 crisis); the 12-month transition periods before and after the
financial crisis and the current transition period after the COVID-19 crisis; and the
remaining periods of low volatility. In order to test your hypothesis, you examine
month-end values of the VIX from January 2004 through October 2021 (214
observations) and conduct the following regression:
Dependent variable YMonth-end value of VIX
Dummy variable X1:Financial Crisis: 1 if between June 2008 through Oct 2011,0
if not
Dummy variable X2:COVID-19 crisis: 1 if between Feb 2020 through March 2021,
O if not
Dummy variable X2:Transition period: 1 if in 12 months before or after the
financial crisis orthe current period since the COVID-19 crisis
(June 2007 - May 2008, Nov 2011 - Oct 2012, or April 2021 Oct 2021)
The results for the regression are as follows
Coefficie
Standard
Error
0.5226
1.0610
nts
Intercept
financial crisis
COVID-19 crisis
transition
14.63
13.21
15.71
1.6643
5.40
1.1835
How would the introduction of Dummy variable X4: Low volatility period
(Jan 2004- May 2007, or Nov 2012-Jan 2020) affect the output of this
regression? Why?
a.
b. Which of the coefficients are significant at the 0.01 level?
C.
According to the regression result, what was the average value of the VIX
during the COVID-19 Crisis?
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