QUESTION NO 2 (B)

Dependent Variable: SERIES01

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 02/11/15 Time: 18:47
Sample: 1 3902
Included observations: 3902
Convergence achieved after 156 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*RESID(-1)^2*(RESID(-1)<0) +
C(5)*GARCH(-1)
Variable
C

CoefficientStd. Error z-Statistic Prob.

2972.38 71.82485 41.38373

Variance Equation
C
17436589 1484664 11.74447
RESID(-1)^ 1.610742 0.476729 3.378736
RESID(-1)^-4.478537 0.592223 -7.562244
GARCH(-1) -0.963795 0.035529 -27.12688
R-squared -0.656497
Adjusted R -0.656497
S.E. of reg 6669.016
Sum square1.74E+11
Log likelih -38025.32
Durbin-Wat 0.000277

0
0.0007
0
0

Mean dependent va 7170.232

S.D. dependent var 5181.631
Akaike info criterio 19.49273
Schwarz criterion 19.50076
Hannan-Quinn crite 19.49558

*(RESID(-1)<0) +

Question no 3 a
Date

PSO
30-Dec-11
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
26-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
2-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
20-Feb-12
21-Feb-12

KSE
228
228.49
236.15
235.02
232.5
230.5
234
234.5
234.45
234
236.09
237.5
235
237.5
239
250.85
255.5
252.99
252.01
251
253.65
257
256.16
256.5
252.05
255.1
260
267.5
264
252.69
251.5
254.25
254
253.51
253.3
256.5
261
266

11347.66 Ri
Rm
11282.01 0.002147 -0.005802
11402.04 0.032975 0.010583
11361.97 -0.004797 -0.00352
11187.88 -0.01078 -0.015441
11125.35 -0.008639 -0.005605
11040.3 0.01507 -0.007674
10933.18 0.002134 -0.00975
10930.49 -0.000213 -0.000246
10909.12 -0.001921 -0.001957
11014.46 0.008892 0.00961
11112.65 0.005955 0.008875
11305.16 -0.010582 0.017175
11547.71 0.010582 0.021228
11515.59 0.006296 -0.002785
11774.68 0.048392 0.02225
12037.66 0.018367 0.022089
11991.38 -0.009872 -0.003852
11949.75 -0.003881 -0.003478
11883.92 -0.004016 -0.005524
11960.21 0.010502 0.006399
11883.01 0.013121 -0.006476
11874.89 -0.003274 -0.000684
11930.55 0.001326 0.004676
11929.78 -0.017501 -6.5E-005
11982.62 0.012028 0.004419
12136.92 0.019026 0.012795
12284.62 0.028438 0.012096
12263.25 -0.01317 -0.001741
12213.24 -0.043786 -0.004086
12231.6 -0.00472 0.001502
12250 0.010875 0.001503
12261.85 -0.000984 0.000967
12311.04 -0.001931 0.004004
12404.24 -0.000829 0.007542
12495.68 0.012554 0.007345
12517.9 0.017392 0.001777
12544.45 0.018976 0.002119

22-Feb-12
23-Feb-12
24-Feb-12
27-Feb-12
28-Feb-12
29-Feb-12
1-Mar-12
2-Mar-12
5-Mar-12
6-Mar-12
7-Mar-12
8-Mar-12
9-Mar-12
12-Mar-12
13-Mar-12
14-Mar-12
15-Mar-12
16-Mar-12
19-Mar-12
20-Mar-12
21-Mar-12
22-Mar-12
26-Mar-12
27-Mar-12
28-Mar-12
29-Mar-12
30-Mar-12
2-Apr-12
3-Apr-12
4-Apr-12
5-Apr-12
6-Apr-12
9-Apr-12
10-Apr-12
11-Apr-12
12-Apr-12
13-Apr-12
16-Apr-12
17-Apr-12
18-Apr-12
19-Apr-12
20-Apr-12
23-Apr-12

264.1
262
267.02
262.7
260.7
258.9
259.01
261.75
266.5
262.6
260
261.95
262.2
263.99
259.8
259.84
260.25
255.9
243
247.1
246.03
245
242.3
244.02
246.5
246.01
248
247.25
247.8
251.5
249
249
248.66
248.5
245.6
241.1
245.99
244
244
247.15
246.38
246.38
253

12603.67
12515.92
12706.52
12743.66
12739.22
12877.88
12941.38
13088.97
13278.31
13324.34
13244.95
13271.39
13352.74
13382.54
13283.65
13360.67
13451.07
13297.12
13077.72
13303.33
13293.12
13273.29
13286.73
13449.73
13575.41
13559.1
13761.76
13663.32
13700.47
13945.3
13831.47
13875.53
13864.68
13903.12
13816.96
13693.74
13799.42
13770.7
13764.22
13937.95
13929.47
13936.48
14083.44

-0.007168
-0.007983
0.018979
-0.016311
-0.007642
-0.006928
0.000425
0.010523
0.017984
-0.014742
-0.00995
0.007472
0.000954
0.006804
-0.015999
0.000154
0.001577
-0.016856
-0.051725
0.016732
-0.00434
-0.004195
-0.011082
0.007074
0.010112
-0.00199
0.008057
-0.003029
0.002222
0.014821
-0.00999
0
-0.001366
-0.000644
-0.011739
-0.018492
0.020079
-0.008123
0
0.012827
-0.00312
0
0.026514

0.00471
-0.006987
0.015114
0.002919
-0.000348
0.010826
0.004919
0.01134
0.014362
0.003461
-0.005976
0.001994
0.006111
0.002229
-0.007417
0.005781
0.006743
-0.011511
-0.016637
0.017104
-0.000768
-0.001493
0.001012
0.012193
0.009301
-0.001202
0.014836
-0.007179
0.002715
0.017712
-0.008196
0.00318
-0.000782
0.002769 RF
-0.006216 beta
-0.008958 SD error
0.007688 ER
-0.002083 0.000196
-0.000471 0.000392
0.012543 0.000701
-0.000609 0.000317
0.000503 0.000392
0.01049 0.001031

24-Apr-12
25-Apr-12
26-Apr-12
27-Apr-12
30-Apr-12
2-May-12
3-May-12
4-May-12
7-May-12
8-May-12

252.37
253
252
250.4
248
250.99
249.97
253.16
261.5
262

14132.59
14217.74
14066.09
14042.77
13990.38
14142.52
14419.92
14612.28
14617.97
14513.96

-0.002493
0.002493
-0.00396
-0.006369
-0.009631
0.011984
-0.004072
0.012681
0.032413
0.00191

0.003484 0.000332
0.006007
-0.010724
-0.001659
-0.003738
0.010816
0.019425
0.013252
0.000389
-0.007141

0.000402
0.024098
1.743475
AR
T valu
sign
-0.00228 -0.001307507 insignifient
-0.000863 -0.000494761 signifinet
0.011842 0.006792082 signifinet
-0.000925 -0.000530739 signifinet
0.000111 6.37775E-005 signifinet
0.009459 0.005425318 signifinet

CAR
T valu
sign
-0.00228 -0.001308 insignifint
-0.003142 -0.001802 significent
0.011842 0.006792 significent
0.010916 0.006261 significent
0.000111 6.38E-005 significent
0.009459 0.005425 significent

0.003152 0.001807879 signifinet

0
0
0
0
0
0
0
0
0

0.012611 0.007233 insignifint

Question No 3 b
Portfolio X
Portfolio Y
Date
4-Jan-93
3-Jan-94
3-Jan-95
2-Jan-96
2-Jan-97
2-Jan-98
4-Jan-99
3-Jan-00
2-Jan-01
2-Jan-02
2-Jan-03
2-Jan-04

0.2
0.2

0.3
0.1

0.4
0.1

GE
2.36
4.15
4.98
8.8
13.51
21.64
30.57
40.51
42.42
34.82
22.25
31.86

MSFT
2.68
2.64
3.68
5.73
12.64
18.49
43.37
48.51
30.26
31.58
23.52
28.16

JNJ
6.78
7.2
10.91
19.43
24.44
29.15
38.04
39.36
43.8
55.19
52.15
51.49

0.1
0.6
K
R GE
R msft
20.37
18.47 0.564447 -0.015038
19.9 0.182322 0.332134
29.03 0.569322 0.442803
27.59 0.428678 0.791151
38.01 0.471113 0.380364
34.14 0.345476 0.852538
20.93 0.28153 0.112002
23.52 0.046071 -0.471943
28.7 -0.197428 0.042697
32 -0.44785 -0.294673
37.36 0.359009 0.180051
average

0.236608 0.213826

Rjnj

Rk

R-r^ ge

R-r^ msft

R-r^jnj

R-r^k

0.060104
0.415599
0.577138
0.229403
0.176234
0.266183
0.034112
0.106884
0.231148
-0.056658
-0.012737
0.18431

-0.097915
0.074572
0.37761
-0.050876
0.320396
-0.10738
-0.489286
0.116668
0.199046
0.108839
0.154865
0.05514

0.327839
0.182322
0.569322
0.428678
0.471113
0.345476
0.28153
0.046071
-0.197428
-0.44785
0.359009

-0.228864
0.332134
0.442803
0.791151
0.380364
0.852538
0.112002
-0.471943
0.042697
-0.294673
0.180051

-0.124206
0.415599
0.577138
0.229403
0.176234
0.266183
0.034112
0.106884
0.231148
-0.056658
-0.012737

-0.153055
0.074572
0.37761
-0.050876
0.320396
-0.10738
-0.489286
0.116668
0.199046
0.108839
0.154865

0.327839
-0.228864
-0.124206
-0.153055

0.2
1.43973
1.248466
0.626651
0.10562

varience
risk
return

0.182322 0.569322 0.428678 0.471113 0.345476 0.28153 0.046071

0.332134 0.442803 0.791151 0.380364 0.852538 0.112002 -0.471943
0.415599 0.577138 0.229403 0.176234 0.266183 0.034112 0.106884
0.074572 0.37761 -0.050876 0.320396 -0.10738 -0.489286 0.116668

0.3
1.248466
2.212531
0.875125
0.111523

0.878561
0.937316
0.430084

0.4
0.1
0.626651 0.10562
0.875125 0.111523
0.745165 0.317796
0.317796 0.616809

0.2
0.3
0.4
0.1

-0.197428
0.042697
0.231148
0.199046

-0.44785
-0.294673
-0.056658
0.108839

0.359009
0.180051
-0.012737
0.154865

Company
A
B
C
D

MPS
80
120
400
40

No. of Share
200
300
500
150

i.
ii.

EPS
10
12
35
5

SALE
500
800
1000
200

P/e

s/p

8
6.25
10 6.666667
11.42857
2.5
8
5

Price to Earnings Ratio mps/Eps

Sale to Price Ratio
sale/mps

fair price
2.5
2.666667
2
1.333333