Professional Documents
Culture Documents
6.00000000%
4.00000000%
2.00000000%
-2.00000000%
-4.00000000%
-6.00000000%
-8.00000000%
e
Estadísticas de la regresión
Coeficiente de correlación múltiple 0.154347403
Coeficiente de determinación R^2 0.0238231208
R^2 ajustado 0.0199184133
Error típico 0.0181452477
Observaciones 252
ANÁLISIS DE VARIANZA
Grados de libertad Suma de cuadrados
Regresión 1 0.0020087965
Residuos 250 0.0823125036
Total 251 0.0843213001
Percentil Y
0.1984127 -0.0667565745
0.5952381 -0.0478964401
0.99206349 -0.0475113122
1.38888889 -0.0430725471
1.78571429 -0.0410447761
2.18253968 -0.0364550597
2.57936508 -0.0356234343
2.97619048 -0.0349206412
3.37301587 -0.0330188902
3.76984127 -0.0314426594
4.16666667 -0.0305040088
4.56349206 -0.0283505699
4.96031746 -0.0271460015
5.35714286 -0.0267345192
5.75396825 -0.0265956127
6.15079365 -0.0261032487
6.54761905 -0.0245587291
6.94444444 -0.0235383447
7.34126984 -0.0229182804
7.73809524 -0.0228570885
8.13492063 -0.0224020243
8.53174603 -0.0223728961
8.92857143 -0.0215362527
9.32539683 -0.0214285924
9.72222222 -0.0212443248
10.1190476 -0.0212143736
10.515873 -0.0212013638
10.9126984 -0.0207736731
11.3095238 -0.0199485199
11.7063492 -0.0198299818
12.1031746 -0.019707983
12.5 -0.0194902832
12.8968254 -0.0190789138
13.2936508 -0.018758991
13.6904762 -0.0183660545
14.0873016 -0.0178230553
14.484127 -0.0170998165
14.8809524 -0.0167910448
15.2777778 -0.0167173633
15.6746032 -0.0160641924
16.0714286 -0.0149701002
16.468254 -0.0149476726
16.8650794 -0.0147949194
17.2619048 -0.0139911635
17.6587302 -0.0137362995
18.0555556 -0.0133240222
18.452381 -0.0132352402
18.8492063 -0.0130152258
19.2460317 -0.012995866
19.6428571 -0.0123761261
20.0396825 -0.0120725195
20.4365079 -0.0119840387
20.8333333 -0.0116655865
21.2301587 -0.0111498735
21.6269841 -0.0106914219
22.0238095 -0.0103163444
22.4206349 -0.0097492804
22.8174603 -0.0096617759
23.2142857 -0.0094102886
23.6111111 -0.0093926981
24.0079365 -0.0093520374
24.4047619 -0.0093023657
24.8015873 -0.0090798664
25.1984127 -0.0089858793
25.5952381 -0.0089766612
25.9920635 -0.0087483719
26.3888889 -0.0083217556
26.7857143 -0.0082361016
27.1825397 -0.0081833687
27.5793651 -0.0081103624
27.9761905 -0.0079753993
28.3730159 -0.0076579141
28.7698413 -0.0075093867
29.1666667 -0.0074794316
29.5634921 -0.0074677002
29.9603175 -0.0074024051
30.3571429 -0.0073410106
30.7539683 -0.0070324025
31.1507937 -0.0069930605
31.547619 -0.0064515978
31.9444444 -0.0063210449
32.3412698 -0.006097622
32.7380952 -0.0056858808
33.1349206 -0.0056356063
33.531746 -0.0055935364
33.9285714 -0.0054607509
34.3253968 -0.0053434988
34.7222222 -0.0053110812
35.1190476 -0.0049474335
35.515873 -0.004922703
35.9126984 -0.0048741557
36.3095238 -0.0047505938
36.7063492 -0.0046801872
37.1031746 -0.0046113307
37.5 -0.0045591838
37.8968254 -0.0044809559
38.2936508 -0.0043196441
38.6904762 -0.0041898574
39.0873016 -0.0040788579
39.484127 -0.0039714059
39.8809524 -0.0038240918
40.2777778 -0.0036683786
40.6746032 -0.0032829941
41.0714286 -0.0031989763
41.468254 -0.003164557
41.8650794 -0.003125
42.2619048 -0.0031104199
42.6587302 -0.0029154449
43.0555556 -0.0028632717
43.452381 -0.0021676249
43.8492063 -0.0021443086
44.2460317 -0.0019723785
44.6428571 -0.0015175993
45.0396825 -0.0015163002
45.4365079 -0.0014576957
45.8333333 -0.0012903226
46.2301587 -0.0012430445
46.6269841 -0.0008116049
47.0238095 -0.000727802
47.4206349 -0.0006476684
47.8174603 -0.0006459948
48.2142857 -0.000636151
48.6111111 -0.0006273081
49.0079365 0
49.4047619 0
49.8015873 0
50.1984127 0
50.5952381 0
50.9920635 0
51.3888889 0
51.7857143 0
52.1825397 0
52.5793651 0.0007502611
52.9761905 0.0007819375
53.3730159 0.0012962143
53.7698413 0.0013985022
54.1666667 0.0014085181
54.5634921 0.0014619114
54.9603175 0.0015138972
55.3571429 0.0015910899
55.7539683 0.001832552
56.1507937 0.0018326818
56.547619 0.0020214876
56.9444444 0.0020876044
57.3412698 0.002114227
57.7380952 0.0021352226
58.1349206 0.0022337996
58.531746 0.0025285193
58.9285714 0.0027156263
59.3253968 0.0030358511
59.7222222 0.0030603597
60.1190476 0.0031127548
60.515873 0.0031471208
60.9126984 0.0031525851
61.3095238 0.0031625553
61.7063492 0.0032154639
62.1031746 0.0037783222
62.5 0.0037831021
62.8968254 0.0038138416
63.2936508 0.0041085364
63.6904762 0.004288832
64.0873016 0.0043859649
64.484127 0.004395594
64.8809524 0.0048611843
65.2777778 0.0048780488
65.6746032 0.0051249199
66.0714286 0.005143277
66.468254 0.0052770675
66.8650794 0.005412707
67.2619048 0.0058054672
67.6587302 0.005904059
68.0555556 0.0059054877
68.452381 0.0063012559
68.8492063 0.0064842072
69.2460317 0.0065028902
69.6428571 0.0065359211
70.0396825 0.0065694009
70.4365079 0.0068869778
70.8333333 0.0069052869
71.2301587 0.0070533536
71.6269841 0.0070588856
72.0238095 0.0076453185
72.4206349 0.0077821012
72.8174603 0.0078277886
73.2142857 0.0081504702
73.6111111 0.0088234934
74.0079365 0.0091562519
74.4047619 0.0094476517
74.8015873 0.009523816
75.1984127 0.0100250383
75.5952381 0.0100502513
75.9920635 0.010830299
76.3888889 0.0109216177
76.7857143 0.011592092
77.1825397 0.0116354234
77.5793651 0.0118138013
77.9761905 0.0120634921
78.3730159 0.0121120363
78.7698413 0.012394101
79.1666667 0.0126497705
79.5634921 0.0129515716
79.9603175 0.013254829
80.3571429 0.0138461751
80.7539683 0.01395625
81.1507937 0.0139643587
81.547619 0.0148320488
81.9444444 0.016504126
82.3412698 0.0169262229
82.7380952 0.0169836957
83.1349206 0.0174757216
83.531746 0.017704918
83.9285714 0.0180412371
84.3253968 0.0186851211
84.7222222 0.0193103686
85.1190476 0.0203508284
85.515873 0.0205787371
85.9126984 0.0207388448
86.3095238 0.0210111866
86.7063492 0.021086262
87.1031746 0.0211678458
87.5 0.0212592319
87.8968254 0.0216173238
88.2936508 0.02188186
88.6904762 0.0226985833
89.0873016 0.0237179369
89.484127 0.0241884869
89.8809524 0.0256217031
90.2777778 0.0256409639
90.6746032 0.0260804189
91.0714286 0.0268078268
91.468254 0.0273598298
91.8650794 0.0279668067
92.2619048 0.028359168
92.6587302 0.028787887
93.0555556 0.0300751148
93.452381 0.031249924
93.8492063 0.0312500623
94.2460317 0.0316455812
94.6428571 0.031746096
95.0396825 0.0324809079
95.4365079 0.0330906684
95.8333333 0.0333574981
96.2301587 0.0336464492
96.6269841 0.0349750068
97.0238095 0.0352664577
97.4206349 0.0404983442
97.8174603 0.0421606533
98.2142857 0.0423476704
98.6111111 0.0443520247
99.0079365 0.0465294897
99.4047619 0.0518341308
99.8015873 0.0676841971
Variable X 1 Gráfico de los residuales
0.1
0.05
Residuos
0
-5.00000000% 0.00000000% 5.00000000%
-0.05
-0.1
Variable X 1
-0.1
Muestra percentil
MATRIZ DE PRECIOS MATRIZ DE RENTABILIDAD
FECHA S&P500 BVN FECHA S&P500 BVN
2008-08-01 1282.82996 21.472801 2008-08-01
2008-09-01 1166.35999 21.731958 2008-09-01 -9.07914338% 1.20690822%
2008-10-01 968.75 11.698976 2008-10-01 -16.94245238% -46.16694915%
2008-11-01 896.23999 16.659931 2008-11-01 -7.48490426% 42.40503613%
2008-12-01 903.25 18.546783 2008-12-01 0.78215769% 11.32568916%
2009-01-01 825.880005 17.541239 2009-01-01 -8.56573429% -5.42166261%
2009-02-01 735.090027 17.932281 2009-02-01 -10.99311976% 2.22927240%
40.00000000%
20.00000000%
-20.00000000%
-40.00000000%
-60.00000000%
00% 5.00000000% 10.00000000% 15.00000000%
Resumen
Estadísticas de la regresión
Coeficiente de correlación múltiple 0.2188135016
Coeficiente de determinación R^2 0.0478793485
R^2 ajustado 0.0398105294
Error típico 0.1441122655
Observaciones 120
ANÁLISIS DE VARIANZA
Grados de libertad
Suma de cuadrados
Promedio de los cuadradosF
Regresión 1 0.12323672 0.12323672 5.9338731
Residuos 118 2.45066472 0.02076835
Total 119 2.57390144
Residuos
0.2
0
-20.00000000%-10.00000000%0.00000000%
-0.2 10.0000
-0.4
Variable X 1
Valor crítico de F
0.0163474078
Gráfico de probabilidad no
Inferior 95% Superior 95% Inferior 95.0% Superior 95.0% 0.6
0.4
-0.0253307829 0.02758704 -0.025330783 0.0275870373
0.2
0.1414438314 1.37079805 0.1414438314 1.3707980532 0
Y
-0.2 0 20 40 60 80
-0.4
-0.6
Muestra percentil
esultados de datos de probabilidad
Y
-0.4616694915
-0.3140655463
-0.2605305979
-0.2288134469
-0.205526858
-0.2046703791
-0.1941060636
-0.1862069613
-0.1777160058
-0.1770038252
-0.176912543
-0.1633478804
-0.1625818652
-0.1595183212
-0.1563140858
-0.1517825737
-0.1391657967
-0.1341668802
-0.1252158054
-0.1189398836
-0.1175982125
-0.1167832141
-0.1123593958
-0.1080493102
-0.0970461768
-0.092198382
-0.0836130474
-0.0821356471
-0.0792800622
-0.0785481699
-0.0755626855
-0.0732142996
-0.0728424348
-0.0654205895
-0.0645687398
-0.0594563817
-0.0581280039
-0.0569622329
-0.0542166261
-0.048463062
-0.0483249935
-0.0476545404
-0.0465778672
-0.0434887597
-0.0425409635
-0.0424768551
-0.0410744288
-0.0397400018
-0.0311651769
-0.0304011282
-0.0302536299
-0.0299423056
-0.0296371386
-0.0283165638
-0.0211382349
-0.0205788015
-0.0156929672
-0.0145560408
-0.0084673839
-0.0024916488
-0.0023810408
0.001788845
0.0044225633
0.0044853747
0.0054348832
0.0077770911
0.0080704329
0.0086243275
0.0120690822
0.0122810068
0.0132707853
0.0140105417
0.0145031556
0.0161290864
0.022292724
0.0238155324
0.034208468
0.0361469168
0.040697879
0.0472751205
0.0619954744
0.064347849
0.0668982383
0.0676620978
0.0677778254
0.0707067542
0.0755035627
0.0779355633
0.0781861342
0.0840614398
0.0845252303
0.0928883744
0.0958806464
0.097222237
0.1033251885
0.1036525169
0.1038260146
0.1047708597
0.1051693306
0.1132568916
0.1189357263
0.1197412666
0.1240624466
0.1382928594
0.1438690041
0.1706505562
0.1945605037
0.1960089208
0.2225177847
0.2259415161
0.2382578443
0.2433816775
0.2450677078
0.2499998678
0.3049997459
0.3399833514
0.3790760621
0.393351631
0.4099618751
0.4240503613
X 1 Gráfico de los residuales
0.6
0.4
0.2
0
0.00000000%0.00000000%
-0.2 10.00000000%20.00000000%
-0.4
Variable X 1
o de probabilidad normal
20 40 60 80 100 120
Muestra percentil
MATRIZ DE PRECIOS MATRIZ DE RENTABILIDAD
FECHA S&P500 BVN FECHA S&P500 BVN
1996-05-01 669.119995 3.209571 1996-05-01
1996-06-01 670.630005 3.271294 1996-06-01 0.22567103% 1.92309190%
1996-07-01 639.950012 2.942107 1996-07-01 -4.57480172% -10.06289866%
1996-08-01 651.98999 3.127275 1996-08-01 1.88139351% 6.29372079%
1996-09-01 687.330017 3.168423 1996-09-01 5.42033276% 1.31577811%
1996-10-01 705.27002 2.756939 1996-10-01 2.61010032% -12.98702856%
40.00000000%
20.00000000%
-20.00000000%
-40.00000000%
-60.00000000%
00% 5.00000000% 10.00000000% 15.00000000%
Resumen
Estadísticas de la regresión
Coeficiente de correlación múltiple 0.2294229277
Coeficiente de determinación R^2 0.0526348798
R^2 ajustado 0.0446063618
Error típico 0.1210327708
Observaciones 120
ANÁLISIS DE VARIANZA
Grados de libertad Suma de cuadrados
Regresión 1 0.0960382423
Residuos 118 1.7285739298
Total 119 1.8246121721
Percentil Y
0.4166666667 -0.32967024
1.25 -0.2578121259
2.0833333333 -0.2512111007
2.9166666667 -0.1953124729
3.75 -0.1725601891
4.5833333333 -0.172467684
5.4166666667 -0.1700482712
6.25 -0.1666670463
7.0833333333 -0.1633462233
7.9166666667 -0.1439394971
8.75 -0.1423789785
9.5833333333 -0.1370753227
10.416666667 -0.1333334806
11.25 -0.1298702856
12.083333333 -0.1160450995
12.916666667 -0.1090821843
13.75 -0.1006289866
14.583333333 -0.0971967965
15.416666667 -0.0970873125
16.25 -0.0950119264
17.083333333 -0.0886076185
17.916666667 -0.088495874
18.75 -0.0869297673
19.583333333 -0.0793651902
20.416666667 -0.071179331
21.25 -0.0699999852
22.083333333 -0.0661491161
22.916666667 -0.0642033124
23.75 -0.0627744013
24.583333333 -0.0620917076
25.416666667 -0.0585678257
26.25 -0.0583521113
27.083333333 -0.0567650112
27.916666667 -0.0541125486
28.75 -0.0539452038
29.583333333 -0.0534353526
30.416666667 -0.046931448
31.25 -0.0330884083
32.083333333 -0.0257916896
32.916666667 -0.0238090673
33.75 -0.0223878729
34.583333333 -0.020494978
35.416666667 -0.0192304297
36.25 -0.0180505637
37.083333333 -0.0164076326
37.916666667 -0.0152354816
38.75 -0.0142856509
39.583333333 -0.0140553969
40.416666667 -0.0139536652
41.25 -0.0134246871
42.083333333 -0.0129583283
42.916666667 -0.007752392
43.75 -0.0074954297
44.583333333 0
45.416666667 0.0035842134
46.25 0.0098879234
47.083333333 0.0116275906
47.916666667 0.0131577811
48.75 0.0168806477
49.583333333 0.0188713895
50.416666667 0.019230919
51.25 0.0206902012
52.083333333 0.0217317796
52.916666667 0.023161871
53.75 0.023488253
54.583333333 0.0285711781
55.416666667 0.0335420004
56.25 0.0337836877
57.083333333 0.0346155779
57.916666667 0.0366557105
58.75 0.0374973197
59.583333333 0.0390772796
60.416666667 0.0397199644
61.25 0.0424550312
62.083333333 0.0453342857
62.916666667 0.0458015069
63.75 0.0458948804
64.583333333 0.047745582
65.416666667 0.053283283
66.25 0.0537632853
67.083333333 0.053921498
67.916666667 0.0543989242
68.75 0.0552716635
69.583333333 0.0629372079
70.416666667 0.0640001501
71.25 0.0753041694
72.083333333 0.0765517966
72.916666667 0.0792951941
73.75 0.0841914552
74.583333333 0.0873108798
75.416666667 0.0888578948
76.25 0.0948084996
77.083333333 0.0956614113
77.916666667 0.0997449699
78.75 0.1025644356
79.583333333 0.1050184033
80.416666667 0.1054143529
81.25 0.1220234341
82.083333333 0.1260162705
82.916666667 0.1281920101
83.75 0.1297192996
84.583333333 0.1365172172
85.416666667 0.1368421105
86.25 0.1485711497
87.083333333 0.1493776432
87.916666667 0.1524994377
88.75 0.1563286008
89.583333333 0.1673151146
90.416666667 0.1917250022
91.25 0.1937214262
92.083333333 0.2031325763
92.916666667 0.2129626656
93.75 0.216981177
94.583333333 0.2225959215
95.416666667 0.2283461426
96.25 0.230862412
97.083333333 0.2515113737
97.916666667 0.2553404038
98.75 0.2605479944
99.583333333 0.5245892414
Variable X 1 Gráfico de los residuales
0.6
0.4
Residuos
0.2
0
-20.00000000%-10.00000000%0.00000000%
-0.2 10.00000000%20.00000000%
-0.4
Variable X 1
0
-0.2 0 20 40 60 80 100 120
-0.4
Muestra percentil