Wednesday, September 11, 2019

chartSeries(ret.nsei)

 getSymbols("^NSEI", from="2004-01-01", to=Sys.Date())

https://www.mathclasstutor.online

[1] "^NSEI"
Warning message:
^NSEI contains missing values. Some functions will not work if objects contain missing values in the middle of the series. Consider using na.omit(), na.approx(), na.fill(), etc to remove or replace them.
> chartSeries(Cl(NSEI))
> ret <- dailyReturn(Cl(NSEI), type='log')
Warning message:
In to_period(xx, period = on.opts[[period]], ...) :
  missing values removed from data
> par(mfrow=c(2,2))
> acf(ret, main="Return ACF");
> pacf(ret, main="Return PACF");
> acf(ret^2, main="Squared return ACF");
> pacf(ret^2, main="Squared return PACF")
> par(mfrow=c(1,1))
> m=mean(ret);s=sd(ret);
> par(mfrow=c(1,2))
> hist(ret, nclass=40, freq=FALSE, main='Return histogram');curve(dnorm(x,
+         mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> plot(density(ret), main='Return empirical distribution');curve(dnorm(x,
+     mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> par(mfrow=c(1,1))
> library("moments", lib.loc="~/R/win-library/3.6")
> kurtosis(ret)
daily.returns
     15.66525
> plot(density(ret), main='Return EDF - upper tail', xlim = c(0.1, 0.2),
+      ylim=c(0,2));
> curve(dnorm(x, mean=m,sd=s), from = -0.3, to = 0.2, add=TRUE, col="red")
> plot(density(ret), xlim=c(-5*s,5*s),log='y', main='Density on log-scale')
Warning message:
In xy.coords(x, y, xlabel, ylabel, log) :
  51 y values <= 0 omitted from logarithmic plot
> curve(dnorm(x, mean=m,sd=s), from=-5*s, to=5*s, log="y", add=TRUE,
+       col="red")
> qqnorm(ret);qqline(ret);
> ret.nsei <- dailyReturn(Cl(NSEI), type='log')
Warning message:
In to_period(xx, period = on.opts[[period]], ...) :
  missing values removed from data
> chartSeries(ret.nsei)
> garch11.spec = ugarchspec(variance.model = list(model="sGARCH",
+         garchOrder=c(1,1)), mean.model = list(armaOrder=c(0,0)))
> nsei.garch11.fit = ugarchfit(spec=garch11.spec, data=ret.nsei)
> coef(nsei.garch11.fit)
          mu        omega       alpha1        beta1
6.226368e-04 9.738143e-07 7.340533e-02 9.225699e-01

> vcov(nsei.garch11.fit)
              [,1]          [,2]          [,3]
[1,]  2.943314e-08 -2.069908e-11 -2.613005e-07
[2,] -2.069908e-11 -6.676901e-13 -1.285983e-08
[3,] -2.613005e-07 -1.285983e-08 -1.598571e-04
[4,]  2.570081e-07  1.212953e-08  1.617615e-04
              [,4]
[1,]  2.570081e-07
[2,]  1.212953e-08
[3,]  1.617615e-04
[4,] -1.580710e-04
infocriteria(nsei.garch11.fit)
                   
Akaike       -6.169846
Bayes        -6.161671
Shibata      -6.169850
Hannan-Quinn -6.166902
> newsimpact(nsei.garch11.fit)
$zy
  [1] 0.0068306741 0.0065664418 0.0063076021
  [4] 0.0060541548 0.0058061001 0.0055634378
  [7] 0.0053261681 0.0050942908 0.0048678060
 [10] 0.0046467138 0.0044310140 0.0042207067
 [13] 0.0040157919 0.0038162696 0.0036221398
 [16] 0.0034334025 0.0032500577 0.0030721054
 [19] 0.0028995455 0.0027323782 0.0025706034
 [22] 0.0024142210 0.0022632312 0.0021176338
 [25] 0.0019774290 0.0018426166 0.0017131967
 [28] 0.0015891694 0.0014705345 0.0013572921
 [31] 0.0012494422 0.0011469848 0.0010499199
 [34] 0.0009582475 0.0008719676 0.0007910802
 [37] 0.0007155852 0.0006454828 0.0005807729
 [40] 0.0005214554 0.0004675305 0.0004189980
 [43] 0.0003758581 0.0003381106 0.0003057557
 [46] 0.0002787932 0.0002572232 0.0002410457
 [49] 0.0002302607 0.0002248682 0.0002248682
 [52] 0.0002302607 0.0002410457 0.0002572232
 [55] 0.0002787932 0.0003057557 0.0003381106
 [58] 0.0003758581 0.0004189980 0.0004675305
 [61] 0.0005214554 0.0005807729 0.0006454828
 [64] 0.0007155852 0.0007910802 0.0008719676
 [67] 0.0009582475 0.0010499199 0.0011469848
 [70] 0.0012494422 0.0013572921 0.0014705345
 [73] 0.0015891694 0.0017131967 0.0018426166
 [76] 0.0019774290 0.0021176338 0.0022632312
 [79] 0.0024142210 0.0025706034 0.0027323782
 [82] 0.0028995455 0.0030721054 0.0032500577
 [85] 0.0034334025 0.0036221398 0.0038162696
 [88] 0.0040157919 0.0042207067 0.0044310140
 [91] 0.0046467138 0.0048678060 0.0050942908
 [94] 0.0053261681 0.0055634378 0.0058061001
 [97] 0.0060541548 0.0063076021 0.0065664418
[100] 0.0068306741

$zx
  [1] -0.300000000 -0.293939394 -0.287878788
  [4] -0.281818182 -0.275757576 -0.269696970
  [7] -0.263636364 -0.257575758 -0.251515152
 [10] -0.245454545 -0.239393939 -0.233333333
 [13] -0.227272727 -0.221212121 -0.215151515
 [16] -0.209090909 -0.203030303 -0.196969697
 [19] -0.190909091 -0.184848485 -0.178787879
 [22] -0.172727273 -0.166666667 -0.160606061
 [25] -0.154545455 -0.148484848 -0.142424242
 [28] -0.136363636 -0.130303030 -0.124242424
 [31] -0.118181818 -0.112121212 -0.106060606
 [34] -0.100000000 -0.093939394 -0.087878788
 [37] -0.081818182 -0.075757576 -0.069696970
 [40] -0.063636364 -0.057575758 -0.051515152
 [43] -0.045454545 -0.039393939 -0.033333333
 [46] -0.027272727 -0.021212121 -0.015151515
 [49] -0.009090909 -0.003030303  0.003030303
 [52]  0.009090909  0.015151515  0.021212121
 [55]  0.027272727  0.033333333  0.039393939
 [58]  0.045454545  0.051515152  0.057575758
 [61]  0.063636364  0.069696970  0.075757576
 [64]  0.081818182  0.087878788  0.093939394
 [67]  0.100000000  0.106060606  0.112121212
 [70]  0.118181818  0.124242424  0.130303030
 [73]  0.136363636  0.142424242  0.148484848
 [76]  0.154545455  0.160606061  0.166666667
 [79]  0.172727273  0.178787879  0.184848485
 [82]  0.190909091  0.196969697  0.203030303
 [85]  0.209090909  0.215151515  0.221212121
 [88]  0.227272727  0.233333333  0.239393939
 [91]  0.245454545  0.251515152  0.257575758
 [94]  0.263636364  0.269696970  0.275757576
 [97]  0.281818182  0.287878788  0.293939394
[100]  0.300000000

$yexpr
expression(sigma[t]^2)

$xexpr
expression(epsilon[t - 1])
> signbias(nsei.garch11.fit)
                                      t-value               prob sig
Sign Bias                     1.1448046           0.25238388 
Negative Sign Bias     0.8496893           0.39556745 
Positive Sign Bias       0.9183913          0.35848985 
Joint Effect                   8.6774146        0.03390201  **
2007-09-18 0.0006226368
2007-09-19 0.0006226368
2007-09-20 0.0006226368
2007-09-21 0.0006226368
2007-09-24 0.0006226368
2007-09-25 0.0006226368
2007-09-26 0.0006226368
2007-09-27 0.0006226368
2007-09-28 0.0006226368
2007-10-01 0.0006226368
2007-10-03 0.0006226368
2007-10-04 0.0006226368
2007-10-05 0.0006226368
2007-10-08 0.0006226368
2007-10-09 0.0006226368
2007-10-10 0.0006226368
2007-10-11 0.0006226368
2007-10-12 0.0006226368
2007-10-15 0.0006226368
2007-10-16 0.0006226368
2007-10-17 0.0006226368
2007-10-18 0.0006226368
2007-10-19 0.0006226368
2007-10-22 0.0006226368
2007-10-23 0.0006226368
2007-10-24 0.0006226368
2007-10-25 0.0006226368
2007-10-26 0.0006226368
2007-10-29 0.0006226368
2007-10-30 0.0006226368
2007-10-31 0.0006226368
2007-11-01 0.0006226368
2007-11-02 0.0006226368
2007-11-05 0.0006226368
2007-11-06 0.0006226368
2007-11-07 0.0006226368
2007-11-08 0.0006226368
2007-11-12 0.0006226368
2007-11-13 0.0006226368
2007-11-14 0.0006226368
2007-11-15 0.0006226368
2007-11-16 0.0006226368
2007-11-19 0.0006226368
2007-11-20 0.0006226368
2007-11-21 0.0006226368
2007-11-22 0.0006226368
2007-11-23 0.0006226368
2007-11-26 0.0006226368
2007-11-27 0.0006226368
2007-11-28 0.0006226368
2007-11-29 0.0006226368
2007-11-30 0.0006226368
2007-12-03 0.0006226368
2007-12-04 0.0006226368
2007-12-05 0.0006226368
2007-12-06 0.0006226368
2007-12-07 0.0006226368
2007-12-10 0.0006226368
2007-12-11 0.0006226368
2007-12-12 0.0006226368
2007-12-13 0.0006226368
2007-12-14 0.0006226368
2007-12-17 0.0006226368
2007-12-18 0.0006226368
2007-12-19 0.0006226368
2007-12-20 0.0006226368
2007-12-24 0.0006226368
2007-12-26 0.0006226368
2007-12-27 0.0006226368
2007-12-28 0.0006226368
2007-12-31 0.0006226368
2008-01-01 0.0006226368
2008-01-02 0.0006226368
2008-01-03 0.0006226368
2008-01-04 0.0006226368
2008-01-07 0.0006226368
2008-01-08 0.0006226368
2008-01-09 0.0006226368
2008-01-10 0.0006226368
2008-01-11 0.0006226368
2008-01-14 0.0006226368
2008-01-15 0.0006226368
2008-01-16 0.0006226368
2008-01-17 0.0006226368
2008-01-18 0.0006226368
2008-01-21 0.0006226368
2008-01-22 0.0006226368
2008-01-23 0.0006226368
2008-01-24 0.0006226368
2008-01-25 0.0006226368
2008-01-28 0.0006226368
2008-01-29 0.0006226368
2008-01-30 0.0006226368
2008-01-31 0.0006226368
2008-02-01 0.0006226368
2008-02-04 0.0006226368
2008-02-05 0.0006226368
2008-02-06 0.0006226368
2008-02-07 0.0006226368
2008-02-08 0.0006226368
2008-02-11 0.0006226368
2008-02-12 0.0006226368
2008-02-13 0.0006226368
2008-02-14 0.0006226368
2008-02-15 0.0006226368
2008-02-18 0.0006226368
2008-02-19 0.0006226368
2008-02-20 0.0006226368
2008-02-21 0.0006226368
2008-02-22 0.0006226368
2008-02-25 0.0006226368
2008-02-26 0.0006226368
2008-02-27 0.0006226368
2008-02-28 0.0006226368
2008-02-29 0.0006226368
2008-03-03 0.0006226368
2008-03-04 0.0006226368
2008-03-05 0.0006226368
2008-03-07 0.0006226368
2008-03-10 0.0006226368
2008-03-11 0.0006226368
2008-03-12 0.0006226368
2008-03-13 0.0006226368
2008-03-14 0.0006226368
2008-03-17 0.0006226368
2008-03-18 0.0006226368
2008-03-19 0.0006226368
2008-03-24 0.0006226368
2008-03-25 0.0006226368
2008-03-26 0.0006226368
2008-03-27 0.0006226368
2008-03-28 0.0006226368
2008-03-31 0.0006226368
2008-04-01 0.0006226368
2008-04-02 0.0006226368
2008-04-03 0.0006226368
2008-04-04 0.0006226368
2008-04-07 0.0006226368
2008-04-08 0.0006226368
2008-04-09 0.0006226368
2008-04-10 0.0006226368
2008-04-11 0.0006226368
2008-04-15 0.0006226368
2008-04-16 0.0006226368
2008-04-17 0.0006226368
2008-04-21 0.0006226368
2008-04-22 0.0006226368
2008-04-23 0.0006226368
2008-04-24 0.0006226368
2008-04-25 0.0006226368
2008-04-28 0.0006226368
2008-04-29 0.0006226368
2008-04-30 0.0006226368
2008-05-02 0.0006226368
2008-05-05 0.0006226368
2008-05-06 0.0006226368
2008-05-07 0.0006226368
2008-05-08 0.0006226368
2008-05-09 0.0006226368
2008-05-12 0.0006226368
2008-05-13 0.0006226368
2008-05-14 0.0006226368
2008-05-15 0.0006226368
2008-05-16 0.0006226368
2008-05-20 0.0006226368
2008-05-21 0.0006226368
2008-05-22 0.0006226368
2008-05-23 0.0006226368
2008-05-26 0.0006226368
2008-05-27 0.0006226368
2008-05-28 0.0006226368
2008-05-29 0.0006226368
2008-05-30 0.0006226368
2008-06-02 0.0006226368
2008-06-03 0.0006226368
2008-06-04 0.0006226368
2008-06-05 0.0006226368
2008-06-06 0.0006226368
2008-06-09 0.0006226368
2008-06-10 0.0006226368
2008-06-11 0.0006226368
2008-06-12 0.0006226368
2008-06-13 0.0006226368
2008-06-16 0.0006226368
2008-06-17 0.0006226368
2008-06-18 0.0006226368
2008-06-19 0.0006226368
2008-06-20 0.0006226368
2008-06-23 0.0006226368
2008-06-24 0.0006226368
2008-06-25 0.0006226368
2008-06-26 0.0006226368
2008-06-27 0.0006226368
2008-06-30 0.0006226368
2008-07-01 0.0006226368
2008-07-02 0.0006226368
2008-07-03 0.0006226368
2008-07-04 0.0006226368
2008-07-07 0.0006226368
2008-07-08 0.0006226368
2008-07-09 0.0006226368
2008-07-10 0.0006226368
2008-07-11 0.0006226368
2008-07-14 0.0006226368
2008-07-15 0.0006226368
2008-07-16 0.0006226368
2008-07-17 0.0006226368
2008-07-18 0.0006226368
2008-07-21 0.0006226368
2008-07-22 0.0006226368
2008-07-23 0.0006226368
2008-07-24 0.0006226368
2008-07-25 0.0006226368
2008-07-28 0.0006226368
2008-07-29 0.0006226368
2008-07-30 0.0006226368
2008-07-31 0.0006226368
2008-08-01 0.0006226368
2008-08-04 0.0006226368
2008-08-05 0.0006226368
2008-08-06 0.0006226368
2008-08-07 0.0006226368
2008-08-08 0.0006226368
2008-08-11 0.0006226368
2008-08-12 0.0006226368
2008-08-13 0.0006226368
2008-08-14 0.0006226368
2008-08-18 0.0006226368
2008-08-19 0.0006226368
2008-08-20 0.0006226368
2008-08-21 0.0006226368
2008-08-22 0.0006226368
2008-08-25 0.0006226368
2008-08-26 0.0006226368
2008-08-27 0.0006226368
2008-08-28 0.0006226368
2008-08-29 0.0006226368
2008-09-01 0.0006226368
2008-09-02 0.0006226368
2008-09-04 0.0006226368
2008-09-05 0.0006226368
2008-09-08 0.0006226368
2008-09-09 0.0006226368
2008-09-10 0.0006226368
2008-09-11 0.0006226368
2008-09-12 0.0006226368
2008-09-15 0.0006226368
2008-09-16 0.0006226368
2008-09-17 0.0006226368
2008-09-18 0.0006226368
2008-09-19 0.0006226368
2008-09-22 0.0006226368
2008-09-23 0.0006226368
2008-09-24 0.0006226368
2008-09-25 0.0006226368
2008-09-26 0.0006226368
2008-09-29 0.0006226368
2008-09-30 0.0006226368
2008-10-01 0.0006226368
2008-10-03 0.0006226368
2008-10-06 0.0006226368
2008-10-07 0.0006226368
2008-10-08 0.0006226368
2008-10-10 0.0006226368
2008-10-13 0.0006226368
2008-10-14 0.0006226368
2008-10-15 0.0006226368
2008-10-16 0.0006226368
2008-10-17 0.0006226368
2008-10-20 0.0006226368
2008-10-21 0.0006226368
2008-10-22 0.0006226368
2008-10-23 0.0006226368
2008-10-24 0.0006226368
2008-10-27 0.0006226368
2008-10-29 0.0006226368
2008-10-31 0.0006226368
2008-11-03 0.0006226368
2008-11-04 0.0006226368
2008-11-05 0.0006226368
2008-11-06 0.0006226368
2008-11-07 0.0006226368
2008-11-10 0.0006226368
2008-11-11 0.0006226368
2008-11-12 0.0006226368
2008-11-14 0.0006226368
2008-11-17 0.0006226368
2008-11-18 0.0006226368
2008-11-19 0.0006226368
2008-11-20 0.0006226368
2008-11-21 0.0006226368
2008-11-24 0.0006226368
2008-11-25 0.0006226368
2008-11-26 0.0006226368
2008-11-28 0.0006226368
2008-12-01 0.0006226368
2008-12-02 0.0006226368
2008-12-03 0.0006226368
2008-12-04 0.0006226368
2008-12-05 0.0006226368
2008-12-08 0.0006226368
2008-12-10 0.0006226368
2008-12-11 0.0006226368
2008-12-12 0.0006226368
2008-12-15 0.0006226368
2008-12-16 0.0006226368
2008-12-17 0.0006226368
2008-12-18 0.0006226368
2008-12-19 0.0006226368
2008-12-22 0.0006226368
2008-12-23 0.0006226368
2008-12-24 0.0006226368
2008-12-26 0.0006226368
2008-12-29 0.0006226368
2008-12-30 0.0006226368
2008-12-31 0.0006226368
2009-01-02 0.0006226368
2009-01-05 0.0006226368
2009-01-06 0.0006226368
2009-01-07 0.0006226368
2009-01-09 0.0006226368
2009-01-12 0.0006226368
2009-01-13 0.0006226368
2009-01-14 0.0006226368
2009-01-15 0.0006226368
2009-01-16 0.0006226368
2009-01-19 0.0006226368
2009-01-20 0.0006226368
2009-01-21 0.0006226368
2009-01-22 0.0006226368
2009-01-23 0.0006226368
2009-01-27 0.0006226368
2009-01-28 0.0006226368
2009-01-29 0.0006226368
2009-01-30 0.0006226368
2009-02-02 0.0006226368
2009-02-03 0.0006226368
2009-02-04 0.0006226368
2009-02-05 0.0006226368
2009-02-06 0.0006226368
2009-02-09 0.0006226368
2009-02-10 0.0006226368
2009-02-11 0.0006226368
2009-02-12 0.0006226368
2009-02-13 0.0006226368
2009-02-16 0.0006226368
2009-02-17 0.0006226368
2009-02-18 0.0006226368
2009-02-19 0.0006226368
2009-02-20 0.0006226368
2009-02-24 0.0006226368
2009-02-25 0.0006226368
2009-02-26 0.0006226368
2009-02-27 0.0006226368
2009-03-02 0.0006226368
2009-03-03 0.0006226368
2009-03-04 0.0006226368
2009-03-05 0.0006226368
2009-03-06 0.0006226368
2009-03-09 0.0006226368
2009-03-12 0.0006226368
2009-03-13 0.0006226368
2009-03-16 0.0006226368
2009-03-17 0.0006226368
2009-03-18 0.0006226368
2009-03-19 0.0006226368
2009-03-20 0.0006226368
2009-03-23 0.0006226368
2009-03-24 0.0006226368
2009-03-25 0.0006226368
2009-03-26 0.0006226368
2009-03-27 0.0006226368
2009-03-30 0.0006226368
2009-03-31 0.0006226368
2009-04-01 0.0006226368
2009-04-02 0.0006226368
2009-04-06 0.0006226368
2009-04-08 0.0006226368
2009-04-09 0.0006226368
2009-04-13 0.0006226368
2009-04-15 0.0006226368
2009-04-16 0.0006226368
2009-04-17 0.0006226368
2009-04-20 0.0006226368
2009-04-21 0.0006226368
2009-04-22 0.0006226368
2009-04-23 0.0006226368
2009-04-24 0.0006226368
2009-04-27 0.0006226368
2009-04-28 0.0006226368
2009-04-29 0.0006226368
2009-05-04 0.0006226368
2009-05-05 0.0006226368
2009-05-06 0.0006226368
2009-05-07 0.0006226368
2009-05-08 0.0006226368
2009-05-11 0.0006226368
2009-05-12 0.0006226368
2009-05-13 0.0006226368
2009-05-14 0.0006226368
2009-05-15 0.0006226368
2009-05-18 0.0006226368
2009-05-19 0.0006226368
2009-05-20 0.0006226368
2009-05-21 0.0006226368
2009-05-22 0.0006226368
2009-05-25 0.0006226368
2009-05-26 0.0006226368
2009-05-27 0.0006226368
2009-05-28 0.0006226368
2009-05-29 0.0006226368
2009-06-01 0.0006226368
2009-06-02 0.0006226368
2009-06-03 0.0006226368
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 [ reached getOption("max.print") -- omitted 1927 rows ]
2007-09-18  1.078135e-02
2007-09-19  3.950753e-02
2007-09-20  2.584089e-03
2007-09-21  1.815706e-02
2007-09-24  1.875418e-02
2007-09-25  7.247181e-04
2007-09-26 -2.886265e-04
2007-09-27  1.145869e-02
2007-09-28  3.528337e-03
2007-10-01  8.812256e-03
2007-10-03  2.697699e-02
2007-10-04 -1.035308e-03
2007-10-05 -5.009541e-03
2007-10-08 -2.024170e-02
2007-10-09  4.589781e-02
2007-10-10  2.058781e-02
2007-10-11  1.458787e-02
2007-10-12 -1.826195e-02
2007-10-15  4.302021e-02
2007-10-16 -1.037173e-03
2007-10-17 -1.999558e-02
2007-10-18 -3.881134e-02
2007-10-19 -2.630952e-02
2007-10-22 -6.642254e-03
2007-10-23  5.375524e-02
2007-10-24  3.470352e-03
2007-10-25  1.253610e-02
2007-10-26  2.304037e-02
2007-10-29  3.445963e-02
2007-10-30 -6.932807e-03
2007-10-31  4.798197e-03
2007-11-01 -6.435420e-03
2007-11-02  1.055649e-02
2007-11-05 -1.507149e-02
2007-11-06 -1.107500e-02
2007-11-07 -1.340064e-03
2007-11-08 -1.518598e-02
2007-11-12 -1.505396e-02
2007-11-13  1.322064e-02
2007-11-14  4.107407e-02
2007-11-15 -4.977041e-03
2007-11-16 -1.511041e-03
2007-11-19 -4.872432e-04
2007-11-20 -2.231138e-02
2007-11-21 -3.939510e-02
2007-11-22 -8.149424e-03
2007-11-23  1.541840e-02
2007-11-26  2.108842e-02
2007-11-27 -6.493298e-03
2007-11-28 -1.486859e-02
2007-11-29  2.407950e-03
2007-11-30  2.186598e-02
2007-12-03  1.696505e-02
2007-12-04 -1.757108e-03
2007-12-05  1.321849e-02
2007-12-06  1.849086e-03
2007-12-07  2.663410e-03
2007-12-10 -2.918377e-03
2007-12-11  2.204405e-02
2007-12-12  9.502616e-03
2007-12-13 -1.718950e-02
2007-12-14 -2.340806e-03
2007-12-17 -4.641619e-02
2007-12-18 -6.647361e-03
2007-12-19  9.173880e-04
2007-12-20  2.042856e-03
2007-12-24  3.658512e-02
2007-12-26  1.358646e-02
2007-12-27  1.146583e-03
2007-12-28 -9.186281e-04
2007-12-31  9.018698e-03
2008-01-01  3.136204e-04
2008-01-02  5.065550e-03
2008-01-03 -7.602157e-04
2008-01-04  1.475567e-02
2008-01-07  1.421430e-04
2008-01-08  7.699050e-04
2008-01-09 -3.146569e-03
2008-01-10 -1.913636e-02
2008-01-11  6.361243e-03
2008-01-14  4.573603e-04
2008-01-15 -2.220955e-02
2008-01-16 -2.368777e-02
2008-01-17 -4.428853e-03
2008-01-18 -3.641428e-02
2008-01-21 -9.166870e-02
2008-01-22 -6.187980e-02
2008-01-23  5.959730e-02
2008-01-24 -3.382920e-02
2008-01-25  6.658257e-02
2008-01-28 -2.112544e-02
2008-01-29  6.468604e-04
2008-01-30 -2.229182e-02
2008-01-31 -6.474134e-03
2008-02-01  3.377673e-02
2008-02-04  2.651072e-02
2008-02-05  3.104262e-03
2008-02-06 -3.048667e-02
2008-02-07 -3.683613e-02
2008-02-08 -3.138808e-03
2008-02-11 -5.342449e-02
2008-02-12 -4.490515e-03
2008-02-13  1.805174e-02
2008-02-14  5.319307e-02
2008-02-15  1.858802e-02
2008-02-18 -5.537674e-03
2008-02-19  1.161422e-04
2008-02-20 -2.483974e-02
2008-02-21  6.597326e-03
2008-02-22 -1.635689e-02
2008-02-25  1.682447e-02
2008-02-26  1.262391e-02
2008-02-27 -9.357574e-04
2008-02-28  2.542230e-03
2008-02-29 -1.234652e-02
2008-03-03 -5.379686e-02
2008-03-04 -1.870355e-02
2008-03-05  1.105784e-02
2008-03-07 -3.153396e-02
2008-03-10  5.394892e-03
2008-03-11  1.292981e-02
2008-03-12  6.302204e-04
2008-03-13 -5.295352e-02
2008-03-14  2.546369e-02
2008-03-17 -5.311654e-02
2008-03-18  5.995265e-03
2008-03-19  8.370598e-03
2008-03-24  7.195496e-03
2008-03-25  5.581482e-02
2008-03-26 -1.064707e-02
2008-03-27 -3.327750e-04
2008-03-28  2.224924e-02
2008-03-31 -4.351662e-02
2008-04-01  4.433921e-04
2008-04-02  2.463689e-03
2008-04-03  3.030583e-03
2008-04-04 -2.708249e-02
2008-04-07  2.365529e-02
2008-04-08 -1.150884e-02
2008-04-09  7.287120e-03
2008-04-10 -3.586717e-03
2008-04-11  8.798261e-03
2008-04-15  2.047069e-02
2008-04-16  9.438512e-04
2008-04-17  1.382049e-02
2008-04-21  1.510494e-02
2008-04-22  1.816278e-03
2008-04-23 -5.884710e-03
2008-04-24 -5.202214e-03
2008-04-25  2.150150e-02
2008-04-28 -4.945658e-03
2008-04-29  1.996118e-02
2008-04-30 -6.336185e-03
2008-05-02  1.136513e-02
2008-05-05 -7.522595e-03
2008-05-06 -9.832445e-03
2008-05-07 -2.402748e-03
2008-05-08 -1.115396e-02
2008-05-09 -2.031666e-02
2008-05-12  5.390198e-03
2008-05-13 -1.162528e-02
2008-05-14  1.020046e-02
2008-05-15  1.981848e-02
2008-05-16  7.641871e-03
2008-05-20 -1.090272e-02
2008-05-21  1.861998e-03
2008-05-22 -1.880293e-02
2008-05-23 -1.644735e-02
2008-05-26 -1.518264e-02
2008-05-27 -3.755713e-03
2008-05-28  1.135325e-02
2008-05-29 -1.765263e-02
2008-05-30  6.548720e-03
2008-06-02 -2.778436e-02
2008-06-03 -5.635644e-03
2008-06-04 -2.864141e-02
2008-06-05  1.910261e-02
2008-06-06 -1.118732e-02
2008-06-09 -2.841566e-02
2008-06-10 -1.205206e-02
2008-06-11  1.582641e-02
2008-06-12  2.853056e-03
2008-06-13 -5.536272e-03
2008-06-16  1.156725e-02
2008-06-17  1.682943e-02
2008-06-18 -1.591195e-02
2008-06-19 -1.782410e-02
2008-06-20 -3.603161e-02
2008-06-23 -1.946470e-02
2008-06-24 -1.842974e-02
2008-06-25  1.395641e-02
2008-06-26  1.412938e-02
2008-06-27 -4.303069e-02
2008-06-30 -2.412806e-02
2008-07-01 -3.686060e-02
2008-07-02  4.859822e-02
2008-07-03 -4.242895e-02
2008-07-04  2.210633e-02
2008-07-07  2.857357e-03
2008-07-08 -1.096124e-02
2008-07-09  4.076733e-02
2008-07-10  6.034513e-04
2008-07-11 -2.819653e-02
2008-07-14 -2.922154e-03
2008-07-15 -4.584091e-02
2008-07-16 -1.218862e-02
2008-07-17  3.299766e-02
2008-07-18  3.546585e-02
2008-07-21  1.567730e-02
2008-07-22  1.856937e-02
2008-07-23  5.369895e-02
2008-07-24 -1.033053e-02
2008-07-25 -2.845614e-02
2008-07-28  4.062730e-03
2008-07-29 -3.401012e-02
2008-07-30  2.847359e-02
2008-07-31  3.864826e-03
2008-08-01  1.780802e-02
2008-08-04 -4.754761e-03
2008-08-05  2.354073e-02
2008-08-06  2.636580e-03
2008-08-07  7.710178e-04
2008-08-08  6.254985e-04
2008-08-11  1.924707e-02
2008-08-12 -1.548228e-02
2008-08-13 -5.732092e-03
2008-08-14 -2.257717e-02
2008-08-18 -9.156564e-03
2008-08-19 -6.283868e-03
2008-08-20  1.019259e-02
2008-08-21 -3.094817e-02
2008-08-22  9.503701e-03
2008-08-25  1.201232e-03
2008-08-26 -1.268593e-04
2008-08-27 -1.114464e-02
2008-08-28 -1.898647e-02
2008-08-29  3.343711e-02
2008-09-01 -3.229265e-03
2008-09-02  3.447782e-02
2008-09-04 -1.319018e-02
2008-09-05 -2.231659e-02
2008-09-08  2.880923e-02
2008-09-09 -3.661319e-03
2008-09-10 -1.605886e-02
2008-09-11 -2.592738e-02
2008-09-12 -1.514371e-02
2008-09-15 -3.810293e-02
2008-09-16 -1.317067e-04
2008-09-17 -1.711408e-02
2008-09-18  6.809268e-03
2008-09-19  4.939143e-02
2008-09-22 -5.865778e-03
2008-09-23 -2.365371e-02
2008-09-24  7.666377e-03
2008-09-25 -1.288135e-02
2008-09-26 -3.157938e-02
2008-09-29 -3.513653e-02
2008-09-30  1.768893e-02
2008-10-01  6.885081e-03
2008-10-03 -3.472276e-02
2008-10-06 -5.884151e-02
2008-10-07  5.564532e-04
2008-10-08 -2.673281e-02
2008-10-10 -6.944983e-02
2008-10-13  6.165147e-02
2008-10-14  7.352454e-03
2008-10-15 -5.320838e-02
2008-10-16 -2.153835e-02
2008-10-17 -6.210502e-02
2008-10-20  1.501389e-02
2008-10-21  3.464530e-02
2008-10-22 -5.452415e-02
2008-10-23 -4.123871e-02
2008-10-24 -1.307645e-01
2008-10-27 -2.403706e-02
2008-10-29  6.561180e-02
2008-10-31  6.695165e-02
2008-11-03  5.276767e-02
2008-11-04  3.114557e-02
2008-11-05 -4.858651e-02
2008-11-06 -3.537715e-02
2008-11-07  2.677590e-02
2008-11-10  5.665256e-02
2008-11-11 -6.951912e-02
2008-11-12 -3.179793e-02
2008-11-14 -1.408854e-02
2008-11-17 -4.472995e-03
2008-11-18 -4.308990e-02
2008-11-19 -1.873090e-02
2008-11-20 -3.217797e-02
2008-11-21  5.287239e-02
2008-11-24  4.857152e-03
2008-11-25 -2.085737e-02
2008-11-26  3.572819e-02
2008-11-28  4.123794e-04
2008-12-01 -2.717815e-02
2008-12-02 -1.002217e-02
2008-12-03 -1.130742e-03
2008-12-04  4.771123e-02
2008-12-05 -2.737623e-02
2008-12-08  2.469521e-02
2008-12-10  4.989360e-02
2008-12-11 -3.392660e-03
2008-12-12 -2.117163e-04
2008-12-15  1.965738e-02
2008-12-16  1.948448e-02
2008-12-17 -2.977695e-02
2008-12-18  3.475865e-02
2008-12-19  4.834958e-03
2008-12-22 -1.311297e-02
2008-12-23 -2.414261e-02
2008-12-24 -1.822561e-02
2008-12-26 -2.126731e-02
2008-12-29  2.185448e-02
2008-12-30  1.879612e-02
2008-12-31 -7.476106e-03
2009-01-02  2.855078e-02
2009-01-05  2.359954e-02
2009-01-06 -3.397600e-03
2009-01-07 -6.442474e-02
2009-01-09 -1.698642e-02
2009-01-12 -3.601355e-02
2009-01-13 -1.082566e-02
2009-01-14  3.176229e-02
2009-01-15 -3.601761e-02
2009-01-16  3.235341e-02
2009-01-19  5.633276e-03
2009-01-20 -1.820296e-02
2009-01-21 -3.350014e-02
2009-01-22  2.200324e-03
2009-01-23 -1.369690e-02
2009-01-27  3.343634e-02
2009-01-28  2.718630e-02
2009-01-29 -9.629580e-03
2009-01-30  1.722389e-02
2009-02-02 -3.896859e-02
2009-02-03  5.592984e-03
2009-02-04  6.232704e-03
2009-02-05 -8.861834e-03
2009-02-06  2.180347e-02
2009-02-09  2.603166e-02
2009-02-10  4.365109e-03
2009-02-11 -3.625966e-03
2009-02-12 -1.184506e-02
2009-02-13  1.831176e-02
2009-02-16 -3.507582e-02
2009-02-17 -2.838737e-02
2009-02-18  1.414594e-03
2009-02-19  4.120952e-03
2009-02-20 -1.976982e-02
2009-02-24 -1.554953e-03
2009-02-25  9.784305e-03
2009-02-26  7.722501e-03
2009-02-27 -8.551607e-03
2009-03-02 -3.337500e-02
2009-03-03 -2.033262e-02
2009-03-04  8.034130e-03
2009-03-05 -2.685980e-02
2009-03-06  1.609940e-02
2009-03-09 -1.872338e-02
2009-03-12  1.644711e-02
2009-03-13  3.753293e-02
2009-03-16  2.048249e-02
2009-03-17 -7.777544e-03
2009-03-18  1.279579e-02
2009-03-19  3.822313e-03
2009-03-20 -6.582084e-04
2009-03-23  4.561877e-02
2009-03-24 -1.030881e-03
2009-03-25  1.479207e-02
2009-03-26  3.165521e-02
2009-03-27  7.906030e-03
2009-03-30 -4.350888e-02
2009-03-31  1.364643e-02
2009-04-01  1.233535e-02
2009-04-02  4.744604e-02
2009-04-06  1.346310e-02
2009-04-08  2.554726e-02
2009-04-09 -8.918670e-04
2009-04-13  1.143763e-02
2009-04-15  2.895677e-02
2009-04-16 -3.408236e-02
2009-04-17  3.789607e-03
2009-04-20 -2.781864e-03
2009-04-21 -4.122892e-03
2009-04-22 -1.107736e-02
2009-04-23  2.703678e-02
2009-04-24  1.590333e-02
2009-04-27 -3.715831e-03
2009-04-28 -3.213707e-02
2009-04-29  3.202946e-02
2009-05-04  4.990756e-02
2009-05-05  1.537017e-03
2009-05-06 -1.073665e-02
2009-05-07  1.548122e-02
2009-05-08 -1.792722e-02
2009-05-11 -1.904743e-02
2009-05-12  3.434644e-02
2009-05-13 -1.315640e-02
2009-05-14 -1.218779e-02
2009-05-15  2.090576e-02
2009-05-18  1.627205e-01
2009-05-19 -1.710331e-03
2009-05-20 -1.183519e-02
2009-05-21 -1.463030e-02
2009-05-22  5.910418e-03
2009-05-25 -8.468438e-04
2009-05-26 -2.955594e-02
2009-05-27  3.735508e-02
2009-05-28  1.355367e-02
2009-05-29  2.483958e-02
2009-06-01  1.740905e-02
2009-06-02 -1.649655e-03
2009-06-03  5.810350e-04
2009-06-04  8.593751e-03
2009-06-05  2.488872e-03
2009-06-08 -3.545004e-02
2009-06-09  2.633642e-02
2009-06-10  2.203693e-02
2009-06-11 -4.399656e-03
2009-06-12 -1.240017e-02
2009-06-15 -2.254819e-02
2009-06-16  6.886965e-03
2009-06-17 -3.705913e-02
2009-06-18 -2.496294e-02
2009-06-19  1.390189e-02
2009-06-22 -1.895312e-02
2009-06-23  2.147856e-03
2009-06-24  1.013870e-02
2009-06-25 -1.259731e-02
2009-06-26  3.039864e-02
2009-06-29  2.902213e-03
2009-06-30 -2.362515e-02
2009-07-01  1.091591e-02
2009-07-02  1.207151e-03
2009-07-03  1.656667e-02
2009-07-06 -6.083903e-02
2009-07-07  8.089263e-03
2009-07-08 -3.039159e-02
2009-07-09 -1.201645e-04
2009-07-10 -1.968357e-02
2009-07-13 -8.105760e-03
2009-07-14  3.335520e-02
2009-07-15  2.864286e-02
2009-07-16 -1.118826e-03
2009-07-17  3.273961e-02
2009-07-20  2.805950e-02
2009-07-21 -8.012841e-03
2009-07-22 -1.645522e-02
2009-07-23  2.736417e-02
2009-07-24  9.231893e-03
2009-07-27  1.978559e-04
2009-07-28 -2.417591e-03
2009-07-29 -1.177109e-02
2009-07-30  1.213494e-02
2009-07-31  1.349591e-02
2009-08-03  1.541342e-02
2009-08-04 -7.202778e-03
2009-08-05  2.289453e-03
2009-08-06 -2.404052e-02
2009-08-07 -2.358631e-02
2009-08-10 -1.043318e-02
2009-08-11  6.942827e-03
2009-08-12 -3.724964e-03
2009-08-13  3.193196e-02
2009-08-14 -6.055434e-03
2009-08-17 -4.348178e-02
2009-08-18  1.542871e-02
2009-08-19 -1.526196e-02
2009-08-20  1.279373e-02
2009-08-21  1.615520e-02
2009-08-24  2.423799e-02
2009-08-25  2.935747e-03
2009-08-26  3.981127e-03
2009-08-27  9.463800e-04
2009-08-28  8.750537e-03
2009-08-31 -1.557855e-02
2009-09-01 -8.536583e-03
2009-09-02 -4.304805e-03
2009-09-03 -3.839430e-03
2009-09-04  1.810782e-02
2009-09-07  2.104084e-02
2009-09-08  4.039397e-03
2009-09-09  1.248563e-03
2009-09-10  4.465120e-04
2009-09-11  1.481200e-03
2009-09-14 -4.969890e-03
2009-09-15  1.659304e-02
2009-09-16  1.283877e-02
2009-09-17  8.183025e-04
2009-09-18  1.489700e-03
2009-09-22  8.210811e-03
2009-09-23 -1.068263e-02
2009-09-24  2.711793e-03
2009-09-25 -6.172821e-03
2009-09-29  8.990294e-03
2009-09-30  1.465893e-02
2009-10-01 -7.308839e-04
2009-10-05 -1.652520e-02
2009-10-06  4.202549e-03
2009-10-07 -8.941726e-03
2009-10-08  2.681331e-03
2009-10-09 -1.209300e-02
2009-10-12  2.118939e-02
2009-10-14  1.195074e-02
2009-10-15 -2.451140e-03
2009-10-16  5.874275e-03
2009-10-20 -6.023993e-03
2009-10-21 -1.061483e-02
2009-10-22 -1.554502e-02
2009-10-23  1.069734e-03
2009-10-26 -5.869446e-03
2009-10-27 -2.592543e-02
2009-10-28 -4.871710e-03
2009-10-29 -1.641131e-02
2009-10-30 -8.834178e-03
2009-11-03 -3.249396e-02
2009-11-04  3.105757e-02
2009-11-05  1.093257e-02
2009-11-06  5.777941e-03
2009-11-09  2.047247e-02
2009-11-10 -4.037678e-03
2009-11-11  2.411144e-02
2009-11-12 -1.092751e-02
2009-11-13  8.682526e-03
2009-11-16  1.113043e-02
2009-11-17  2.074167e-04
2009-11-18 -2.115143e-03
2009-11-19 -1.370569e-02
2009-11-20  1.201519e-02
2009-11-23  9.440388e-03
2009-11-24 -3.173133e-03
2009-11-25  2.828806e-03
2009-11-26 -2.091266e-02
2009-11-27 -1.345038e-02
2009-11-30  1.761450e-02
2009-12-01  1.696569e-02
2009-12-02 -3.786213e-04
2009-12-03  1.025386e-03
2009-12-04 -5.075565e-03
2009-12-07 -8.916978e-03
2009-12-08  1.528622e-02
2009-12-09 -7.630535e-03
2009-12-10  3.798308e-03
2009-12-11 -4.007381e-03
2009-12-14 -2.891954e-03
2009-12-15 -1.495411e-02
2009-12-16  1.163947e-03
2009-12-17 -6.820995e-04
2009-12-18 -1.140096e-02
2009-12-21 -7.684847e-03
2009-12-22  6.068572e-03
2009-12-23  3.072108e-02
2009-12-24  5.925833e-03
2009-12-29  1.219920e-03
2009-12-30 -4.194966e-03
2009-12-31  5.471516e-03
2010-01-04  5.348749e-03
2010-01-05  8.073759e-03
2010-01-06  1.160023e-04
2010-01-07 -4.169323e-03
2010-01-08 -4.115286e-03
2010-01-11  2.635526e-04
2010-01-12 -8.079793e-03
2010-01-13  3.887042e-03
2010-01-14  4.323071e-03
2010-01-15 -2.087560e-03
2010-01-18  3.680551e-03
2010-01-19 -9.993725e-03
2010-01-20 -1.378753e-03
2010-01-21 -2.535289e-02
2010-01-22 -1.210332e-02
2010-01-25 -6.218107e-03
2010-01-27 -3.202159e-02
2010-01-28  2.288763e-03
2010-01-29  2.413441e-03
2010-02-01  2.986208e-03
2010-02-02 -1.492946e-02
2010-02-03  2.022436e-02
2010-02-04 -1.831733e-02
2010-02-05 -2.711942e-02
2010-02-08  8.186320e-03
2010-02-09  6.129159e-03
2010-02-10 -8.046810e-03
2010-02-11  1.391216e-02
2010-02-15 -5.794612e-03
2010-02-16  1.051881e-02
2010-02-17  1.130207e-02
2010-02-18 -5.978836e-03
2010-02-19 -9.428127e-03
2010-02-22  1.748181e-03
2010-02-23  2.184125e-03
2010-02-24 -2.976450e-03
2010-02-25 -3.859913e-04
2010-02-26  1.216623e-02
2010-03-02  1.843365e-02
2010-03-03  1.344972e-02
2010-03-04 -2.166663e-03
2010-03-05  1.039324e-03
2010-03-08  6.290314e-03
2010-03-09 -5.023407e-03
2010-03-10  2.264498e-03
2010-03-11  2.723803e-03
2010-03-12  7.842612e-05
2010-03-15 -2.200696e-03
2010-03-16  1.277936e-02
2010-03-17  5.858652e-03
2010-03-18  2.049682e-03
2010-03-19  2.593730e-03
2010-03-22 -1.162764e-02
2010-03-23  3.231375e-03
2010-03-25  6.072239e-03
2010-03-26  3.475126e-03
2010-03-29  3.316980e-03
2010-03-30 -8.270332e-03
2010-03-31 -3.162720e-03
2010-04-01  7.233471e-03
2010-04-05  1.399450e-02
2010-04-06 -1.069779e-03
2010-04-07  9.880486e-04
2010-04-08 -1.376995e-02
2010-04-09  1.012165e-02
2010-04-12 -4.743543e-03
2010-04-13 -3.764447e-03
2010-04-15 -9.937074e-03
2010-04-16 -2.710677e-03
2010-04-19 -1.188757e-02
2010-04-20  4.447497e-03
2010-04-21  2.203103e-03
2010-04-22  4.028240e-03
2010-04-23  5.950454e-03
2010-04-26  2.830999e-03
2010-04-27 -3.275326e-03
2010-04-28 -1.827830e-02
2010-04-29  6.770173e-03
2010-04-30  3.906379e-03
2010-05-03 -1.114579e-02
2010-05-04 -1.494131e-02
2010-05-05 -5.217053e-03
2010-05-06 -7.288800e-03
2010-05-07 -1.502609e-02
2010-05-10  3.376311e-02
2010-05-11 -1.174600e-02
2010-05-12  3.360736e-03
2010-05-13  3.682898e-03
2010-05-14 -1.725008e-02
2010-05-17 -7.241153e-03
2010-05-18  6.217305e-04
2010-05-19 -2.997634e-02
2010-05-20  5.042624e-03
2010-05-21 -3.953060e-03
2010-05-24  1.969803e-03
2010-05-25 -2.876610e-02
2010-05-26  2.213610e-02
2010-05-27  1.665519e-02
2010-05-28  1.197970e-02
2010-05-31  3.267901e-03
2010-06-01 -2.371313e-02
2010-06-02  9.317316e-03
2010-06-03  1.727454e-02
2010-06-04  4.257326e-03
2010-06-07 -2.058495e-02
2010-06-08 -9.982935e-03
2010-06-09  2.020637e-03
2010-06-10  1.491514e-02
2010-06-11  7.369208e-03
2010-06-14  1.456612e-02
2010-06-15  4.108617e-03
2010-06-16  1.481479e-03
2010-06-17  7.275998e-03
2010-06-18 -2.947678e-03
2010-06-21  1.646530e-02
2010-06-22 -7.511233e-03
2010-06-23  6.180181e-04
2010-06-24 -1.101754e-03
2010-06-25 -1.035869e-02
2010-06-28  1.153500e-02
2010-06-29 -1.523152e-02
2010-06-30  1.004110e-02
2010-07-01 -1.219048e-02
2010-07-02 -3.349397e-03
2010-07-05 -8.518349e-04
2010-07-06  9.477241e-03
2010-07-07 -9.729827e-03
2010-07-08  9.958267e-03
2010-07-09  9.819477e-03
2010-07-12  5.068766e-03
2010-07-13  2.650822e-03
2010-07-14 -3.311110e-03
2010-07-15 -1.997457e-03
2010-07-16  2.190025e-03
2010-07-19 -2.004727e-03
2010-07-20 -4.053814e-03
2010-07-21  5.200558e-03
2010-07-22  7.236257e-03
2010-07-23  6.903503e-04
2010-07-26 -6.235615e-03
2010-07-27  1.589509e-03
2010-07-28 -6.727169e-03
2010-07-29  1.477979e-03
2010-07-30 -8.287464e-03
2010-08-02  1.123940e-02
2010-08-03  8.307271e-04
2010-08-04  4.566566e-03
2010-08-05 -4.424766e-03
2010-08-06 -2.064828e-03
2010-08-09  7.962896e-03
2010-08-10 -5.272331e-03
2010-08-11 -7.993131e-03
2010-08-12 -1.388510e-03
2010-08-13  5.937581e-03
2010-08-16 -6.841433e-03
2010-08-17 -1.388835e-03
2010-08-18  1.131145e-02
2010-08-19  1.045804e-02
2010-08-20 -2.347942e-03
2010-08-23  1.698102e-03
2010-08-24 -7.573754e-03
2010-08-25 -8.418472e-03
2010-08-26  2.220043e-03
2010-08-27 -1.333563e-02
2010-08-30  6.245744e-04
2010-08-31 -3.035371e-03
2010-09-01  1.215087e-02
2010-09-02  1.987294e-03
2010-09-03 -1.853765e-03
2010-09-06  1.702384e-02
2010-09-07  4.215925e-03
2010-09-08  6.415409e-05
2010-09-09  5.102840e-03
2010-09-13  2.042194e-02
2010-09-14  5.530237e-03
2010-09-15  1.059875e-02
2010-09-16 -6.140352e-03
2010-09-17  8.981616e-03
2010-09-20  1.547493e-02
2010-09-21  4.148148e-03
2010-09-22 -3.630927e-03
2010-09-23 -5.886038e-03
2010-09-24  9.187216e-03
2010-09-27  2.256106e-03
2010-09-28 -1.642086e-03
2010-09-29 -6.978341e-03
2010-09-30  5.807730e-03
2010-10-01  1.801693e-02
2010-10-04  1.986564e-03
2010-10-05 -2.841266e-03
2010-10-06  5.969921e-03
2010-10-07 -1.137300e-02
2010-10-08 -3.379503e-03
2010-10-11  4.671780e-03
2010-10-12 -7.975433e-03
2010-10-13  2.258365e-02
2010-10-14 -9.735368e-03
2010-10-15 -1.936505e-02
2010-10-18  1.568769e-03
2010-10-19 -8.661908e-03
2010-10-20 -8.150060e-03
2010-10-21  1.914031e-02
2010-10-22 -6.449660e-03
2010-10-25  5.908851e-03
2010-10-26 -4.528155e-03
2010-10-27 -1.209066e-02
2010-10-28 -4.780806e-03
2010-10-29  4.375124e-03
2010-11-01  1.583386e-02
2010-11-02 -3.856100e-04
2010-11-03  6.136622e-03
2010-11-04  1.887595e-02
2010-11-08 -1.992547e-03
2010-11-09  3.886345e-03
2010-11-10 -4.733177e-03
2010-11-11 -1.368626e-02
2010-11-12 -2.061370e-02
2010-11-15  7.570499e-03
2010-11-16 -2.257176e-02
2010-11-18  1.062387e-03
2010-11-19 -1.887516e-02
2010-11-22  1.949521e-02
2010-11-23 -1.322248e-02
2010-11-24 -1.231719e-02
2010-11-25 -1.193817e-02
2010-11-26 -8.898488e-03
2010-11-29  1.285540e-02
2010-11-30  4.970644e-03
2010-12-01  1.598854e-02
2010-12-02  7.863506e-03
2010-12-03 -3.771524e-03
2010-12-06 -7.143852e-04
2010-12-07 -3.246159e-03
2010-12-08 -1.288678e-02
2010-12-09 -2.413663e-02
2010-12-10  1.500935e-02
2010-12-13  7.928168e-03
2010-12-14  5.528406e-03
2010-12-15 -9.375404e-03
2010-12-16  8.912096e-03
2010-12-20 -9.084847e-04
2010-12-21  8.349878e-03
2010-12-22 -3.334350e-03
2010-12-23 -1.358136e-03
2010-12-24  4.647748e-03
2010-12-27 -2.870820e-03
2010-12-28 -9.728253e-04
2010-12-29  1.005235e-02
2010-12-30  6.201813e-03
2010-12-31  4.713919e-03
2011-01-03  3.135895e-03
2011-01-04 -2.451318e-03
2011-01-05 -1.150929e-02
2011-01-06 -5.825431e-03
2011-01-07 -2.465989e-02
2011-01-10 -2.492220e-02
2011-01-11 -2.142137e-03
2011-01-12  1.816876e-02
2011-01-13 -1.979648e-02
2011-01-14 -1.769236e-02
2011-01-17 -5.872332e-04
2011-01-18  1.155803e-02
2011-01-19 -6.404468e-03
2011-01-20  2.981844e-03
2011-01-21 -3.269897e-03
2011-01-24  7.550664e-03
2011-01-25 -1.039470e-02
2011-01-27 -1.534170e-02
2011-01-28 -1.720203e-02
2011-01-31 -1.757139e-03
2011-02-01 -1.686375e-02
2011-02-02  2.105641e-03
2011-02-03  1.666991e-02
2011-02-04 -2.461097e-02
2011-02-07 -5.763051e-04
2011-02-08 -1.620867e-02
2011-02-09 -1.179054e-02
2011-02-10 -5.918779e-03
2011-02-11  1.536134e-02
2011-02-14  2.650145e-02
2011-02-15  3.949009e-03
2011-02-16 -4.948954e-04
2011-02-17  1.112017e-02
2011-02-18 -1.652426e-02
2011-02-21  1.024509e-02
2011-02-22 -9.614470e-03
2011-02-23 -6.463198e-03
2011-02-24 -3.327022e-02
2011-02-25  7.109494e-03
2011-02-28  4.961801e-03
2011-03-01  3.421096e-02
2011-03-03  1.891338e-03
2011-03-04 -1.621733e-04
2011-03-07 -1.436595e-02
2011-03-08  9.874577e-03
2011-03-09  1.223252e-03
2011-03-10 -7.261894e-03
2011-03-11 -9.571577e-03
2011-03-14  1.505596e-02
2011-03-15 -1.553029e-02
2011-03-16  1.059929e-02
2011-03-17 -1.239521e-02
2011-03-18 -1.410664e-02
2011-03-21 -2.289581e-03
2011-03-22  8.488090e-03
2011-03-23  1.156758e-02
2011-03-24  7.039174e-03
2011-03-25  2.297231e-02
2011-03-28  5.196716e-03
2011-03-29  7.973673e-03
2011-03-30  8.280547e-03
2011-03-31  7.311061e-03
2011-04-01 -1.943448e-03
2011-04-04  1.342172e-02
2011-04-05 -3.519408e-04
2011-04-06 -3.723828e-03
2011-04-07 -1.649991e-03
2011-04-08 -8.075146e-03
2011-04-11 -1.030645e-02
2011-04-13  2.088758e-02
2011-04-15 -1.544053e-02
2011-04-18 -1.714588e-02
2011-04-19  1.408760e-03
2011-04-20  1.851116e-02
2011-04-21  5.009503e-03
2011-04-25 -2.357482e-03
2011-04-26 -1.661579e-03
2011-04-27 -6.518931e-03
2011-04-28 -8.962172e-03
2011-04-29 -6.855921e-03
2011-05-02 -9.041346e-03
2011-05-03 -2.477491e-02
2011-05-04 -5.684634e-03
2011-05-05 -1.468121e-02
2011-05-06  1.601522e-02
2011-05-09 -6.857028e-04
2011-05-10 -2.398654e-03
2011-05-11  3.663191e-03
2011-05-12 -1.490185e-02
2011-05-13  1.000218e-02
2011-05-16 -8.907913e-03
2011-05-17 -1.160283e-02
2011-05-18 -4.002172e-03
2011-05-19  7.600176e-04
2011-05-20  1.005139e-02
2011-05-23 -1.898077e-02
2011-05-24  9.171066e-04
2011-05-25 -9.167133e-03
2011-05-26  1.116044e-02
2011-05-27  1.108715e-02
2011-05-30 -1.170622e-03
2011-06-01  2.086917e-02
2011-06-02 -8.098635e-03
2011-06-03 -6.694724e-03
2011-06-06  2.146861e-03
2011-06-07  3.724351e-03
2011-06-08 -5.909991e-03
2011-06-09 -1.672663e-03
2011-06-10 -7.027761e-03
2011-06-13 -1.169653e-03
2011-06-14  2.600477e-03
2011-06-15 -1.030485e-02
2011-06-16 -9.982504e-03
2011-06-17 -6.262283e-03
2011-06-20 -2.104822e-02
2011-06-21  2.785497e-03
2011-06-22 -1.584199e-04
2011-06-23  7.246627e-03
2011-06-24  2.741117e-02
2011-06-27  9.443070e-03
2011-06-28  2.755234e-03
2011-06-29  9.273663e-03
2011-06-30  7.725622e-03
2011-07-01 -4.205864e-03
2011-07-04  3.509383e-03
2011-07-05 -3.884282e-03
2011-07-06 -1.804049e-03
2011-07-07  1.760869e-02
2011-07-08 -1.261623e-02
2011-07-11 -8.523856e-03
2011-07-12 -1.676877e-02
2011-07-13  1.005105e-02
2011-07-14 -1.380575e-02
2011-07-15  1.178135e-02
2011-07-18 -3.143288e-03
2011-07-19  7.695391e-03
2011-07-20 -8.940664e-03
2011-07-21 -5.204607e-03
2011-07-22  1.590491e-02
2011-07-25  7.570548e-03
2011-07-26 -1.936122e-02
2011-07-27 -5.666916e-03
2011-07-28 -1.132545e-02
2011-07-29 -1.670974e-03
2011-08-01  5.705312e-03
2011-08-02 -1.160390e-02
2011-08-03 -1.015191e-02
2011-08-04 -1.422119e-02
2011-08-05 -2.349174e-02
2011-08-08 -1.858096e-02
2011-08-09 -9.581255e-03
2011-08-10  1.660491e-02
2011-08-11 -5.030748e-03
2011-08-12 -1.342234e-02
2011-08-16 -7.972815e-03
2011-08-17  3.499341e-03
2011-08-18 -2.311194e-02
2011-08-19 -2.074630e-02
2011-08-22  1.028623e-02
2011-08-23  9.552436e-03
2011-08-24 -1.282064e-02
2011-08-25 -1.075785e-02
2011-08-26 -1.977342e-02
2011-08-29  3.492330e-02
2011-08-30  1.578801e-02
2011-09-02  7.145553e-03
2011-09-05 -5.156671e-03
2011-09-06  8.721201e-03
2011-09-07  1.122369e-02
2011-09-08  4.942736e-03
2011-09-09 -1.899240e-02
2011-09-12 -2.313959e-02
2011-09-13 -1.805840e-03
2011-09-14  1.376443e-02
2011-09-15  1.189712e-02
2011-09-16  1.060404e-03
2011-09-19 -1.096254e-02
2011-09-20  2.066177e-02
2011-09-21 -1.975677e-03
2011-09-22 -4.231152e-02
2011-09-23 -1.204092e-02
2011-09-26 -7.290619e-03
2011-09-27  2.708485e-02
2011-09-28 -5.735024e-03
2011-09-29  1.334162e-02
2011-09-30 -1.512281e-02
2011-10-03 -1.977004e-02
2011-10-04 -1.670133e-02
2011-10-05 -5.001330e-03
2011-10-07  2.775255e-02
2011-10-10  1.793354e-02
2011-10-11 -1.677494e-03
 [ reached getOption("max.print") -- omitted 1927 rows ]
> uncvariance(nsei.garch11.fit) 
[1] 0.000241955
uncmean(nsei.garch11.fit) 
[1] 0.0006226368
ni.garch11 <- newsimpact(nsei.garch11.fit)
> plot(ni.garch11$zx, ni.garch11$zy, type="l", lwd=2, col="blue",
+      main="GARCH(1,1) - News Impact", ylab=ni.garch11$yexpr, xlab=ni.
+      garch11$xexpr)
Error: unexpected symbol in:
"     main="GARCH(1,1) - News Impact", ylab=ni.garch11$yexpr, xlab=ni.
     garch11"
> plot(ni.garch11$zx, ni.garch11$zy, type="l",lwd=2,col="blue",main="GARCH(1,1)-News Impact", ylab=ni.garch11$yexpr,xlab=ni.garch11$xexpr)
> egarch11.spec = ugarchspec(variance.model = list(model="eGARCH",garchOrder=c(1,1)), mean.model = list(armaOrder=c(0,0)))
> nsei.egarch11.fit = ugarchfit(spec=egarch11.spec, data=ret.nsei)
> coef(nsei.egarch11.fit)
          mu        omega       alpha1        beta1 
 0.000389152 -0.097904469 -0.076354507  0.988684022 
      gamma1 
 0.160030192 



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