内容文件问题集31 1 sp500histstock data.pdfVIP

ForecastinginFinanceandEconomicSilinHeMAief

ProblemSet3

1.

1)

sp500=hist_stock_data31122011,^GSPC)

y=sp500.AdjClose(end:-1:1);

date=datenum(sp500.Date);

rdate=date(end:-1:1)/365.25;

x=rdate-rdate(1);

logy=log(y);

[beta1,se1,res1,logyhat1,r21]=ols(logy,x,1);

subplot(2,1,1)

plot(rdate,logy);

holdon

plot(rdate,logyhat1);

gridon

xlabel(year);

ylabel(SP500);

subplot(2,1,2)

plot(rdate,res1);

gridon

xlabel(year);

ylabel(residual);

ForecastinginFinanceandEconomic