STAT 2 HW

STAT 2 HW - Cengiz Rahmioglu 37479511 STAT 101 HW 1. (a)...

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10 20 30 40 50 Count -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5 Monthly Returns Monthly Returns Monthly Returns Cengiz Rahmioglu 37479511 STAT 101 HW 1. (a) Histograms of Dell, IBM and Microsoft Dell Quantiles 100.0% maximum 0.4982 99.5% 0.4982 97.5% 0.3983 90.0% 0.2570 75.0% quartile 0.1726 50.0% median 0.0487 25.0% quartile -0.0505 10.0% -0.1641 2.5% -0.2851 0.5% -0.3475 0.0% minimum -0.3475 Moments Mean 0.0517943 Std Dev 0.1645617 Std Err Mean 0.0126962 upper 95% Mean 0.0768601 lower 95% Mean 0.0267285 N 168
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10 20 30 40 50 Count -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5 Cengiz Rahmioglu 37479511 IBM Quantiles 100.0 % maximum 0.3538 99.5% 0.3538 97.5% 0.1949 90.0% 0.1348 75.0% quartile 0.0707 50.0% median 0.0132 25.0% quartile -0.0494 10.0% -0.0911 2.5% -0.1844 0.5% -0.2619 0.0% minimum -0.2619 Moments Mean 0.01414 Std Dev 0.0947959 Std Err Mean 0.0073137 upper 95% Mean 0.0285791 lower 95% Mean -0.000299 N 168
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10 20 30 40 50 Count -0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5 Cengiz Rahmioglu 37479511 Microsoft Quantiles 100.0 % maximum 0.4078 99.5% 0.4078 97.5% 0.2815 90.0% 0.1525 75.0% quartile 0.0872 50.0% median 0.0242 25.0% quartile -0.0383 10.0% -0.1042 2.5% -0.1611 0.5% -0.3435 0.0% minimum -0.3435 Moments Mean 0.0288831 Std Dev 0.1102868 Std Err Mean 0.0085088 upper 95% Mean 0.0456818 lower 95% Mean 0.0120844 N 168 All three histograms are unimodal, normally distributed and symmetrical which means that we could use the empirical rule to estimate the standard deviation of monthly returns. The histogram of Microsoft has many outliers and the median return is around 2%. The histogram of IBM has fewer outliers and the median monthly return is slightly lower. The data in the histogram of Dell doesn’t have that many outliers but the data is more widespread therefore the standard derivation is larger.
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Cengiz Rahmioglu 37479511 Dell IBM Microsoft Mean 0.05179 0.01414 0.02888 Standard Deviation 0.16456 0.09479 0.11028 (b) For simple data, a histogram summarizes the variation of data and shows where the values concentrate. These three stock returns data look simple so the mean and the SD are good summaries of the variation of the returns for the values in the center. However, the mean and the SD fail in predicting extreme events at the tails of the normal distribution(e.g. market crashes). The bell shaped distribution of the percentage
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This note was uploaded on 06/22/2008 for the course STAT 101 taught by Professor Heller during the Fall '08 term at UPenn.

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STAT 2 HW - Cengiz Rahmioglu 37479511 STAT 101 HW 1. (a)...

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