Chapter 08 - UN-6ARETURN DATA FOR VARIANCE-COVARIANCE

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Unformatted text preview: UN-6ARETURN DATA FOR VARIANCE-COVARIANCE CALCULATIONSAMRBSGEHRMOUKSP5001974-0.3505-0.1154-0.4246-0.2107-0.07580.2331-0.264719750.70830.24720.37190.22270.02130.35690.372019760.73290.36650.25500.58150.12760.07810.23841977-0.2034-0.4271-0.0490-0.09380.0712-0.2721-0.071819780.1663-0.0452-0.05730.27510.1372-0.13460.06561979-0.26590.01580.08980.07930.02150.22540.184419800.01240.47510.3350-0.18940.20020.36570.32421981-0.0264-0.2042-0.0275-0.74270.09130.0479-0.049119821.0642-0.14930.6968-0.26150.22430.04560.214119830.19420.36800.31101.86820.20660.26400.2251AMRAmerican AirlinesBSBethlehem SteelGEGeneral ElectricHRInternational HarvesterMOPhilip MorrisUKUnion CarbideABCDEFGH1234567891011121314151617181920UN-6ECALCULATING THE VARIANCE-COVARIANCE MATRIX FROM EXCESS RETURNSAMRBSGEHRMOUK1974-0.3505-0.1154-0.4246-0.2107-0.07580.233119750.70830.24720.37190.22270.02130.356919760.73290.36650.25500.58150.12760.07811977-0.2034-0.4271-0.0490-0.09380.0712-0.272119780.1663-0.0452-0.05730.27510.1372-0.13461979-0.26590.01580.08980.07930.02150.225419800.01240.47510.3350-0.18940.20020.36571981-0.0264-0.2042-0.0275-0.74270.09130.047919821.0642-0.14930.6968-0.26150.22430.045619830.19420.36800.31101.86820.20660.2640Mean0.20320.05310.15010.15290.10250.1210<-- =AVERAGE(G4:G13)Excess return matrixAMRBSGEHRMOUK1974-0.5537-0.1686-0.5747-0.3635-0.17840.112119750.50510.19400.22180.0698-0.08120.235919760.52970.31340.10490.42860.0250-0.04291977-0.4066-0.4802-0.1991-0.2466-0.0313-0.39311978-0.0369-0.0984-0.20740.12220.0347-0.25551979-0.4691-0.0374-0.0603-0.0736-0.08100.10441980-0.19080.42200.1849-0.34230.09770.24471981-0.2296-0.2574-0.1777-0.8956-0.0112-0.073119820.8610-0.20240.5467-0.41440.1217-0.0754<-- =G12-$G$141983-0.00900.31490.16091.71540.10410.1430<-- =G13-$G$14Transpose of excess return matrix1974197519761977197819791980198119821983AMR-0.55370.50510.52970....
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Chapter 08 - UN-6ARETURN DATA FOR VARIANCE-COVARIANCE

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