金融衍生工具实验报告(Eviews分析)
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金融衍生工具实验报告
实验时间：2019年1月4日
实验地点：经济综合实验室
实验内容：
实验一：
1、β值计算：
600015华夏银行:
Dependent Variable: Y
Method: Least Squares
Date: 01/03/19 Time: 09:53
Sample (adjusted): 1940 1979
Included observations: 40 after adjustments
Variable
Coefficien
t Std. Error t-Statistic Prob.
C -0.000679 0.000877 -0.773765 0.4439
X 1.160390 0.087792 13.21748 0.0000 R-squared 0.821346 Mean dependent var 0.001425 Adjusted R-squared 0.816645 S.D. dependent var 0.012737 S.E. of regression 0.005454 Akaike info criterion -7.536162 Sum squared resid 0.001130 Schwarz criterion -7.451718 Log likelihood 152.7232 F-statistic 174.7018 Durbin-Watson stat 1.685052 Prob(F-statistic) 0.000000
600215 长春经开：
Dependent Variable: Y
Method: Least Squares
Date: 01/03/19 Time: 09:55
Sample (adjusted): 1940 1979
Included observations: 40 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.001347 0.001738 0.774697 0.4433
X 0.329426 0.086951 3.788632 0.0005 R-squared 0.274168 Mean dependent var 0.001425
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Adjusted R-squared 0.255067 S.D. dependent var 0.012737 S.E. of regression 0.010994 Akaike info criterion -6.134294 Sum squared resid 0.004593 Schwarz criterion -6.049850 Log likelihood 124.6859 F-statistic 14.35373 Durbin-Watson stat 2.484094 Prob(F-statistic) 0.000526
600415小商品城：
Dependent Variable: Y
Method: Least Squares
Date: 01/03/19 Time: 09:56
Sample (adjusted): 1940 1979
Included observations: 40 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000471 0.001163 0.404709 0.6880
X 0.697960 0.078024 8.945406 0.0000
R-squared 0.678021 Mean dependent var 0.001425 Adjusted R-squared 0.669548 S.D. dependent var 0.012737 S.E. of regression 0.007322 Akaike info criterion -6.947127 Sum squared resid 0.002037 Schwarz criterion -6.862683 Log likelihood 140.9425 F-statistic 80.02029 Durbin-Watson stat 1.944300 Prob(F-statistic) 0.000000
2、R2计算：
Dependent Variable: Y
Method: Least Squares
Date: 01/04/19 Time: 08:59
Sample (adjusted): 1940 1979
Included observations: 40 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000457 0.001114 0.410461 0.6838
X 0.808838 0.085022 9.513249 0.0000
R-squared 0.704285 Mean dependent var 0.001425 Adjusted R-squared 0.696503 S.D. dependent var 0.012737 S.E. of regression 0.007017 Akaike info criterion -7.032214 Sum squared resid 0.001871 Schwarz criterion -6.947770 Log likelihood 142.6443 F-statistic 90.50190 Durbin-Watson stat 2.208747 Prob(F-statistic) 0.000000