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Date DLT Close ASX Index 28/12/14 0.145 5435.899902 4/1/15 0.135 5465.600098 11/1/15 0.1 5299.200195 18/1/15 0.097...

Date DLT Close ASX Index
28/12/14 0.145 5435.899902
4/1/15 0.135 5465.600098
11/1/15 0.1 5299.200195
18/1/15 0.097 5501.799805
25/1/15 0.098 5588.299805
1/2/15 0.082 5820.200195
8/2/15 0.072 5877.5
15/2/15 0.076 5881.5
22/2/15 0.1 5928.799805
1/3/15 0.14 5898.899902
8/3/15 0.135 5814.5
15/3/15 0.12 5975.5
22/3/15 0.1 5919.899902
29/3/15 0.1 5898.600098
5/4/15 0.1 5968.399902
12/4/15 0.091 5877.899902
19/4/15 0.115 5933.299805
26/4/15 0.11 5814.399902
3/5/15 0.215 5634.600098
10/5/15 0.22 5735.5
17/5/15 0.25 5664.700195
24/5/15 0.255 5777.200195
31/5/15 0.185 5498.5
7/6/15 0.195 5545.299805
14/6/15 0.18 5597
21/6/15 0.145 5545.899902
28/6/15 0.175 5538.299805
5/7/15 0.145 5492
12/7/15 0.145 5670.100098
19/7/15 0.155 5566.100098
26/7/15 0.135 5699.200195
2/8/15 0.145 5474.799805
9/8/15 0.15 5356.5
16/8/15 0.15 5214.600098
23/8/15 0.145 5263.600098
30/8/15 0.12 5040.600098
6/9/15 0.12 5071.100098
13/9/15 0.135 5170.5
20/9/15 0.16 5042.100098
27/9/15 0.125 5052
4/10/15 0.15 5279.700195
11/10/15 0.145 5268.200195
18/10/15 0.16 5351.600098
25/10/15 0.13 5239.399902
1/11/15 0.13 5215
8/11/15 0.12 5051.299805
15/11/15 0.12 5256.100098
22/11/15 0.135 5202.600098
29/11/15 0.14 5151.600098
6/12/15 0.145 5029.5
13/12/15 0.12 5106.700195
20/12/15 0.15 5207.600098
27/12/15 0.135 5295.899902
3/1/16 0.155 4990.799805
10/1/16 0.175 4892.799805
17/1/16 0.17 4916
24/1/16 0.195 5005.5
31/1/16 0.195 4976.200195
7/2/16 0.18 4765.299805
14/2/16 0.185 4952.799805
21/2/16 0.175 4880
28/2/16 0.16 5090
6/3/16 0.165 5166.399902
13/3/16 0.19 5183.100098
20/3/16 0.165 5084.200195
27/3/16 0.175 4999.399902
3/4/16 0.16 4937.600098
10/4/16 0.175 5157.5
17/4/16 0.16 5236.399902
24/4/16 0.145 5252.200195
1/5/16 0.15 5292
8/5/16 0.16 5329
15/5/16 0.155 5351.299805
22/5/16 0.165 5405.899902
29/5/16 0.155 5318.899902
5/6/16 0.15 5312.600098
12/6/16 0.145 5162.700195
19/6/16 0.13 5113.200195
26/6/16 0.135 5246.600098
3/7/16 0.14 5230.5
10/7/16 0.155 5429.600098
17/7/16 0.14 5498.200195
24/7/16 0.089 5562.299805
31/7/16 0.084 5497.399902
7/8/16 0.085 5530.899902
14/8/16 0.078 5526.700195
21/8/16 0.069 5515.5
28/8/16 0.079 5372.799805
4/9/16 0.087 5339.200195
11/9/16 0.098 5296.700195
18/9/16 0.097 5431.299805
25/9/16 0.088 5435.899902
2/10/16 0.095 5467.399902
9/10/16 0.091 5434
16/10/16 0.082 5430.299805
23/10/16 0.07 5283.799805
30/10/16 0.07 5180.799805
6/11/16 0.052 5370.700195
13/11/16 0.06 5359.399902
20/11/16 0.062 5507.799805
27/11/16 0.046 5444
4/12/16 0.047 5560.600098
11/12/16 0.048 5532.899902
18/12/16 0.045 5627.899902
25/12/16 0.047 5665.799805
1/1/17 0.044 5755.600098
8/1/17 0.045 5721.100098
15/1/17 0.036 5654.799805
22/1/17 0.035 5714
29/1/17 0.041 5621.600098
5/2/17 0.042 5720.600098
12/2/17 0.044 5805.799805
19/2/17 0.041 5739
26/2/17 0.046 5729.600098
5/3/17 0.046 5775.600098
12/3/17 0.045 5799.600098
19/3/17 0.044 5753.5
26/3/17 0.038 5864.899902
2/4/17 0.039 5862.5
9/4/17 0.036 5889.899902
16/4/17 0.036 5854.100098
23/4/17 0.038 5924.100098
30/4/17 0.035 5836.600098
7/5/17 0.032 5836.899902
14/5/17 0.028 5727.399902
21/5/17 0.022 5751.700195
28/5/17 0.023 5788.100098
4/6/17 0.038 5677.799805
11/6/17 0.043 5774
18/6/17 0.038 5715.899902
25/6/17 0.036 5721.5
2/7/17 0.04 5703.600098
9/7/17 0.031 5765.100098
16/7/17 0.032 5722.799805
23/7/17 0.03 5702.799805
30/7/17 0.032 5720.600098
6/8/17 0.033 5693.100098
13/8/17 0.04 5747.100098
20/8/17 0.053 5743.899902
27/8/17 0.078 5724.600098
3/9/17 0.074 5672.600098
10/9/17 0.056 5695
17/9/17 0.057 5682.100098
24/9/17 0.058 5681.600098
1/10/17 0.056 5710.700195
8/10/17 0.067 5814.200195
15/10/17 0.063 5907
22/10/17 0.105 5903.200195
29/10/17 0.19 5959.899902
5/11/17 0.24 6029.399902
12/11/17 0.2 5957.299805
19/11/17 0.19 5982.600098
26/11/17 0.215 5989.799805
3/12/17 0.23 5994.399902
10/12/17 0.275 5997
17/12/17 0.345 6069.700195
24/12/17 0.35 6065.100098
31/12/17 0.35 6122.299805
7/1/18 0.38 6070.100098
14/1/18 0.31 6005.799805
21/1/18 0.325 6050
28/1/18 0.245 6121.399902
4/2/18 0.23 5838
11/2/18 0.28 5904
18/2/18 0.22 5999.799805
25/2/18 0.24 5928.899902
4/3/18 0.24 5962.399902
8/3/18 0.24 5933.399902

((( Part B Financial Analysts will often try to model returns on a singular company against a market index – this is sometimes referred to as the market model. Your task is to replicate this model by regressing the returns of Digital X (Y variable) against the returns on the ASX200 index (X variable) as provided in the data file. Critically assess the veracity of this model by examining the goodness of fit, coefficients (together with the 95% confidence interval) and residuals.   [Topics 7 & 9] ))

ONLY THQUESTION

Identify two factors that you believe could improve the regression model. Remember to explain why you think these factors are important, where you might source them from and whether their influence is likely to be positive or negative. [Topic 10]

math   Statistics-And-Probability   
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Homework Answers

Answer #1

The simple linear regression model from the given data is

Y=0.0953+0.000005*X

DLT Close (Y) ASX Index (X)

since the p-value of the regression is less than given level of significance=0.05, so model is not good fit.

Also proportion of explained variation R2=0.0005 is very low.

following regression analysis information has been generated using ms-excel

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.022382682
R Square 0.000500984
Adjusted R Square -0.005520094
Standard Error 0.075785444
Observations 168
ANOVA
df SS MS F Significance F
Regression 1 0.000477883 0.000478 0.083205 0.773359907
Residual 166 0.953409968 0.005743
Total 167 0.953887851
Coefficients Standard Error t Stat P-value Lower 95% Upper 95%
Intercept 0.095301434 0.101290431 0.940873 0.348137 -0.10468211 0.295284979
X Variable 1 5.25033E-06 1.82017E-05 0.288453 0.77336 -3.06863E-05 4.11869E-05
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