Author: The Quant Panda

Linear Regression: DJI and VIX

Y = DJI
X = VIX

Rplot_DJI_VIX

Model Summary

Residuals:
Min 1Q Median 3Q Max
-811.7 -408.3 -127.0 267.8 1485.3

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 21030.749 137.965 152.44 <2e-16 ***
VIX -196.115 8.457 -23.19 <2e-16 ***

Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 532.1 on 250 degrees of freedom
Multiple R-squared: 0.6827, Adjusted R-squared: 0.6814
F-statistic: 537.8 on 1 and 250 DF, p-value: < 2.2e-16


The regression analysis was generated in R.
Data source: Yahoo Finance
Time-frame: 2016

Advertisements

Linear Regression: DJI and GSPC

DJI stands for the Dow Jones Industrial Average index and GSPC for the S&P 500 index.

Y = DJI
X = GSPC

rplot_djigspc

rplot_summary

Model Summary

Residuals:
Min 1Q Median 3Q Max
-304.73 -146.07 -14.03 90.80 519.93

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -1185.589 234.929 -5.047 8.66e-07 ***
GSPC 9.124 0.112 81.450 < 2e-16 ***

Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 180 on 250 degrees of freedom
Multiple R-squared: 0.9637, Adjusted R-squared: 0.9635
F-statistic: 6634 on 1 and 250 DF, p-value: < 2.2e-16


The regression analysis was generated in R.
Data source: Yahoo Finance
Time-frame: 2016