[R-SIG-Finance] Adding external regressors on conditional variance model
Assis Duraes
assis.duraes at gmail.com
Thu Aug 20 19:19:06 CEST 2015
Thank you very much for your prompt answer and help, Alexios.
I am running now some models and found some results that are puzzling me.
>From another thread I saw one recommendation that we should "(...) pass
values in the external regressor which are close in scale to the variance
equation", what makes sense to me...
However, I noticed that when I define the external regressors with values
close to the return series, the coefficients calculated for the external
regressors are non-significant, while I have a strong hypothesis that those
should be relevant in the process. Nevertheless, I noticed that when
scaling to an annual basis the external regressor coefficients becomes
significant...
Attached follow a sample code (sample_gjr_extregressor.R) and simplified
database (data.txt) with daily returns (r) and lagged realized variance
(lag_extreg) I am using as inputs for the models.
There are three models as below:
Model1: Standard GJR
Model2: GJR with lagged daily realized variance
Model3: GJR with lagged realized variance annualized (scaled by 252)
The table below summarizes the results found.
model omega alpha1 beta1 gamma1 delta1 p-val_omega p-val_alpha1
p-val_beta1 p-val_gamma1 p-val_delta1 LL For_01d
Model1 0.011449 0.131705 0.89924 -0.08386 NA 0.001217 0.000000 0.000000
0.000012 0.000000 -2033.96 0.800619
Model2 0.011449 0.131705 0.899244 -0.08387 1.23E-08 0.002944 0.000000
0.000000 0.000012 0.999999 -2033.96 0.800635
Model3 0.004839 0.066382 0.69109 -0.08387 0.001161 0.633308 0.037429
0.000000 0.010968 0.000451 -2012.57 0.778901
Any idea or suggestion on what might be happening?
Thanks again in advance for any help with that issue.
Best Regards,
Assis.
2015-08-20 11:01 GMT-03:00 alexios <alexios at 4dscape.com>:
> Hi,
>
> The answer is yes and yes. Add variable(s) lagged.
>
> Best,
>
> Alexios
>
>
> On 20/08/2015 14:57, Assis Duraes wrote:
>
>> Hi,
>>
>> first of all I would like to thanks for the rugarch package. it is really
>> useful and a very nice package.
>>
>> I am investigating the effect of external variables on conditional
>> variance
>> models forecasts. more specifically, I am would like to check if the
>> addition of implied volatility and realized variance as external
>> regressors
>> on a GJR (1,1) model somehow enhance the daily volatility forecasts of it.
>>
>> Looking for a tool to help modelling it I found the rugarch package, and
>> started looking into it. In fact, at this point, I believe I have a very
>> basic question. but did not find an answer on previous posts or in the
>> package documentation.
>>
>> Should I inform the external regressors matrix in model spec already
>> lagged
>> or not? I imagine, yes, since I did not find in any place where specify
>> the
>> lags for those regressors, but would like to confirm. In case affirmative,
>> If I want to use a same variable with different lags I need to inform it
>> multiple times, obviously with different lags, in external.regressors
>> matrix, correct?
>>
>> My apologies in advance if it is explained somewhere, but as I explained,
>> i
>> search without much success..
>>
>> Thanks in advance for any help with that,
>> Assis.
>>
>> [[alternative HTML version deleted]]
>>
>> _______________________________________________
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>
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Date r lag_extreg
02-Jan-09 0.138163314 0.891127064
05-Jan-09 -3.535023066 1.870274188
06-Jan-09 -2.750700196 3.583100836
07-Jan-09 4.100392146 12.22858343
08-Jan-09 1.192369028 4.608871622
09-Jan-09 -1.829426571 6.547163751
12-Jan-09 2.731740518 6.090715266
13-Jan-09 0.051808999 3.492098049
14-Jan-09 2.291398015 5.32220453
15-Jan-09 -0.685745999 4.945541386
16-Jan-09 -1.020351671 3.800733908
19-Jan-09 0.98636552 2.318998273
20-Jan-09 0.896753186 1.411689395
21-Jan-09 -1.58746967 6.840925463
22-Jan-09 -0.721373732 1.160404717
23-Jan-09 0.395682422 1.840062275
26-Jan-09 -0.300920182 2.177548385
27-Jan-09 0.844574269 1.477195152
28-Jan-09 -3.06475949 1.397076051
29-Jan-09 0.955058517 2.482112626
30-Jan-09 1.278041873 2.568164406
02-Feb-09 -0.357936428 3.894530914
03-Feb-09 -0.411264893 2.726199461
04-Feb-09 0.099724681 1.324063693
05-Feb-09 -1.098098097 4.080999816
06-Feb-09 -1.714655999 1.360838912
09-Feb-09 0.68408227 1.927188295
10-Feb-09 2.206647918 1.431861352
11-Feb-09 -1.751710184 2.908787946
12-Feb-09 1.656397812 2.851444828
13-Feb-09 -2.328490897 2.544408025
16-Feb-09 0.883397971 2.114957664
17-Feb-09 2.835409091 0.420505528
18-Feb-09 0.664624123 2.000253048
19-Feb-09 0.795131917 2.045781673
20-Feb-09 0.407794902 2.213205729
25-Feb-09 -0.605985947 1.761959293
26-Feb-09 -0.57146641 15.95704868
27-Feb-09 1.307428687 1.078583361
02-Mar-09 2.511561709 2.100746576
03-Mar-09 -1.241690158 2.976018177
04-Mar-09 -2.005833828 2.53519926
05-Mar-09 1.003767274 1.669571252
06-Mar-09 -0.733986728 2.94231352
09-Mar-09 0.449420081 2.418813363
10-Mar-09 -2.237571105 1.444436926
11-Mar-09 0.29099644 1.108398503
12-Mar-09 -1.91985879 0.945832651
13-Mar-09 0.412963268 1.309161738
16-Mar-09 -0.915158695 1.41050858
17-Mar-09 -0.074452015 2.223559703
18-Mar-09 -1.456336419 0.783295028
19-Mar-09 0.306265358 2.599216014
20-Mar-09 0.600920861 2.367254608
23-Mar-09 -1.111885472 1.075024953
24-Mar-09 0.191362066 1.702283445
25-Mar-09 -0.508135704 0.944766224
26-Mar-09 0.490350022 1.397093033
27-Mar-09 1.863531097 1.544092219
30-Mar-09 1.726530847 1.940811503
31-Mar-09 -0.352400554 2.099328709
01-Apr-09 -2.13209138 1.800637715
02-Apr-09 -1.891288338 1.317965107
03-Apr-09 -0.968279762 2.050233381
06-Apr-09 0.58659134 1.327849068
07-Apr-09 -0.319942593 0.851663196
08-Apr-09 -0.561239818 1.176631696
09-Apr-09 -1.47229581 0.910995568
13-Apr-09 0.092081038 0.667451881
14-Apr-09 1.625012936 0.716143084
15-Apr-09 -1.142973669 0.931739827
16-Apr-09 -0.431430814 0.964987248
17-Apr-09 0.965837275 1.095237611
20-Apr-09 2.363431262 0.963487902
22-Apr-09 -1.664349927 1.675020317
23-Apr-09 -0.235507355 1.064367068
24-Apr-09 -0.984241974 1.139316005
27-Apr-09 1.80610255 2.216761089
28-Apr-09 -1.030657347 1.832345521
29-Apr-09 -0.96795569 2.512465818
30-Apr-09 0.494280183 1.131696016
04-May-09 -3.54076852 1.459229831
05-May-09 1.030524613 2.685220578
06-May-09 -1.054177017 3.974039231
07-May-09 -0.11360948 1.251728588
08-May-09 -2.420961458 1.491902609
11-May-09 0.339098324 1.829493959
12-May-09 0.130488383 0.732377794
13-May-09 2.079176344 1.577307033
14-May-09 -1.323765819 1.720931796
15-May-09 1.385241715 1.397834124
18-May-09 -2.135822606 2.047973102
19-May-09 -1.469255328 0.97777431
20-May-09 -0.33874207 2.469151582
21-May-09 -0.118092815 1.274762495
22-May-09 -0.206998595 1.463674103
25-May-09 0.02466517 1.428561532
26-May-09 -1.026260216 0.54420821
27-May-09 1.670329405 1.518735247
28-May-09 -1.87984759 1.493216944
29-May-09 -1.626133952 2.482699446
01-Jun-09 -0.938303671 9.166328144
02-Jun-09 -1.481355639 2.271825597
03-Jun-09 2.145199164 0.976171673
04-Jun-09 -1.383715 1.927168351
05-Jun-09 1.21561777 1.557842179
08-Jun-09 0.091724426 3.445882716
09-Jun-09 -0.987902488 1.610700351
10-Jun-09 0.174744352 1.173124693
12-Jun-09 -1.104983619 1.441942612
15-Jun-09 1.248661804 1.686982134
16-Jun-09 1.18766847 0.808459179
17-Jun-09 -0.147055121 1.174125346
18-Jun-09 0.071019127 5.816623774
19-Jun-09 0.167202937 1.605362958
22-Jun-09 2.864467303 1.58821996
23-Jun-09 -2.65711901 1.637358069
24-Jun-09 -0.430347726 1.600274867
25-Jun-09 -1.446300923 1.703917868
26-Jun-09 -0.324834646 1.148972358
29-Jun-09 1.048044527 2.811548278
30-Jun-09 -0.250735708 0.987099693
01-Jul-09 -0.993752225 1.49375028
02-Jul-09 1.193368414 1.135993713
03-Jul-09 -0.117674159 0.901814644
06-Jul-09 -0.04608413 0.446046285
07-Jul-09 2.278579593 0.940350821
08-Jul-09 0.284950327 1.527387025
10-Jul-09 -0.370092946 3.020884979
13-Jul-09 -0.885763214 2.786941461
14-Jul-09 -0.898779757 0.903490485
15-Jul-09 -1.412634252 0.967392433
16-Jul-09 -0.062098946 1.037556556
17-Jul-09 -0.295497766 0.856516969
20-Jul-09 -1.364334694 0.805632622
21-Jul-09 -0.121125959 1.290197508
22-Jul-09 0.320926226 0.67237049
23-Jul-09 -0.24717991 0.523678377
24-Jul-09 -0.17391767 0.708218324
27-Jul-09 -1.183257379 0.672625611
28-Jul-09 0.394204644 0.552118148
29-Jul-09 0.667658267 0.476395268
30-Jul-09 -0.556071868 1.11963809
31-Jul-09 -0.955157871 0.472734345
03-Aug-09 -2.173468393 0.644333765
04-Aug-09 -0.477852226 1.031172103
05-Aug-09 -0.148764456 1.062404595
06-Aug-09 1.542953409 0.888224845
07-Aug-09 -1.174203164 1.108138044
10-Aug-09 1.114461139 1.431021864
11-Aug-09 0.449901835 0.870816612
12-Aug-09 -0.553176746 0.807332009
13-Aug-09 -0.824578051 0.963665745
14-Aug-09 1.345299557 1.3113212
17-Aug-09 1.732364795 1.260609385
18-Aug-09 -1.954424626 4.045874101
19-Aug-09 -0.15193448 1.364458487
20-Aug-09 0.146512222 1.340515447
21-Aug-09 -0.778425857 0.965885685
24-Aug-09 0.60475817 0.762751637
25-Aug-09 1.112743076 0.339127542
26-Aug-09 0.021484585 0.471330122
27-Aug-09 0.257455624 0.642322689
28-Aug-09 0.7684136 1.200640156
31-Aug-09 -0.042535092 0.844051983
01-Sep-09 1.755402077 1.625685193
02-Sep-09 -1.436829013 1.828916417
03-Sep-09 -1.393248576 1.878714224
04-Sep-09 -0.869218592 1.068848521
08-Sep-09 -0.79482154 0.92772783
09-Sep-09 0.229295291 1.080152582
10-Sep-09 -1.278726641 0.577361282
11-Sep-09 1.104073174 0.726602705
14-Sep-09 -0.993667422 0.96930801
15-Sep-09 -0.486699705 0.658699951
16-Sep-09 -0.055456967 0.540058871
17-Sep-09 0.155202071 0.540100869
18-Sep-09 0.149431359 0.877147238
21-Sep-09 0.908371464 0.291050502
22-Sep-09 -1.758116934 0.437379546
23-Sep-09 0.284051543 0.630971416
24-Sep-09 0.122283379 0.68255509
25-Sep-09 -0.562628563 1.023445316
28-Sep-09 -0.162133488 1.029832718
29-Sep-09 0.055937799 0.473420634
30-Sep-09 -1.192633398 0.384963688
01-Oct-09 1.103117895 1.532046002
02-Oct-09 -0.257804324 0.782554512
05-Oct-09 -1.253616282 1.270088585
06-Oct-09 -0.011365574 0.693025865
07-Oct-09 -0.632823297 0.764666337
08-Oct-09 -0.694427308 1.293342993
09-Oct-09 0.264565634 0.646776995
13-Oct-09 -1.12055698 0.487454555
14-Oct-09 -1.209656825 0.765324655
15-Oct-09 0.005879068 0.541703318
16-Oct-09 0.52770571 0.57551492
19-Oct-09 0.449281615 1.617788353
20-Oct-09 2.131171547 0.802515096
21-Oct-09 -1.157871471 2.95208147
22-Oct-09 -0.926737012 1.22172039
23-Oct-09 -0.06985273 0.714914208
26-Oct-09 0.898530726 0.511178415
27-Oct-09 0.690133864 0.822587868
28-Oct-09 1.958009263 1.187864059
29-Oct-09 -2.648143127 2.100076506
30-Oct-09 1.625679763 3.007455352
03-Nov-09 -0.947009188 2.106877969
04-Nov-09 -1.379411824 1.755919356
05-Nov-09 -0.244385086 0.81669933
06-Nov-09 0.215322922 0.510061259
09-Nov-09 -1.245958033 0.781872117
10-Nov-09 0.750604591 1.029600429
11-Nov-09 0.37902025 0.6957342
12-Nov-09 1.024877967 0.757758841
13-Nov-09 -0.774928699 0.979536585
16-Nov-09 -0.599763058 0.944411076
17-Nov-09 -0.029206461 0.411111682
18-Nov-09 0.802983484 0.726227965
19-Nov-09 0.075312114 0.795870844
23-Nov-09 -0.017374685 0.93797048
24-Nov-09 0.277633355 1.333491215
25-Nov-09 -0.532809507 0.468641114
26-Nov-09 1.42983122 0.627062621
27-Nov-09 -0.349801085 1.092791322
30-Nov-09 0.852286011 1.657184218
01-Dec-09 -2.013645302 0.493588498
02-Dec-09 -0.122117888 0.758074764
03-Dec-09 -0.484121217 0.516197976
04-Dec-09 1.231929114 0.580948387
07-Dec-09 0.121208638 1.282327935
08-Dec-09 1.624935627 0.637335388
09-Dec-09 0.011350094 0.941754206
10-Dec-09 -0.312597941 1.556356335
11-Dec-09 0.102412389 1.098777195
14-Dec-09 -0.684738767 0.960082995
15-Dec-09 0.314420725 0.753568582
16-Dec-09 0.245133093 1.154156945
17-Dec-09 1.441476586 0.42532121
18-Dec-09 -0.089837176 1.457599647
21-Dec-09 0.246858294 1.095252679
22-Dec-09 -0.207544598 0.592098336
23-Dec-09 -1.180504545 0.364770702
28-Dec-09 -1.039474777 0.738622324
29-Dec-09 -0.06317301 0.69741869
30-Dec-09 0.051689976 1.09377442
04-Jan-10 -1.247994011 1.247999874
05-Jan-10 0.614387837 0.802708398
06-Jan-10 0.0231107 0.607645845
07-Jan-10 0.891450907 0.639108673
08-Jan-10 -1.157546974 1.132716984
11-Jan-10 0.62938684 0.789364381
12-Jan-10 0.636890009 0.764722785
13-Jan-10 0.484980838 1.426324153
14-Jan-10 0.187654657 1.126467639
15-Jan-10 0.685069912 1.732173519
18-Jan-10 -0.452412693 2.048328824
19-Jan-10 0.328203101 1.509680499
20-Jan-10 1.050896181 1.452878717
21-Jan-10 0.790694024 1.096286432
22-Jan-10 1.196364574 1.18680499
26-Jan-10 0.579236592 2.101541733
27-Jan-10 1.229268451 0.860440748
28-Jan-10 0.750673766 1.390705619
29-Jan-10 1.221146048 0.982245078
01-Feb-10 -2.506075422 1.152370265
02-Feb-10 -1.000606532 1.213644396
03-Feb-10 1.23840592 0.927419976
04-Feb-10 1.308540149 1.071246707
05-Feb-10 0.12778874 2.36511966
08-Feb-10 -0.202407654 2.24620156
09-Feb-10 -1.515017696 1.191309401
10-Feb-10 0.48062736 1.165899057
11-Feb-10 -0.697394366 0.891801955
12-Feb-10 0.600375008 0.828340472
17-Feb-10 -1.30266714 1.184240026
18-Feb-10 -1.187088022 4.007677867
19-Feb-10 -0.337810096 0.574771192
22-Feb-10 0.475927849 1.025553243
23-Feb-10 0.857572184 0.462704632
24-Feb-10 -0.125975643 0.457520088
25-Feb-10 -0.043854841 0.296652631
26-Feb-10 -0.892223796 0.546707282
01-Mar-10 -0.54363034 0.661810095
02-Mar-10 -0.278505165 0.403052437
03-Mar-10 -0.072538574 0.493735899
04-Mar-10 -0.173189239 0.560858074
05-Mar-10 -0.571974867 0.629101289
08-Mar-10 0.577566301 0.554172487
09-Mar-10 -0.718256833 0.551835227
10-Mar-10 -0.389336082 0.579443518
11-Mar-10 -0.277408393 0.413792758
12-Mar-10 -0.085075013 0.399010368
15-Mar-10 0.113417274 0.462068453
16-Mar-10 0.169885085 0.251406437
17-Mar-10 -0.022634676 0.542578394
18-Mar-10 1.388169649 0.302935595
19-Mar-10 0.556577382 0.671347879
22-Mar-10 -0.66826556 0.586408135
23-Mar-10 -0.762805875 0.72897494
24-Mar-10 1.403316015 0.304972318
25-Mar-10 0.988876384 0.706105255
26-Mar-10 -0.005497375 0.732003584
29-Mar-10 -1.356046793 0.818797823
30-Mar-10 -0.256667924 0.505916201
31-Mar-10 -0.481631755 0.576220578
01-Apr-10 -0.941939901 0.44191496
05-Apr-10 -0.158802211 0.278555727
06-Apr-10 -0.495036432 0.427802546
07-Apr-10 1.595778544 0.385821721
08-Apr-10 -0.022458032 0.529649775
09-Apr-10 -0.953489692 0.618875071
12-Apr-10 -0.614126802 0.570365918
13-Apr-10 -0.211265674 0.21247632
14-Apr-10 -0.228898526 0.354227677
15-Apr-10 0.188879088 0.559395373
16-Apr-10 0.536071999 0.911305303
19-Apr-10 -0.239166448 0.827851735
20-Apr-10 -0.17689525 0.457419729
22-Apr-10 0.734063102 0.352171358
23-Apr-10 -0.414737975 0.354604207
26-Apr-10 -0.570940746 0.400548921
27-Apr-10 1.409995501 0.38734135
28-Apr-10 -1.295546276 0.831867315
29-Apr-10 -1.196723332 0.780956518
30-Apr-10 0.674918197 1.290317027
03-May-10 -0.715442701 0.715278956
04-May-10 2.165157035 0.392088176
05-May-10 1.702336118 1.046981118
06-May-10 3.287787227 1.404448686
07-May-10 -0.926057903 6.941222117
10-May-10 -3.713366513 5.546746176
11-May-10 1.089469977 12.12253461
12-May-10 -0.914580649 1.064063723
13-May-10 0.084514189 0.531297619
14-May-10 1.32593064 0.446387304
17-May-10 0.072224232 1.805674234
18-May-10 1.17599699 2.129676479
19-May-10 0.323314527 1.687094286
20-May-10 3.007178153 3.975147206
21-May-10 -1.616304922 8.243621378
24-May-10 0.913052157 3.733809295
25-May-10 -1.361883517 1.638283099
26-May-10 1.431363224 7.555799056
27-May-10 -3.059636549 2.500878899
28-May-10 0.099108036 4.164283019
31-May-10 0.208906068 1.609531702
01-Jun-10 1.46648579 6.570456974
02-Jun-10 -1.647879271 1.560035042
04-Jun-10 2.595855777 1.333501226
07-Jun-10 0.768988089 1.433291831
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21-Jun-10 -0.050800103 0.385714602
22-Jun-10 0.944039378 1.774433773
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19-Dec-13 1.083582122 0.895129821
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30-Dec-13 0.91103227 0.334213867
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03-Jan-14 -0.474362286 1.635646041
06-Jan-14 0.138763347 0.499043485
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08-Jan-14 1.023241336 0.508659244
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27-Jan-14 1.045609294 1.188820071
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31-Jan-14 0.141014498 0.63028821
03-Feb-14 1.133308374 1.370424118
04-Feb-14 -1.436320041 0.614081478
05-Feb-14 -0.128954447 0.577457821
06-Feb-14 -0.856974916 0.689109918
07-Feb-14 -0.11341918 0.785145493
10-Feb-14 1.282095614 1.497901027
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12-Feb-14 1.060842039 0.619485525
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17-Feb-14 0.025113009 0.491364979
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26-Feb-14 0.375170972 0.415327421
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28-Feb-14 1.076455125 0.451661204
05-Mar-14 -1.093703939 1.351142223
06-Mar-14 0.219699832 0.294833804
07-Mar-14 0.7288662 0.580352436
10-Mar-14 0.409260067 0.478243189
11-Mar-14 0.560011646 0.643054457
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13-Mar-14 0.360208039 0.516958019
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17-Mar-14 0.097961973 0.774529579
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26-Mar-14 -0.364093853 0.616944254
27-Mar-14 -1.929122914 1.398581868
28-Mar-14 0.101767669 1.105637528
31-Mar-14 0.472083999 0.788347437
01-Apr-14 -0.441131775 1.653068368
02-Apr-14 0.30899645 0.570528459
03-Apr-14 0.470485643 0.425845439
04-Apr-14 -1.940088312 0.378341338
07-Apr-14 -0.758752826 1.167083004
08-Apr-14 -0.782720883 0.494014377
09-Apr-14 -0.665362706 0.878199992
10-Apr-14 0.901276072 1.171718078
11-Apr-14 0.537793636 0.801721769
14-Apr-14 -0.207543839 0.69926936
15-Apr-14 0.836561504 0.433586379
16-Apr-14 0.478095681 0.47641465
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22-Apr-14 0.044698731 0.414113973
23-Apr-14 -0.708586694 0.357613905
24-Apr-14 -0.356185142 0.382360551
25-Apr-14 1.328088437 0.641028134
28-Apr-14 -0.899918768 0.988111483
29-Apr-14 0.565074604 0.541201624
30-Apr-14 -0.170083292 0.71304312
02-May-14 -0.489481634 0.574358493
05-May-14 1.02114825 1.043883165
06-May-14 -0.661661928 0.448987054
07-May-14 -0.571288749 0.3617477
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09-May-14 -0.099372157 0.45056602
12-May-14 0.072280451 0.308086409
13-May-14 0.022576931 0.229027329
14-May-14 -0.570498695 0.294945401
15-May-14 0.782473067 0.304378637
16-May-14 -0.21648935 0.352334262
19-May-14 -0.357329009 0.224306605
20-May-14 0.411495301 0.178402385
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22-May-14 0.388841653 0.3574491
23-May-14 0.328880976 0.492487491
26-May-14 0.053959262 0.384663385
27-May-14 0.591638138 0.204971401
28-May-14 -0.255050813 0.249387652
29-May-14 -0.350074412 0.222551555
30-May-14 0.774798421 0.439127168
02-Jun-14 1.558174148 0.436685702
03-Jun-14 0.171154015 0.598685238
04-Jun-14 -0.043857726 0.759313866
05-Jun-14 -0.77064036 0.478535997
06-Jun-14 -0.656408974 0.502864323
09-Jun-14 -0.804186079 0.770392956
10-Jun-14 -0.197566406 0.368265169
11-Jun-14 0.394743257 0.290169209
12-Jun-14 -0.111984603 0.290076315
13-Jun-14 -0.309729795 0.257504421
16-Jun-14 0.479896869 0.18610443
17-Jun-14 1.196393999 0.191899105
18-Jun-14 -1.528039532 0.2620141
20-Jun-14 0.107681274 0.433366389
23-Jun-14 -0.485481489 0.239193025
24-Jun-14 0.261014504 0.319679826
25-Jun-14 -0.776037102 0.156658233
26-Jun-14 -0.499478857 0.87432334
27-Jun-14 -0.136655604 0.297210335
30-Jun-14 0.930112647 0.5529108
01-Jul-14 -0.561570245 0.450764154
02-Jul-14 0.980688009 0.387990427
03-Jul-14 -0.58635322 0.408720613
04-Jul-14 0.144652407 0.885117085
07-Jul-14 0.500147482 0.15516695
08-Jul-14 -0.51369976 0.351211083
10-Jul-14 0.320245645 0.296253109
11-Jul-14 0.018011527 0.308200044
14-Jul-14 -0.397004943 0.152459563
15-Jul-14 0.311421279 0.152773724
16-Jul-14 0.198082269 0.239673848
17-Jul-14 1.54855048 0.199914845
18-Jul-14 -1.427193969 0.598991893
21-Jul-14 -0.229352741 0.63943547
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23-Jul-14 0.297820716 0.313684389
24-Jul-14 0.103577952 0.196945868
25-Jul-14 0.363922675 0.260992012
28-Jul-14 -0.332420233 0.316793865
29-Jul-14 0.399668224 0.16508886
30-Jul-14 0.643290134 0.104709617
31-Jul-14 0.793918968 0.464755111
01-Aug-14 -0.260987032 0.57554583
04-Aug-14 0.0310002 1.21178994
05-Aug-14 1.030800722 0.256273311
06-Aug-14 -0.386406031 0.574290319
07-Aug-14 0.971944081 0.550596795
08-Aug-14 -0.519822073 0.471680773
11-Aug-14 -0.342195648 0.785033156
12-Aug-14 0.065897861 0.59820073
13-Aug-14 0.201816416 0.237594149
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18-Aug-14 -0.119535155 0.6020043
19-Aug-14 -0.466222011 0.257695441
20-Aug-14 0.669788926 0.231567379
21-Aug-14 0.295760253 0.298881023
22-Aug-14 0.387136993 0.178107898
25-Aug-14 0.481823096 0.37856633
26-Aug-14 -1.177983821 0.16350049
27-Aug-14 -0.647624691 0.223676135
28-Aug-14 -0.227217135 0.573639483
29-Aug-14 -0.272449308 0.483695585
01-Sep-14 0.446250015 0.382515737
02-Sep-14 -0.102461308 0.211977398
03-Sep-14 -0.299073987 0.285440488
04-Sep-14 0.267869261 0.26145791
05-Sep-14 -0.049055679 0.413634971
08-Sep-14 1.13987884 0.510362609
09-Sep-14 0.755682169 0.381581203
10-Sep-14 0.166185641 0.680163035
11-Sep-14 0.401204149 0.554183929
12-Sep-14 1.7814865 0.389889261
15-Sep-14 0.166599069 1.177111868
16-Sep-14 -0.479186302 0.478157226
17-Sep-14 1.117377712 0.481957856
18-Sep-14 0.296434536 1.350931746
19-Sep-14 0.139443516 0.759673959
22-Sep-14 1.24631814 0.57512056
23-Sep-14 0.586292455 1.328566074
24-Sep-14 -1.197019694 0.788282203
25-Sep-14 1.849941556 0.876197099
26-Sep-14 -0.317663585 0.892118866
29-Sep-14 1.133994649 0.824429342
30-Sep-14 -0.032689086 4.32380163
01-Oct-14 1.388009297 0.662130163
02-Oct-14 0.554663801 0.874111195
03-Oct-14 -1.473791641 0.787391159
06-Oct-14 -1.318448448 1.526016039
07-Oct-14 -1.227518109 5.229788914
08-Oct-14 -0.80436127 1.072543514
09-Oct-14 0.88360884 2.347087316
10-Oct-14 1.267727642 1.55192701
13-Oct-14 -1.442990581 1.012214047
14-Oct-14 0.250281697 1.105400203
15-Oct-14 2.359153443 0.590840347
16-Oct-14 0.612540706 2.375913577
17-Oct-14 -1.519965694 3.884472545
20-Oct-14 1.179677742 1.031965454
21-Oct-14 0.768052931 0.762204648
22-Oct-14 0.152905229 2.528040169
23-Oct-14 0.517335877 0.725263768
24-Oct-14 -1.049487909 0.862464344
27-Oct-14 1.889946144 2.395868288
28-Oct-14 -2.412754281 8.554093268
29-Oct-14 0.036563814 0.768370663
30-Oct-14 -2.438192525 1.635221425
31-Oct-14 3.081958539 2.381937176
03-Nov-14 0.703789276 1.623747427
04-Nov-14 0.01202188 1.634809502
05-Nov-14 0.487669352 1.203728281
06-Nov-14 2.446111287 0.977240925
07-Nov-14 -0.436767063 1.220448749
10-Nov-14 -0.254358469 1.179624693
11-Nov-14 0.16051682 0.631429647
12-Nov-14 0.46443639 0.361596244
13-Nov-14 0.798918347 0.602744636
14-Nov-14 0.493219249 0.910449827
17-Nov-14 0.280203619 1.433308083
18-Nov-14 -1.005459479 0.886876227
19-Nov-14 -0.44235841 0.561222311
21-Nov-14 -2.185965325 0.704141478
24-Nov-14 1.197193224 1.175436118
25-Nov-14 -0.630394901 1.057735144
26-Nov-14 -1.13682757 0.748620158
27-Nov-14 1.176343891 0.732163353
28-Nov-14 1.346042103 0.642213425
01-Dec-14 -0.183375327 0.736951136
02-Dec-14 0.335282965 0.913491879
03-Dec-14 -0.628601387 0.696645097
04-Dec-14 1.461923393 0.683792281
05-Dec-14 -0.088815097 0.772383417
08-Dec-14 0.458672199 1.205701318
09-Dec-14 -0.169348051 0.489126625
10-Dec-14 0.790396625 0.905784265
11-Dec-14 1.3551423 0.505000033
12-Dec-14 0.067842608 0.533989473
15-Dec-14 1.558939215 0.790431433
16-Dec-14 1.578834893 0.743215062
17-Dec-14 -0.858091074 2.662166089
18-Dec-14 -1.952424377 2.181552601
19-Dec-14 -0.124006554 1.474232269
22-Dec-14 0.210344517 0.869894623
23-Dec-14 1.108240974 0.54801514
26-Dec-14 -0.954518806 0.687431673
29-Dec-14 1.339704467 0.572060769
30-Dec-14 -1.775238684 0.40233409
02-Jan-15 1.367785441 1.524534489
05-Jan-15 0.437021547 1.31229359
06-Jan-15 -0.192350433 0.719442792
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09-Jan-15 -1.117963073 0.767531782
12-Jan-15 1.537738061 1.591409581
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15-Jan-15 0.9736879 0.902624618
16-Jan-15 -0.748441083 1.516171242
19-Jan-15 1.084740971 0.746503819
20-Jan-15 -1.436194899 0.618985242
21-Jan-15 -0.464126953 0.887146189
22-Jan-15 -1.020180422 0.873103598
23-Jan-15 0.217273307 0.986310731
26-Jan-15 0.131685987 0.936847311
27-Jan-15 -0.391693507 0.737847312
28-Jan-15 0.120386026 0.648429721
29-Jan-15 1.073162201 0.638102976
30-Jan-15 2.969597666 0.805499694
02-Feb-15 1.64504754 2.720609084
03-Feb-15 -1.191346502 1.041698985
04-Feb-15 1.714285654 1.278608098
05-Feb-15 0.134861787 1.01240798
06-Feb-15 1.320736366 1.316291187
09-Feb-15 -0.392588161 1.935698927
10-Feb-15 2.191614291 0.52372709
11-Feb-15 1.245564583 1.092460143
12-Feb-15 -1.549655903 2.045209791
13-Feb-15 0.385261588 1.183272487
18-Feb-15 0.151576602 0.864180902
19-Feb-15 0.977942914 0.582020509
20-Feb-15 0.090649194 0.664830222
23-Feb-15 0.316626628 0.518338566
24-Feb-15 -1.741612133 0.677008448
25-Feb-15 1.411044823 1.152796903
26-Feb-15 1.274476125 1.978250329
27-Feb-15 -2.251665485 1.902440027
02-Mar-15 1.88967726 1.69505695
03-Mar-15 1.242507833 1.106089289
04-Mar-15 1.63078351 0.873628573
05-Mar-15 0.775560483 2.227421767
06-Mar-15 2.010946288 1.192258874
09-Mar-15 1.888068501 2.105727569
10-Mar-15 -0.678055846 1.525451037
11-Mar-15 0.806080444 2.68549738
12-Mar-15 1.258677859 1.812518054
13-Mar-15 2.578595486 2.805730454
16-Mar-15 -0.092387294 3.662852915
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18-Mar-15 -0.899175102 1.506019623
19-Mar-15 2.497592378 3.282594738
20-Mar-15 -1.87351211 1.859667184
23-Mar-15 -3.09622256 2.977154402
24-Mar-15 0.229599259 1.932268771
25-Mar-15 1.939970942 3.364258175
26-Mar-15 -0.560769628 2.515110428
27-Mar-15 2.070711968 2.31351228
30-Mar-15 -0.611150739 1.316075247
31-Mar-15 -1.03321493 2.74894284
01-Apr-15 -0.999756818 4.442317395
02-Apr-15 -1.335940223 2.28000791
06-Apr-15 0.102416396 1.507591735
07-Apr-15 0.11828835 1.432739042
08-Apr-15 -2.602425479 0.800693154
09-Apr-15 0.27181494 1.701692168
10-Apr-15 0.577197474 1.560262413
13-Apr-15 1.481460761 1.434093827
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16-Apr-15 -0.271110396 1.1999367
17-Apr-15 0.66982581 1.376579289
20-Apr-15 -0.273327686 1.476658231
22-Apr-15 -0.718153766 1.382617889
23-Apr-15 -1.34082089 0.732935107
24-Apr-15 -0.655186403 1.553051082
27-Apr-15 -1.169006036 0.782670511
28-Apr-15 0.693510116 1.051685187
29-Apr-15 0.813756906 1.660261716
30-Apr-15 1.780561784 2.272798394
04-May-15 2.36037839 2.378079555
05-May-15 -0.986544866 6.032666715
06-May-15 -0.705974135 1.251389989
07-May-15 -0.293705351 1.424625231
08-May-15 -1.706594315 1.002090386
11-May-15 2.902403571 1.800535706
12-May-15 -1.397612318 1.097524197
13-May-15 0.65355395 1.330180433
14-May-15 -1.501594417 1.582522481
15-May-15 0.090133704 1.023675656
18-May-15 0.28987942 1.370234083
19-May-15 1.075510475 0.655918444
20-May-15 -1.175374003 1.111335725
21-May-15 1.17866548 0.762132356
22-May-15 1.826415651 0.628552658
25-May-15 0.100137293 0.859642068
26-May-15 1.798218289 1.097618429
27-May-15 -0.438569317 0.73136278
28-May-15 0.733045726 0.750299894
29-May-15 0.501459696 1.110683092
01-Jun-15 -0.324557957 1.061975702
02-Jun-15 -1.145916963 1.880443647
03-Jun-15 0.041494439 0.775764188
05-Jun-15 0.280433581 0.808437396
08-Jun-15 -0.959270642 3.466698236
09-Jun-15 -0.496023177 0.923455366
10-Jun-15 0.678994097 0.506534011
11-Jun-15 -0.905275105 0.893225446
12-Jun-15 0.956575244 1.352275843
15-Jun-15 0.230525508 0.931646198
16-Jun-15 -1.222705796 0.816838253
17-Jun-15 -1.051185336 0.910306294
18-Jun-15 0.117708619 1.33354411
19-Jun-15 1.221190883 1.021521009
22-Jun-15 -0.566518729 0.759967223
23-Jun-15 -0.159202074 0.591226683
24-Jun-15 0.745087512 0.523500818
25-Jun-15 0.934811414 0.769115867
26-Jun-15 0.057537401 0.914280681
29-Jun-15 -0.371378688 0.880524394
30-Jun-15 -0.472616502 0.929692352
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