《金融学院实验报告》由会员分享，可在线阅读，更多相关《金融学院实验报告（4页珍藏版）》请在金锄头文库上搜索。
1、浙浙 江江 工工 商商 大大 学学金金 融融学学 院院 上上 机机 报报 告告课程名称：课程名称：计量经济学计量经济学 姓姓 名：名：陈彦成陈彦成 学学 号：号：0990610326 指导教师：张水泉指导教师：张水泉 班班 级：级：金融金融 09 丙丙 日日 期：期：2011.10.25 实验目标实验目标 计算计算 10 只股票型基金在只股票型基金在 30 日中能否跑的赢大盘！日中能否跑的赢大盘！实验内容实验内容 Dependent Variable: RMTMethod: Least SquaresDate: 10/25/11 Time: 13:01Sample: 1 30Included
2、observations: 30VariableCoefficientStd. Errort-StatisticProb. C0.0006240.0006270.9959760.3278NUM040005010.9810280.04636821.157390.0000R-squared0.941131 Mean dependent var-0.003123Adjusted R-squared0.939029 S.D. dependent var0.013335S.E. of regression0.003293 Akaike info criterion-8.529870Sum squared
3、 resid0.000304 Schwarz criterion-8.436457Log likelihood129.9481 F-statistic447.6353Durbin-Watson stat2.165239 Prob(F-statistic)0.000000Dependent Variable: CMethod: Least SquaresDate: 10/25/11 Time: 13:03Sample: 1 30Included observations: 30VariableCoefficientStd. Errort-StatisticProb. RMT70.6904747.
4、153271.4991640.1450NUM36000501-93.5292048.29465-1.9366370.0629Mean dependent var1.000000 S.D. dependent var0.000000S.E. of regression0.945581 Akaike info criterion2.790305Sum squared resid25.03543 Schwarz criterion2.883718Log likelihood-39.85457 Durbin-Watson stat0.318441Dependent Variable: CMethod:
5、 Least SquaresDate: 10/25/11 Time: 13:05Sample: 1 30Included observations: 30VariableCoefficientStd. Errort-StatisticProb. NUM51900801-111.304844.89233-2.4793720.0194RMT80.6686441.358291.9504830.0612Mean dependent var1.000000 S.D. dependent var0.000000S.E. of regression0.911793 Akaike info criterion
6、2.717532Sum squared resid23.27825 Schwarz criterion2.810945Log likelihood-38.76298 Durbin-Watson stat0.386952Dependent Variable: CMethod: Least SquaresDate: 10/25/11 Time: 13:05Sample: 1 30Included observations: 30VariableCoefficientStd. Errort-StatisticProb. NUM63000201-82.2469434.19907-2.4049460.0
7、230RMT55.5794032.708861.6992150.1004Mean dependent var1.000000 S.D. dependent var0.000000S.E. of regression0.916685 Akaike info criterion2.728235Sum squared resid23.52872 Schwarz criterion2.821648Log likelihood-38.92352 Durbin-Watson stat0.452811Dependent Variable: CMethod: Least SquaresDate: 10/25/
8、11 Time: 13:06Sample: 1 30Included observations: 30VariableCoefficientStd. Errort-StatisticProb. RMT44.2017836.684341.2049220.2383SER01-73.2268340.94886-1.7882510.0846Mean dependent var1.000000 S.D. dependent var0.000000S.E. of regression0.953920 Akaike info criterion2.807867Sum squared resid25.4789
9、7 Schwarz criterion2.901280Log likelihood-40.11800 Durbin-Watson stat0.230861Dependent Variable: CMethod: Least SquaresDate: 10/25/11 Time: 13:06Sample: 1 30Included observations: 30VariableCoefficientStd. Errort-StatisticProb. RMT71.4022547.521001.5025410.1442SER02-102.130752.75261-1.9360310.0630Me
10、an dependent var1.000000 S.D. dependent var0.000000S.E. of regression0.945615 Akaike info criterion2.790379Sum squared resid25.03728 Schwarz criterion2.883792Log likelihood-39.85568 Durbin-Watson stat0.284311Dependent Variable: CMethod: Least SquaresDate: 10/25/11 Time: 13:07Sample: 1 30Included obs
11、ervations: 30VariableCoefficientStd. Errort-StatisticProb. RMT125.994848.858292.5787800.0155SER03-147.895648.95857-3.0208320.0053Mean dependent var1.000000 S.D. dependent var0.000000S.E. of regression0.874457 Akaike info criterion2.633913Sum squared resid21.41090 Schwarz criterion2.727326Log likelih
12、ood-37.50870 Durbin-Watson stat0.578449Dependent Variable: CMethod: Least SquaresDate: 10/25/11 Time: 13:07Sample: 1 30Included observations: 30VariableCoefficientStd. Errort-StatisticProb. RMT38.1332530.448741.2523750.2208SER04-61.6990630.83076-2.0012170.0551Mean dependent var1.000000 S.D. dependen
13、t var0.000000S.E. of regression0.941816 Akaike info criterion2.782327Sum squared resid24.83650 Schwarz criterion2.875740Log likelihood-39.73491 Durbin-Watson stat0.331278Dependent Variable: CMethod: Least SquaresDate: 10/25/11 Time: 13:08Sample: 1 30Included observations: 30VariableCoefficientStd. E
14、rrort-StatisticProb. RMT50.8285356.001490.9076280.3718SER05-76.3810261.09039-1.2502950.2215Mean dependent var1.000000 S.D. dependent var0.000000S.E. of regression0.979937 Akaike info criterion2.861684Sum squared resid26.88775 Schwarz criterion2.955097Log likelihood-40.92526 Durbin-Watson stat0.184380实验总结实验总结 在这 10 只股票中，共有 1 只基金跑赢了大盘，还有 9 只股票型基金无法跑赢大盘。
