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## AUTOREGRESSIVE MEAN REVERSION PARAMETER FOR VOLATILITY ACROSS RANDOM SHOCK TIMES

Mean reversion in volatility is standard – Heston and Ornstein-Uhlenbeck continuous-time models use it.  What is surprising to me at least is that the autoregression of volatility defined by $v(t) = \log(r_t^2)$ is negative and uniformly near -0.33 over many stocks even when the periodicity changes from daily to a random time determined by the size of the shock.  I found yesterday that Mittag-Leffler distributions fit the waiting times of the volatility shocks for thresholds $\delta = 0.3 and 0.75$.  Here are the results for threshold $\delta = 0.3$ so that the jumps are recorded at random times.  Across around 200 the stocks AR(1) coefficient is  -0.28  +/- 0.12.  So there is a regularity here in the ‘mean-reversion’ of volatility shocks that is steady across stocks.

stock= LRN theta= [ 1.20246264 1.00003646] R2-proxy= 0.987475143554
jmean= 0.0185223610939 jstd= 1.65418366644 jkurt= 5.74241928755
print ARMA(2,0) params = [-0.00351226 -0.36628608 -0.03096933]
conf interval = [[-0.10403357 0.09700906]
[-0.4632981 -0.26927406]
[-0.12788499 0.06594633]]
Durbin-Watson = 2.00112002654
stock= PRE theta= [ 0.99997046 0.96488707] R2-proxy= 0.988451564671
jmean= -0.00229816075665 jstd= 1.55000172818 jkurt= 5.42559150232
print ARMA(2,0) params = [ -3.25711221e-05 -3.63859372e-01 -8.90723976e-02]
conf interval = [[-0.08162951 0.08156436]
[-0.45405759 -0.27366115]
[-0.17918365 0.00103886]]
Durbin-Watson = 2.02599600399
stock= IRBT theta= [ 1.77030161 0.92684924] R2-proxy= 0.980158042519
jmean= 0.00028713169683 jstd= 1.39301605283 jkurt= 10.7169812613
print ARMA(2,0) params = [-0.01185945 -0.34975526 -0.11590593]
conf interval = [[-0.09383654 0.07011763]
[-0.42051524 -0.27899529]
[-0.18661911 -0.04519276]]
Durbin-Watson = 2.03514823123
stock= G theta= [ 8.76977641 0.99531113] R2-proxy= 0.80802631365
jmean= -0.0118041070401 jstd= 1.78634369215 jkurt= 6.26545017121
print ARMA(2,0) params = [-0.00342239 -0.3423205 -0.17570961]
conf interval = [[-0.06879237 0.06194759]
[-0.401345 -0.283296 ]
[-0.23472944 -0.11668979]]
Durbin-Watson = 2.05905234929
stock= ICUI theta= [ 0.99989025 1.04796995] R2-proxy= 0.949963160981
jmean= -0.00367470399752 jstd= 1.75627989426 jkurt= 6.56193574453
print ARMA(2,0) params = [-0.01771119 -0.28034229 -0.05296284]
conf interval = [[-0.08503961 0.04961723]
[-0.35573741 -0.20494718]
[-0.12836517 0.0224395 ]]
Durbin-Watson = 2.0118372538
stock= IGT theta= [ 0.96119322 1.0000347 ] R2-proxy= 0.990008167416
jmean= -0.0173687437831 jstd= 1.23485554816 jkurt= 6.23385864357
print ARMA(2,0) params = [ 0.0157972 -0.34195263 -0.138585 ]
conf interval = [[-0.08334757 0.11494197]
[-0.43207755 -0.25182772]
[-0.22860285 -0.04856716]]
Durbin-Watson = 2.02176667691
stock= SIAL theta= [ 0.99981674 0.95384945] R2-proxy= 0.980918743599
jmean= 0.0156045881951 jstd= 1.70481965998 jkurt= 4.04765170771
print ARMA(2,0) params = [ 0.00382594 -0.26261862 -0.12501841]
conf interval = [[-0.11035689 0.11800877]
[-0.37771401 -0.14752323]
[-0.23995584 -0.01008097]]
Durbin-Watson = 2.02664601584
stock= KND theta= [ 0.99999662 0.9220886 ] R2-proxy= 0.979945226034
jmean= 0.00648018396722 jstd= 1.42216139012 jkurt= 11.6641411197
print ARMA(2,0) params = [-0.03704415 -0.32397765 -0.04631486]
conf interval = [[-0.13797104 0.06388275]
[-0.42605389 -0.2219014 ]
[-0.14826462 0.0556349 ]]
Durbin-Watson = 2.00483966459
stock= ASH theta= [ 0.99994662 0.87973478] R2-proxy= 0.980541980569
jmean= -0.0364588779496 jstd= 1.42234854881 jkurt= 5.87170277313
print ARMA(2,0) params = [-0.02240796 -0.29030896 -0.19094819]
conf interval = [[-0.08922625 0.04441032]
[-0.36384119 -0.21677673]
[-0.26441678 -0.11747961]]
Durbin-Watson = 2.02436402426
stock= ABMD theta= [ 2.08194817 0.86259567] R2-proxy= 0.937997148726
jmean= -0.021937130767 jstd= 1.38658770457 jkurt= 8.9287501119
print ARMA(2,0) params = [ 0.0035015 -0.19098019 -0.04769528]
conf interval = [[-0.06866034 0.07566334]
[-0.27655346 -0.10540691]
[-0.13323018 0.03783961]]
Durbin-Watson = 2.00764408027
stock= WSM theta= [ 0.99993103 1.01704946] R2-proxy= 0.986463763841
jmean= 0.00290747708896 jstd= 1.06249134083 jkurt= 3.79883510821
print ARMA(2,0) params = [-0.01449771 -0.38349568 0.01726342]
conf interval = [[-0.13823799 0.10924258]
[-0.49423554 -0.27275582]
[-0.09335268 0.12787953]]
Durbin-Watson = 1.99842079872
stock= RTEC theta= [ 0.99983107 0.94545966] R2-proxy= 0.989231602625
jmean= -0.014470737957 jstd= 1.65461262355 jkurt= 6.41405921664
print ARMA(2,0) params = [-0.01527587 -0.3941579 -0.29643108]
conf interval = [[-0.09335087 0.06279913]
[-0.46599709 -0.32231871]
[-0.36819509 -0.22466708]]
Durbin-Watson = 2.05732492123
stock= LXU theta= [ 1.3137373 1.0000371] R2-proxy= 0.962681273041
jmean= -0.014725815612 jstd= 1.92627689272 jkurt= 3.54962104101
print ARMA(2,0) params = [-0.00186318 -0.35342953 -0.21642063]
conf interval = [[-0.06920959 0.06548323]
[-0.41334628 -0.29351279]
[-0.27666404 -0.15617722]]
Durbin-Watson = 2.03951253026
stock= ELNK theta= [ 0.92664011 0.99775316] R2-proxy= 0.987561986849
jmean= -0.00179173840896 jstd= 1.84328574568 jkurt= 5.3343554697
print ARMA(2,0) params = [ 0.00493811 -0.20565692 -0.32278105]
conf interval = [[-0.12928842 0.13916464]
[-0.35671205 -0.05460178]
[-0.47296372 -0.17259837]]
Durbin-Watson = 2.00516922152
stock= CVO theta= [ 0.83942731 0.99706712] R2-proxy= 0.97497608392
jmean= 0.00751958645976 jstd= 1.3680453045 jkurt= 6.78891938535
print ARMA(2,0) params = [-0.010442 -0.20154967 -0.1744372 ]
conf interval = [[-0.1257069 0.10482291]
[-0.33581978 -0.06727956]
[-0.30831581 -0.04055859]]
Durbin-Watson = 2.05642648799
stock= GOV theta= [ 0.92905819 0.85053358] R2-proxy= 0.954985700361
jmean= -0.0104551284155 jstd= 1.19536455549 jkurt= 3.9528707986
print ARMA(2,0) params = [ 0.01486761 -0.29893613 -0.17970504]
conf interval = [[-0.09000728 0.1197425 ]
[-0.41478973 -0.18308254]
[-0.29530807 -0.064102 ]]
Durbin-Watson = 2.04073598538
stock= RRGB theta= [ 0.99984607 0.94731399] R2-proxy= 0.992763838052
jmean= 0.0140663328988 jstd= 1.38190082017 jkurt= 11.8478262534
print ARMA(2,0) params = [ 0.00055427 -0.35004464 -0.07423666]
conf interval = [[-0.08746752 0.08857605]
[-0.43947621 -0.26061307]
[-0.16448827 0.01601495]]
Durbin-Watson = 2.01284976504
stock= SIRO theta= [ 8.74697376 0.99679446] R2-proxy= 0.830168834961
jmean= 0.00112048648494 jstd= 1.4809562012 jkurt= 6.74310615158
print ARMA(2,0) params = [-0.00343401 -0.33228574 -0.12503572]
conf interval = [[-0.07384684 0.06697883]
[-0.41696669 -0.24760478]
[-0.20968403 -0.0403874 ]]
Durbin-Watson = 2.03251703269
stock= FFIN theta= [ 0.99987558 0.9606139 ] R2-proxy= 0.992520150209
jmean= -0.00264792668096 jstd= 1.26718394804 jkurt= 6.13169629416
print ARMA(2,0) params = [-0.00552434 -0.5076988 -0.1559477 ]
conf interval = [[-0.11436317 0.10331449]
[-0.60584932 -0.40954828]
[-0.25396944 -0.05792596]]
Durbin-Watson = 2.03966791704
stock= PBCT theta= [ 0.99999437 0.91287863] R2-proxy= 0.980062155024
jmean= -0.00491644833021 jstd= 2.049222821 jkurt= 5.73591364964
print ARMA(2,0) params = [ 0.0619322 -0.36775324 -0.0977568 ]
conf interval = [[-0.12502626 0.24889067]
[-0.59479141 -0.14071507]
[-0.32477852 0.12926493]]
Durbin-Watson = 2.01215818704
stock= SRI theta= [ 5.84573062 0.92284619] R2-proxy= 0.978554001386
jmean= 0.0602885353951 jstd= 1.27656992586 jkurt= 5.35165483594
print ARMA(2,0) params = [ 0.02825981 -0.41125474 -0.17439244]
conf interval = [[-0.10302402 0.15954364]
[-0.53667907 -0.28583042]
[-0.29953525 -0.04924964]]
Durbin-Watson = 2.03179072152
stock= MM theta= [ 1.00010331 1.02733515] R2-proxy= 0.971549435079
jmean= 0.0266253644225 jstd= 1.76649906485 jkurt= 2.72919097576
print ARMA(2,0) params = [-0.00312192 -0.29749401 -0.20347487]
conf interval = [[-0.09386573 0.08762188]
[-0.38360351 -0.2113845 ]
[-0.28946898 -0.11748076]]
Durbin-Watson = 2.02737340343
stock= SWKS theta= [ 0.91789814 0.92296125] R2-proxy= 0.987994400479
jmean= -0.00336973631195 jstd= 1.63019419048 jkurt= 9.12359276295
print ARMA(2,0) params = [-0.08046698 -0.47557603 -0.13988129]
conf interval = [[-0.19160321 0.03066925]
[-0.8599957 -0.09115635]
[-0.52149405 0.24173146]]
Durbin-Watson = 1.74040043513
stock= HBI theta= [ 0.50823597 0.85571582] R2-proxy= 0.977866678785
jmean= -0.101389984014 jstd= 0.546047749658 jkurt= 0.221673831756
print ARMA(2,0) params = [-0.02263328 -0.07785686 0.18690101]
conf interval = [[-0.23537591 0.19010935]
[-0.30766148 0.15194777]
[-0.04237175 0.41617378]]
Durbin-Watson = 1.92850069715
stock= MCRI theta= [ 5.0681018 0.76260457] R2-proxy= 0.969846997974
jmean= -0.0207193367777 jstd= 0.826201684149 jkurt= 2.365986127
print ARMA(2,0) params = [-0.00091838 -0.41681436 -0.15312404]
conf interval = [[-0.05313624 0.05129948]
[-0.46723052 -0.3663982 ]
[-0.20352196 -0.10272612]]
Durbin-Watson = 2.02486741685
stock= WABC theta= [ 8.74491271 0.99554802] R2-proxy= 0.858923067078
jmean= -0.00112773075424 jstd= 1.74306829799 jkurt= 4.3762614517
print ARMA(2,0) params = [-0.00043885 -0.35255719 -0.15264834]
conf interval = [[-0.07111465 0.07023696]
[-0.42066201 -0.28445237]
[-0.22071118 -0.0845855 ]]
Durbin-Watson = 2.01714426538
stock= ITRI theta= [ 8.2128282 0.98892929] R2-proxy= 0.942628711617
jmean= -0.000430461943332 jstd= 1.63909242668 jkurt= 7.25978670116
print ARMA(2,0) params = [-0.00156023 -0.40088013 -0.18451422]
conf interval = [[-0.09703887 0.0939184 ]
[-0.49200628 -0.30975398]
[-0.27552493 -0.0935035 ]]
Durbin-Watson = 2.03312870175
stock= APH theta= [ 0.99991347 0.93501458] R2-proxy= 0.988302443189
jmean= -0.00219168018956 jstd= 1.76227163491 jkurt= 7.70618029992
print ARMA(2,0) params = [-0.00063657 -0.28905262 -0.16653873]
conf interval = [[-0.12830645 0.12703331]
[-0.42481656 -0.15328868]
[-0.30262229 -0.03045518]]
Durbin-Watson = 2.03262799231
stock= DF theta= [ 0.99985858 1.09104024] R2-proxy= 0.843972250507
jmean= 0.000378673565695 jstd= 1.4112114436 jkurt= 13.8505233175
print ARMA(2,0) params = [-0.02602335 -0.16759786 -0.1440929 ]
conf interval = [[-0.16158874 0.10954203]
[-0.31109391 -0.02410181]
[-0.2871434 -0.0010424 ]]
Durbin-Watson = 2.05118775701
stock= HTZ theta= [ 0.83243718 0.93658458] R2-proxy= 0.976276218223
jmean= -0.0264216859862 jstd= 1.24832819979 jkurt= 10.1334011728
/usr/lib/python2.7/dist-packages/scipy/integrate/quadpack.py:321: IntegrationWarning: The integral is probably divergent, or slowly convergent.
warnings.warn(msg, IntegrationWarning)
print ARMA(2,0) params = [-0.03242091 -0.30606807 -0.16241137]
conf interval = [[-0.17604601 0.11120419]
[-0.43679712 -0.17533903]
[-0.29279197 -0.03203077]]
Durbin-Watson = 2.03908676006
stock= ADSK theta= [ 0.97686771 1.00002937] R2-proxy= 0.966931302699
jmean= -0.0326430679166 jstd= 1.66660951729 jkurt= 12.0172837643
print ARMA(2,0) params = [ 0.00659814 -0.43214905 -0.16390862]
conf interval = [[-0.0654641 0.07866039]
[-0.50758579 -0.35671232]
[-0.23928446 -0.08853278]]
Durbin-Watson = 2.0432253208
stock= KNL theta= [ 8.93927322 0.98757483] R2-proxy= 0.837885312311
jmean= 0.00657801791354 jstd= 1.64011897497 jkurt= 5.88509122588
print ARMA(2,0) params = [ 0.00850825 -0.31836096 -0.19332023]
conf interval = [[-0.06756534 0.08458184]
[-0.407266 -0.22945592]
[-0.28214699 -0.10449346]]
Durbin-Watson = 2.01890505875
stock= ACGL theta= [ 0.9021098 0.99801262] R2-proxy= 0.992162946516
jmean= 0.00872601133135 jstd= 1.3399546828 jkurt= 5.97831230444
print ARMA(2,0) params = [ 0.01292716 -0.26282624 -0.18546548]
conf interval = [[-0.10014242 0.12599673]
[-0.36438426 -0.16126821]
[-0.28686441 -0.08406655]]
Durbin-Watson = 2.01905259754
stock= BKD theta= [ 0.99999927 0.97280038] R2-proxy= 0.985495305052
jmean= 0.0119462628085 jstd= 1.65053528886 jkurt= 3.65268360001
print ARMA(2,0) params = [ 0.00527414 -0.32984053 -0.09981037]
conf interval = [[-0.15986617 0.17041446]
[-0.44929411 -0.21038694]
[-0.21947282 0.01985209]]
Durbin-Watson = 2.02796561771
stock= TITN theta= [ 10.31346323 0.99868959] R2-proxy= 0.844219120089
jmean= 0.00442872434919 jstd= 2.06743896915 jkurt= 3.89661263438
print ARMA(2,0) params = [-0.01921595 -0.33011319 -0.15335917]
conf interval = [[-0.1340384 0.09560651]
[-0.42758996 -0.23263642]
[-0.25069238 -0.05602595]]
Durbin-Watson = 2.01238574578
stock= FNSR theta= [ 0.99985083 1.01912145] R2-proxy= 0.946819344262
jmean= -0.0184427270049 jstd= 1.82044740007 jkurt= 4.19368063671
print ARMA(2,0) params = [-0.00617346 -0.33084319 -0.11757099]
conf interval = [[-0.07668323 0.06433631]
[-0.39474294 -0.26694345]
[-0.18143602 -0.05370597]]
Durbin-Watson = 2.0328862301
stock= CR theta= [ 4.82855442 0.93361537] R2-proxy= 0.905821979469
jmean= -0.00644775877097 jstd= 1.67199310082 jkurt= 8.03776768411
print ARMA(2,0) params = [-0.00216233 -0.31613881 -0.24025225]
conf interval = [[-0.07192121 0.06759655]
[-0.38148049 -0.25079714]
[-0.30553818 -0.17496632]]
Durbin-Watson = 2.01968086985
stock= UEIC theta= [ 8.12777168 0.97705807] R2-proxy= 0.859795561764
jmean= -0.00206420675168 jstd= 1.71682580352 jkurt= 3.89488126303
print ARMA(2,0) params = [-0.00409359 -0.27192172 -0.04898772]
conf interval = [[-0.11756283 0.10937564]
[-0.37160733 -0.1722361 ]
[-0.14856269 0.05058725]]
Durbin-Watson = 1.99993064487
stock= VOD theta= [ 9.27534686 0.99718853] R2-proxy= 0.839060653585
jmean= -0.0041865790323 jstd= 1.55456747188 jkurt= 5.32900385492
print ARMA(2,0) params = [ 0.00465393 0.09326173 -0.23690951]
conf interval = [[-0.12265683 0.13196469]
[-0.05473926 0.24126273]
[-0.38461769 -0.08920134]]
Durbin-Watson = 2.14056823642
stock= OC theta= [ 0.99459952 1.00004475] R2-proxy= 0.981865778426
jmean= 0.00574476822974 jstd= 0.983507691843 jkurt= 8.43430126174
print ARMA(2,0) params = [ 0.02774492 -0.03140814 -0.11624557]
conf interval = [[-0.11364025 0.16913009]
[-0.26063945 0.19782318]
[-0.34462257 0.11213143]]
Durbin-Watson = 1.9793055016
stock= NTRI theta= [ 0.44520923 0.99692006] R2-proxy= 0.990687031568
jmean= 0.0275939323242 jstd= 0.710337249749 jkurt= 1.65664661141
print ARMA(2,0) params = [ 0.00148 -0.23392142 -0.1558582 ]
conf interval = [[-0.06396861 0.06692861]
[-0.2935031 -0.17433973]
[-0.21540607 -0.09631032]]
Durbin-Watson = 2.03673363382
stock= CNA theta= [ 0.99996594 1.02815086] R2-proxy= 0.974465722229
jmean= 0.00158106835625 jstd= 1.55781783248 jkurt= 5.65388336686
print ARMA(2,0) params = [-0.00797888 -0.38254154 -0.16976598]
conf interval = [[-0.04993183 0.03397406]
[-0.4239501 -0.34113299]
[-0.21116504 -0.12836691]]
Durbin-Watson = 2.03406100391
stock= SYY theta= [ 1.18762305 1.00000014] R2-proxy= 0.99181473882
jmean= -0.00782207126169 jstd= 1.66366635766 jkurt= 4.33865963646
print ARMA(2,0) params = [-0.04088775 -0.07186297 -0.02672089]
conf interval = [[-0.18781115 0.10603565]
[-0.23502966 0.09130372]
[-0.18939195 0.13595017]]
Durbin-Watson = 2.00848392291
stock= CTL theta= [ 0.26484714 1.26743509] R2-proxy= 0.984366483875
jmean= -0.0412154022749 jstd= 0.990229068293 jkurt= 13.0711438289
print ARMA(2,0) params = [ 0.0178356 -0.23075506 -0.11246533]
conf interval = [[-0.16477496 0.20044616]
[-0.44516337 -0.01634676]
[-0.32557644 0.10064579]]
Durbin-Watson = 2.03950761734
stock= IIIN theta= [ 0.76721385 0.82599537] R2-proxy= 0.967727458806
jmean= 0.0150393568662 jstd= 1.1616453875 jkurt= 20.4193238654
print ARMA(2,0) params = [ 0.0039614 -0.29455939 -0.12201846]
conf interval = [[-0.05974098 0.06766377]
[-0.35378498 -0.23533381]
[-0.18121475 -0.06282217]]
Durbin-Watson = 2.03186493588
stock= NJR theta= [ 1.02583187 1.02119674] R2-proxy= 0.990524352573
jmean= 0.00380919895911 jstd= 1.57798366426 jkurt= 4.0586681842
print ARMA(2,0) params = [ 0.00952951 0.03545609 -0.11348332]
conf interval = [[-0.11946271 0.13852174]
[-0.13578214 0.20669433]
[-0.28420432 0.05723767]]
Durbin-Watson = 1.97323027863
stock= UNFI theta= [ 0.45773545 1.18138436] R2-proxy= 0.985410902482
jmean= 0.0110593600624 jstd= 0.828665683548 jkurt= 10.7874883597
print ARMA(2,0) params = [-0.01763542 -0.12733886 -0.41509973]
conf interval = [[-0.16088659 0.12561575]
[-0.27351878 0.01884105]
[-0.56023125 -0.26996822]]
Durbin-Watson = 2.13826188232
stock= VIAB theta= [ 0.9999721 0.82527113] R2-proxy= 0.941992379077
jmean= -0.0158672310545 jstd= 1.51088247391 jkurt= 4.73731080058
print ARMA(2,0) params = [-0.00774989 -0.2609309 -0.11861279]
conf interval = [[-0.10554395 0.09004417]
[-0.35394919 -0.16791261]
[-0.21151376 -0.02571182]]
Durbin-Watson = 2.04916347608
stock= EXLS theta= [ 1.0000786 1.04744254] R2-proxy= 0.987070818236
jmean= -0.00832453965689 jstd= 1.48926370347 jkurt= 7.35973465027
print ARMA(2,0) params = [-0.01294558 -0.17589126 -0.2157022 ]
conf interval = [[-0.10815672 0.08226556]
[-0.27296899 -0.07881352]
[-0.31261328 -0.11879112]]
Durbin-Watson = 2.01932117127
stock= YRCW theta= [ 0.83075574 0.90421667] R2-proxy= 0.977139144267
jmean= -0.0128584630982 jstd= 1.37697651009 jkurt= 8.4336174894
print ARMA(2,0) params = [-0.00307886 -0.47410741 -0.14686631]
conf interval = [[-0.05695477 0.05079706]
[-0.5392802 -0.40893463]
[-0.21200495 -0.08172766]]
Durbin-Watson = 2.03886735402
stock= AFAM theta= [ 0.97971571 1.00150545] R2-proxy= 0.990577603734
jmean= -0.0027742988536 jstd= 1.47040106792 jkurt= 11.0226296824
print ARMA(2,0) params = [ 0.00572706 -0.35843638 -0.03984718]
conf interval = [[-0.05743138 0.06888549]
[-0.44539701 -0.27147576]
[-0.12675355 0.04705919]]
Durbin-Watson = 2.00191770003
stock= CDR theta= [ 0.76331184 1.00004179] R2-proxy= 0.993974933904
jmean= 0.00649839271636 jstd= 1.08115185889 jkurt= 11.1099454544
print ARMA(2,0) params = [-0.00349084 -0.3347035 -0.16491811]
conf interval = [[-0.11196065 0.10497896]
[-0.43648271 -0.23292429]
[-0.2665359 -0.06330031]]
Durbin-Watson = 2.02081748837
stock= PSEM theta= [ 0.99998299 1.04936834] R2-proxy= 0.937301344384
jmean= -0.00334136191566 jstd= 1.66526803494 jkurt= 4.29628657221
print ARMA(2,0) params = [-0.02123746 -0.37965086 -0.19328936]
conf interval = [[-0.12512937 0.08265445]
[-0.49974138 -0.25956034]
[-0.3135634 -0.07301531]]
Durbin-Watson = 1.98691905677
stock= PHH theta= [ 0.33092064 1.4230184 ] R2-proxy= 0.88357526552
jmean= -0.0193447168036 jstd= 1.43663677977 jkurt= 8.46618803383
print ARMA(2,0) params = [-0.00132266 -0.42715166 -0.18943824]
conf interval = [[-0.0534755 0.05083017]
[-0.47966815 -0.37463517]
[-0.24193126 -0.13694521]]
Durbin-Watson = 2.06013052131
stock= PVA theta= [ 0.99989664 1.0322134 ] R2-proxy= 0.985968049561
jmean= -0.00108815760246 jstd= 1.71916071942 jkurt= 5.5374459601
print ARMA(2,0) params = [-0.00850494 -0.34677528 -0.11031576]
conf interval = [[-0.10473685 0.08772698]
[-0.44043473 -0.25311582]
[-0.20387385 -0.01675767]]
Durbin-Watson = 2.04142304816
stock= WY theta= [ 0.99998708 0.90120141] R2-proxy= 0.975043399265
jmean= -0.00851808761417 jstd= 1.57378148659 jkurt= 7.21975655913
print ARMA(2,0) params = [ 0.01569226 -0.05741848 -0.19717811]
conf interval = [[-0.09159297 0.12297748]
[-0.20826514 0.09342818]
[-0.34753333 -0.04682288]]
Durbin-Watson = 2.02815803937
stock= GCI theta= [ 0.9797087 0.94790778] R2-proxy= 0.985420056291
jmean= 0.0158975904005 jstd= 0.890952353377 jkurt= 12.0287430375
print ARMA(2,0) params = [-0.00449685 -0.46875536 -0.2194495 ]
conf interval = [[-0.05790943 0.04891574]
[-0.51572991 -0.42178082]
[-0.26640609 -0.17249291]]
Durbin-Watson = 2.04067229988
stock= RGLD theta= [ 8.64210098 0.98981172] R2-proxy= 0.869348984572
jmean= -0.0045045043575 jstd= 2.0782714641 jkurt= 6.3792654817
print ARMA(2,0) params = [-0.00430112 -0.35693935 -0.16709222]
conf interval = [[-0.06117108 0.05256884]
[-0.40930444 -0.30457426]
[-0.21943438 -0.11475006]]
Durbin-Watson = 2.04185842161
stock= CRK theta= [ 1.53994218 1.00003882] R2-proxy= 0.986884602069
jmean= -0.00431149007773 jstd= 1.73750088249 jkurt= 5.92224376708
print ARMA(2,0) params = [-0.00189807 -0.09471727 -0.12431585]
conf interval = [[-0.16824656 0.16445041]
[-0.25783211 0.06839756]
[-0.28685876 0.03822707]]
Durbin-Watson = 2.0211978459
stock= SGMO theta= [ 0.99993368 0.8846127 ] R2-proxy= 0.984614867837
jmean= -0.00176350946952 jstd= 1.24470839312 jkurt= 2.70820102672
print ARMA(2,0) params = [-0.00920763 -0.20587587 0.16155931]
conf interval = [[-0.17700588 0.15859062]
[-0.36111804 -0.05063371]
[ 0.00648909 0.31662953]]
Durbin-Watson = 1.9863943637
stock= S theta= [ 0.99997746 0.82472823] R2-proxy= 0.973354223812
jmean= -0.00923845413907 jstd= 1.16159885161 jkurt= 9.84319626735
/usr/local/lib/python2.7/dist-packages/statsmodels/base/model.py:466: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
“Check mle_retvals”, ConvergenceWarning)
print ARMA(2,0) params = [-0.0113973 -0.39445893 -0.18836521]
conf interval = [[-0.06142859 0.03863399]
[-0.4416207 -0.34729715]
[-0.23551117 -0.14121925]]
Durbin-Watson = 2.0418825763
stock= ORCL theta= [ 8.13867643 0.98840087] R2-proxy= 0.885495243861
jmean= -0.0116099250902 jstd= 1.77925311567 jkurt= 5.36319026456
print ARMA(2,0) params = [ 0.00763459 -0.42426152 -0.15582615]
conf interval = [[-0.07359734 0.08886652]
[-0.50971348 -0.33880957]
[-0.24119678 -0.07045552]]
Durbin-Watson = 2.01930786826
stock= ABM theta= [ 0.95531973 0.93840013] R2-proxy= 0.99393968393
jmean= 0.00609175877364 jstd= 1.61448843029 jkurt= 5.27087549481
print ARMA(2,0) params = [-0.01356044 -0.33978331 -0.25642012]
conf interval = [[-0.17024218 0.1431213 ]
[-0.47478611 -0.2047805 ]
[-0.39091857 -0.12192167]]
Durbin-Watson = 2.03457075111
stock= CBSH theta= [ 0.90978179 0.9978455 ] R2-proxy= 0.962715627016
jmean= -0.0129705319919 jstd= 1.9162722429 jkurt= 4.70529182642
print ARMA(2,0) params = [ 0.00390304 -0.33806329 -0.18112879]
conf interval = [[-0.07577355 0.08357963]
[-0.40518498 -0.2709416 ]
[-0.24821213 -0.11404545]]
Durbin-Watson = 2.04355860335
stock= AHS theta= [ 10.3960611 0.99820244] R2-proxy= 0.828010187317
jmean= 0.00446902939802 jstd= 1.8805077662 jkurt= 3.26669506864
print ARMA(2,0) params = [-0.00295526 -0.3397779 -0.15994073]
conf interval = [[-0.07571963 0.06980911]
[-0.41904463 -0.26051116]
[-0.23913171 -0.08074975]]
Durbin-Watson = 2.0026990908
stock= VSH theta= [ 0.99997007 1.0354008 ] R2-proxy= 0.979961476986
jmean= -0.00283010605263 jstd= 1.43815176449 jkurt= 7.6499143978
print ARMA(2,0) params = [-0.09066487 -0.08704642 -0.24994267]
conf interval = [[-0.20509253 0.02376279]
[-0.34155128 0.16745843]
[-0.5159846 0.01609927]]
Durbin-Watson = 1.95136669041
stock= MLM theta= [ 0.68876577 0.95037315] R2-proxy= 0.980830541184
jmean= -0.0910238856458 jstd= 0.598750278232 jkurt= 0.535107679511
print ARMA(2,0) params = [-0.01084952 -0.34606608 -0.09504739]
conf interval = [[-0.16152898 0.13982995]
[-0.46561551 -0.22651666]
[-0.21442948 0.02433469]]
Durbin-Watson = 2.01261821314
stock= OREX theta= [ 0.9208959 0.9020968] R2-proxy= 0.974148256378
jmean= -0.0129634452878 jstd= 1.91106496599 jkurt= 2.88151327021
print ARMA(2,0) params = [-0.03624276 -0.17138771 -0.057422 ]
conf interval = [[-0.33055885 0.25807332]
[-0.44159035 0.09881492]
[-0.32667822 0.21183423]]
Durbin-Watson = 1.99187035206
stock= KKD theta= [ 0.99997075 0.93480811] R2-proxy= 0.979365613286
jmean= -0.0318314208921 jstd= 1.3446681619 jkurt= -0.006099413852
print ARMA(2,0) params = [ 0.02343836 -0.28017939 -0.18992709]
conf interval = [[-0.23515716 0.28203388]
[-0.48212717 -0.07823161]
[-0.39064954 0.01079536]]
Durbin-Watson = 2.01439634066
stock= FRP theta= [ 0.9999248 0.92788457] R2-proxy= 0.959189323662
jmean= 0.0265037371093 jstd= 1.92098519752 jkurt= 1.94380513354
print ARMA(2,0) params = [ 0.00602795 -0.30485433 -0.21729099]
conf interval = [[-0.06546379 0.07751969]
[-0.36946428 -0.24024438]
[-0.28188707 -0.15269491]]
Durbin-Watson = 2.04689776417
stock= AGO theta= [ 3.62520071 0.92736738] R2-proxy= 0.903654340897
jmean= 0.00474242011792 jstd= 1.74366223183 jkurt= 3.49774545182
print ARMA(2,0) params = [-0.00517442 -0.34299028 -0.16315034]
conf interval = [[-0.0851441 0.07479527]
[-0.42848943 -0.25749113]
[-0.24887371 -0.07742697]]
Durbin-Watson = 2.03311277954
stock= SWN theta= [ 0.90972966 0.99793256] R2-proxy= 0.994764163283
jmean= -0.00498857891986 jstd= 1.47371039798 jkurt= 5.22332693925
print ARMA(2,0) params = [ 0.01265286 -0.16299849 -0.16023231]
conf interval = [[-0.10239257 0.12769829]
[-0.276257 -0.04973997]
[-0.27326965 -0.04719497]]
Durbin-Watson = 2.01160115679
stock= UAM theta= [ 0.99999846 0.96212191] R2-proxy= 0.991449518947
jmean= 0.0128073615021 jstd= 1.3543506283 jkurt= 8.94910767069
print ARMA(2,0) params = [-0.02292121 -0.42751743 -0.1478519 ]
conf interval = [[-0.10508611 0.05924369]
[-0.51164674 -0.34338813]
[-0.23189872 -0.06380509]]
Durbin-Watson = 2.02449767097
stock= PLCM theta= [ 0.89804053 0.95752523] R2-proxy= 0.982220358251
jmean= -0.0234177185667 jstd= 1.65552333401 jkurt= 11.735578724
print ARMA(2,0) params = [-0.01443004 -0.38836963 -0.17903214]
conf interval = [[-0.09373522 0.06487513]
[-0.45866116 -0.3180781 ]
[-0.24926949 -0.10879479]]
Durbin-Watson = 2.02734427939
stock= MDC theta= [ 0.99982481 1.0000284 ] R2-proxy= 0.991330711269
jmean= -0.01469305646 jstd= 1.87133799733 jkurt= 4.78184495655
print ARMA(2,0) params = [ 0.00979507 -0.1671633 -0.2064871 ]
conf interval = [[-0.13172974 0.15131988]
[-0.33713314 0.00280655]
[-0.376831 -0.03614321]]
Durbin-Watson = 2.05671660099
stock= DD theta= [ 0.99996891 1.02470399] R2-proxy= 0.885356039843
jmean= 0.0137299862696 jstd= 1.14981756121 jkurt= 4.72251926018
print ARMA(2,0) params = [ 0.00032735 -0.3195578 -0.04051979]
conf interval = [[-0.1051126 0.1057673 ]
[-0.42750962 -0.21160599]
[-0.14834854 0.06730896]]
Durbin-Watson = 1.99826434251
stock= EZPW theta= [ 0.9999043 0.96363535] R2-proxy= 0.993635153873
jmean= 0.00255269309885 jstd= 1.39849445773 jkurt= 4.76268343434
print ARMA(2,0) params = [-0.01110068 -0.28752806 -0.21056137]
conf interval = [[-0.07624746 0.0540461 ]
[-0.34317693 -0.23187919]
[-0.26617835 -0.1549444 ]]
Durbin-Watson = 2.02372698001
stock= DOX theta= [ 10.38774031 0.99810087] R2-proxy= 0.790737242641
jmean= -0.0115214346175 jstd= 1.80520492518 jkurt= 3.92611775372
print ARMA(2,0) params = [ 0.00975209 -0.21458023 -0.14343727]
conf interval = [[-0.10795619 0.12746037]
[-0.32772091 -0.10143955]
[-0.2563707 -0.03050384]]
Durbin-Watson = 2.02023349672
stock= CDI theta= [ 0.99996953 1.00429428] R2-proxy= 0.987734679824
jmean= 0.00868624548648 jstd= 1.43695351201 jkurt= 7.90835021159
print ARMA(2,0) params = [ 0.00923783 -0.28372401 -0.30810157]
conf interval = [[-0.08221555 0.10069122]
[-0.39640456 -0.17104346]
[-0.42045781 -0.19574533]]
Durbin-Watson = 1.97461954237
stock= TRGT theta= [ 0.93279819 0.99687686] R2-proxy= 0.991059159196
jmean= 0.00824459127877 jstd= 1.31973801606 jkurt= 6.93449042044
print ARMA(2,0) params = [ 1.08391614e-04 -3.60362676e-01 -8.19960966e-02]
conf interval = [[-0.07777811 0.0779949 ]
[-0.43472756 -0.28599779]
[-0.15631414 -0.00767805]]
Durbin-Watson = 2.01197751894
stock= VICR theta= [ 0.98810234 0.99788728] R2-proxy= 0.996358690576
jmean= 0.000116895844175 jstd= 1.60043000343 jkurt= 9.9288013989
print ARMA(2,0) params = [-0.01532192 -0.32067607 -0.17924461]
conf interval = [[-0.0729957 0.04235185]
[-0.38053105 -0.26082108]
[-0.23906974 -0.11941949]]
Durbin-Watson = 2.03189822759
stock= TEG theta= [ 0.99986907 1.01466167] R2-proxy= 0.982109641671
jmean= -0.0165561641954 jstd= 1.50341069432 jkurt= 6.55052029469
print ARMA(2,0) params = [ 0.00387794 -0.28112101 -0.1904672 ]
conf interval = [[-0.06836494 0.07612081]
[-0.35388515 -0.20835687]
[-0.26317034 -0.11776406]]
Durbin-Watson = 2.07305155952
stock= HTH theta= [ 2.28907122 0.93339744] R2-proxy= 0.979392135885
jmean= 0.00572272159839 jstd= 1.51233469749 jkurt= 7.07314224401
print ARMA(2,0) params = [-0.03343957 -0.35456486 -0.1379041 ]
conf interval = [[-0.12890964 0.0620305 ]
[-0.4402809 -0.26884881]
[-0.22353335 -0.05227485]]
Durbin-Watson = 2.04554339682
stock= WSO theta= [ 0.91318399 0.89339957] R2-proxy= 0.937884513825
jmean= -0.0337741994575 jstd= 1.7468154088 jkurt= 22.4508706255
print ARMA(2,0) params = [-0.06349978 -0.34799948 -0.18476026]
conf interval = [[-0.28593351 0.15893395]
[-0.57368857 -0.12231039]
[-0.40853552 0.03901501]]
Durbin-Watson = 2.04289911447
stock= NYNY theta= [ 0.99989633 0.76559925] R2-proxy= 0.962590647682
jmean= -0.0637676362852 jstd= 1.5637152621 jkurt= 13.9856271314
print ARMA(2,0) params = [-0.00535708 -0.30125772 -0.26626043]
conf interval = [[-0.11189698 0.10118281]
[-0.41919442 -0.18332103]
[-0.38394338 -0.14857748]]
Durbin-Watson = 1.99394159109
stock= WYN theta= [ 1.17031473 0.92269074] R2-proxy= 0.990404088621
jmean= -0.00254253341621 jstd= 1.45892599167 jkurt= 4.72254447067
print ARMA(2,0) params = [ 0.01446297 -0.34902548 -0.2268406 ]
conf interval = [[-0.26410243 0.29302838]
[-0.56158121 -0.13646974]
[-0.43806334 -0.01561786]]
Durbin-Watson = 2.08779312777
stock= LANC theta= [ 0.67707907 0.93783252] R2-proxy= 0.990088242028
jmean= 0.0205430521572 jstd= 2.13520324439 jkurt= 2.77680118869
print ARMA(2,0) params = [ 0.0015405 -0.39135173 -0.15854427]
conf interval = [[-0.05170617 0.05478718]
[-0.444329 -0.33837447]
[-0.21151108 -0.10557746]]
Durbin-Watson = 2.01861520323
stock= SCHN theta= [ 10.52829231 0.99901187] R2-proxy= 0.790361078289
jmean= 0.00210336804205 jstd= 1.65494368262 jkurt= 5.6399624946
print ARMA(2,0) params = [ 0.00145439 -0.4151093 -0.08079476]
conf interval = [[-0.06429529 0.06720407]
[-0.47701884 -0.35319976]
[-0.14280069 -0.01878882]]
Durbin-Watson = 2.02445394405
stock= DHI theta= [ 7.90899454 0.98633542] R2-proxy= 0.881354641088
jmean= 0.00100760330849 jstd= 1.72043910034 jkurt= 7.88579760929
print ARMA(2,0) params = [-0.00218506 -0.31137627 -0.19899242]
conf interval = [[-0.06745683 0.0630867 ]
[-0.371733 -0.25101953]
[-0.25931022 -0.13867462]]
Durbin-Watson = 2.02998075725
stock= CRY theta= [ 0.99997328 1.03464635] R2-proxy= 0.984872701357
jmean= -0.00246801609311 jstd= 1.69019742019 jkurt= 8.55389779843
print ARMA(2,0) params = [ 0.00485387 -0.35944113 -0.09660774]
conf interval = [[-0.0762749 0.08598265]
[-0.43431803 -0.28456424]
[-0.17143079 -0.02178469]]
Durbin-Watson = 2.01461185275
stock= VDSI theta= [ 0.99999477 1.00005584] R2-proxy= 0.986186099897
jmean= 0.00485740738727 jstd= 1.66824315902 jkurt= 6.36822473364
print ARMA(2,0) params = [-0.00392278 -0.42625467 -0.10890411]
conf interval = [[-0.05131285 0.04346728]
[-0.47316572 -0.37934362]
[-0.15580209 -0.06200614]]
Durbin-Watson = 2.02990679047
stock= ETR theta= [ 1.38208701 1.00003545] R2-proxy= 0.984840454354
jmean= -0.00390951534687 jstd= 1.6792035071 jkurt= 3.99282353685
print ARMA(2,0) params = [-0.0650944 0.01148039 -0.17940946]
conf interval = [[-0.20066498 0.07047617]
[-0.17112658 0.19408736]
[-0.36141408 0.00259516]]
Durbin-Watson = 1.94195456746
stock= AVA theta= [ 0.36471754 1.14985252] R2-proxy= 0.995976990896
jmean= -0.0647199275528 jstd= 0.863267404695 jkurt= 8.09893510789
print ARMA(2,0) params = [-0.00747205 -0.43017632 -0.13297109]
conf interval = [[-0.05707657 0.04213248]
[-0.48736018 -0.37299245]
[-0.19013105 -0.07581112]]
Durbin-Watson = 2.04200560581
stock= MCO theta= [ 0.99994043 1.00561276] R2-proxy= 0.993014366253
jmean= -0.00748300369028 jstd= 1.46473506157 jkurt= 8.41587946977
print ARMA(2,0) params = [-0.01189202 -0.32677509 -0.1397673 ]
conf interval = [[-0.08761975 0.06383572]
[-0.41920759 -0.23434259]
[-0.23208893 -0.04744566]]
Durbin-Watson = 2.02270181905
stock= FELE theta= [ 3.21628102 0.88001626] R2-proxy= 0.917243459753
jmean= -0.0115197676146 jstd= 1.25207622017 jkurt= 10.5088446375
print ARMA(2,0) params = [-0.0123363 -0.24978558 -0.08797514]
conf interval = [[-0.09338299 0.06871038]
[-0.32070564 -0.17886553]
[-0.15884907 -0.01710122]]
Durbin-Watson = 2.01054471935
stock= RHT theta= [ 0.9973511 1.00003919] R2-proxy= 0.993876151325
jmean= -0.0123978358713 jstd= 1.56931767207 jkurt= 3.79560506891
print ARMA(2,0) params = [-0.0060871 -0.23394533 -0.07522786]
conf interval = [[-0.1350916 0.12291739]
[-0.3374317 -0.13045897]
[-0.17863749 0.02818178]]
Durbin-Watson = 2.00998376349
stock= SAH theta= [ 0.99995925 1.00987346] R2-proxy= 0.993344551334
jmean= -0.00686389313902 jstd= 1.66930340556 jkurt= 5.75081589466
print ARMA(2,0) params = [-0.01866107 -0.14066077 -0.08769072]
conf interval = [[-0.14584951 0.10852737]
[-0.29915604 0.0178345 ]
[-0.24639801 0.07101658]]
Durbin-Watson = 2.01543522368
stock= RST theta= [ 0.61012927 0.97615563] R2-proxy= 0.987739379958
jmean= -0.0186115656356 jstd= 0.9901193516 jkurt= 15.2406614717
print ARMA(2,0) params = [ -8.47339105e-05 -3.82855869e-01 -2.36776734e-01]
conf interval = [[-0.08433634 0.08416687]
[-0.47858868 -0.28712306]
[-0.33234471 -0.14120876]]
Durbin-Watson = 2.01151306688
stock= JACK theta= [ 0.99979973 0.91857683] R2-proxy= 0.987929715122
jmean= 0.000430568788857 jstd= 1.49635945831 jkurt= 5.64332824746
print ARMA(2,0) params = [ 0.00553863 -0.38160854 -0.20017121]
conf interval = [[-0.05705104 0.06812829]
[-0.44044244 -0.32277464]
[-0.25897535 -0.14136707]]
Durbin-Watson = 2.03009454842
stock= LMT theta= [ 1.69096116 1.00000275] R2-proxy= 0.928458285611
jmean= 0.0061502895838 jstd= 1.7739476143 jkurt= 5.30980664259
print ARMA(2,0) params = [-0.01072835 -0.36581791 -0.11519379]
conf interval = [[-0.0743984 0.05294171]
[-0.42291363 -0.30872219]
[-0.17226793 -0.05811965]]
Durbin-Watson = 2.0277857298
stock= VSAT theta= [ 8.92675169 0.9898521 ] R2-proxy= 0.852037670971
jmean= -0.0106950577783 jstd= 1.74727399834 jkurt= 4.92811657511
print ARMA(2,0) params = [ 0.00581289 -0.26166498 -0.13374863]
conf interval = [[-0.08117503 0.09280082]
[-0.33977222 -0.18355774]
[-0.21186123 -0.05563603]]
Durbin-Watson = 2.03731271885
stock= VVC theta= [ 1.05005474 1. ] R2-proxy= -54077.5214611
jmean= 0.00610550535138 jstd= 1.59586409635 jkurt= 2.66143345909
print ARMA(2,0) params = [-0.0081472 -0.27834823 -0.09586302]
conf interval = [[-0.09736829 0.08107389]
[-0.38106152 -0.17563494]
[-0.19843773 0.00671169]]
Durbin-Watson = 2.0428164429
stock= SE theta= [ 1.00000936 1.04329626] R2-proxy= 0.968912952577
jmean= -0.0086363683649 jstd= 1.23191354962 jkurt= 2.67598840489
print ARMA(2,0) params = [ 0.00437406 -0.08567868 -0.24255002]
conf interval = [[-0.08442785 0.09317596]
[-0.19615106 0.02479369]
[-0.35282496 -0.13227509]]
Durbin-Watson = 2.06466927985
stock= GTS theta= [ 0.86406325 0.99734774] R2-proxy= 0.992864633498
jmean= 0.00430431569675 jstd= 1.0685322958 jkurt= 6.10819679234
print ARMA(2,0) params = [ 0.00095821 -0.35334142 -0.18607632]
conf interval = [[-0.10739637 0.10931279]
[-0.44732947 -0.25935337]
[-0.27992305 -0.09222959]]
Durbin-Watson = 2.02297714888
stock= OB theta= [ 1.10543995 1.00000094] R2-proxy= 0.993367203333
jmean= 0.000134318201293 jstd= 1.85582698186 jkurt= 7.42090407686
print ARMA(2,0) params = [-0.00039703 -0.28458094 -0.17835297]
conf interval = [[-0.08304167 0.08224762]
[-0.35799496 -0.21116693]
[-0.25170069 -0.10500526]]
Durbin-Watson = 2.00905592846
stock= AZPN theta= [ 0.90615693 0.99789325] R2-proxy= 0.989360126487
jmean= -0.00151285786716 jstd= 1.69837177261 jkurt= 5.74741246765
print ARMA(2,0) params = [-0.01068616 -0.39814797 -0.18719524]
conf interval = [[-0.07871071 0.05733839]
[-0.46652028 -0.32977565]
[-0.25551621 -0.11887427]]
Durbin-Watson = 2.04680286269
stock= HAS theta= [ 0.99996505 0.9242907 ] R2-proxy= 0.983804198268
jmean= -0.0116268754619 jstd= 1.67343788674 jkurt= 4.24542272713
print ARMA(2,0) params = [-0.07409692 0.29838156 -0.23554929]
conf interval = [[-0.25327868 0.10508485]
[ 0.02633839 0.57042474]
[-0.50760456 0.03650599]]
Durbin-Watson = 2.05825934832
stock= ALOG theta= [ 0.12380977 1.54733446] R2-proxy= 0.994661774328
jmean= -0.0729498278876 jstd= 0.634056061602 jkurt= 3.11003726615
print ARMA(2,0) params = [-0.03556647 -0.17360553 0.01240519]
conf interval = [[ -1.52001780e-01 8.08688433e-02]
[ -3.46949191e-01 -2.61872547e-04]
[ -1.60605939e-01 1.85416324e-01]]
Durbin-Watson = 1.99911274409
stock= CNS theta= [ 0.99994748 0.92729509] R2-proxy= 0.986909732334
jmean= -0.0355155885587 jstd= 0.789126423743 jkurt= 1.95735931483
print ARMA(2,0) params = [ 0.00875629 -0.28063286 -0.07057174]
conf interval = [[-0.14669325 0.16420583]
[-0.4198423 -0.14142341]
[-0.20949056 0.06834707]]
Durbin-Watson = 2.00505190433
stock= MO theta= [ 0.99997833 0.88843768] R2-proxy= 0.987110337085
jmean= 0.00925812804486 jstd= 1.5641420352 jkurt= 11.6217401053
print ARMA(2,0) params = [-0.00278226 -0.20393088 -0.09384778]
conf interval = [[-0.07142628 0.06586176]
[-0.2749637 -0.13289806]
[-0.16483493 -0.02286064]]
Durbin-Watson = 2.03058084806
stock= ELY theta= [ 0.99171838 1.00003065] R2-proxy= 0.994108500913
jmean= -0.00304032524362 jstd= 1.27553631167 jkurt= 10.4827893386
print ARMA(2,0) params = [ 0.00616397 -0.48626045 -0.14388532]
conf interval = [[-0.05641761 0.06874555]
[-0.53903266 -0.43348825]
[-0.19663869 -0.09113195]]
Durbin-Watson = 2.04633793989
stock= SFY theta= [ 8.06831998 0.99108417] R2-proxy= 0.899266024618
jmean= 0.00654854828843 jstd= 2.13461628545 jkurt= 7.03602339558
print ARMA(2,0) params = [-0.015991 -0.34277463 -0.09940898]
conf interval = [[-0.11001825 0.07803626]
[-0.42127098 -0.26427828]
[-0.17783998 -0.02097798]]
Durbin-Watson = 2.0219972406
stock= FSTR theta= [ 8.84075308 0.98386988] R2-proxy= 0.822861088865
jmean= -0.0168779335883 jstd= 1.81683856805 jkurt= 3.41279987731
print ARMA(2,0) params = [-0.00339354 -0.33605506 -0.0925 ]
conf interval = [[-0.08122238 0.0744353 ]
[-0.41773945 -0.25437067]
[-0.17423918 -0.01076082]]
Durbin-Watson = 2.01444262712
stock= RSH theta= [ 0.99991047 0.97256998] R2-proxy= 0.992496790969
jmean= -0.00386735669935 jstd= 1.42879712743 jkurt= 5.77756593593
print ARMA(2,0) params = [-0.01495126 -0.15318552 -0.17626029]
conf interval = [[-0.10162278 0.07172026]
[-0.27179051 -0.03458053]
[-0.29462807 -0.05789252]]
Durbin-Watson = 1.99546008782
stock= SNV theta= [ 0.93089509 0.99683777] R2-proxy= 0.988547174456
jmean= -0.014352198751 jstd= 0.977568582271 jkurt= 11.9991895249
print ARMA(2,0) params = [ 0.00758045 -0.25577328 -0.07064229]
conf interval = [[-0.08928327 0.10444417]
[-0.34410707 -0.16743949]
[-0.15889262 0.01760804]]
Durbin-Watson = 2.01892599305
stock= IVR theta= [ 1.97829832 1.00000434] R2-proxy= 0.972929501819
jmean= 0.00758646844343 jstd= 1.49582657515 jkurt= 5.43072849058
print ARMA(2,0) params = [-0.02189929 -0.19413601 -0.04799343]
conf interval = [[-0.16821443 0.12441586]
[-0.45783475 0.06956273]
[-0.31133999 0.21535312]]
Durbin-Watson = 1.96135072142
stock= CMC theta= [ 0.99986992 0.80729474] R2-proxy= 0.968937997314
jmean= -0.0249924135279 jstd= 0.69725289052 jkurt= -0.188654914229
print ARMA(2,0) params = [ 0.02534655 -0.02773049 -0.05862621]
conf interval = [[-0.14841382 0.19910691]
[-0.18925863 0.13379766]
[-0.21963504 0.10238262]]
Durbin-Watson = 2.02573646414
stock= UNH theta= [ 0.4020638 1.08530989] R2-proxy= 0.996617207576
jmean= 0.025325393775 jstd= 1.16511938007 jkurt= 5.65453302439
print ARMA(2,0) params = [-0.01603315 -0.16458483 -0.1656542 ]
conf interval = [[-0.12834709 0.09628079]
[-0.26827743 -0.06089222]
[-0.26916125 -0.06214715]]
Durbin-Watson = 2.0778515967
stock= ZQK theta= [ 0.99988987 0.9820127 ] R2-proxy= 0.987872014226
jmean= -0.0162135200389 jstd= 1.45314238223 jkurt= 3.47816113658
print ARMA(2,0) params = [-0.0003907 -0.32997939 -0.0851164 ]
conf interval = [[-0.09532221 0.09454082]
[-0.42634196 -0.23361683]
[-0.18191438 0.01168159]]
Durbin-Watson = 2.02513310752
stock= DRH theta= [ 0.90933723 0.99764886] R2-proxy= 0.986066104499
jmean= -0.000818669133774 jstd= 1.46118893568 jkurt= 5.08778710639
print ARMA(2,0) params = [-0.00733391 -0.27879728 -0.13020025]
conf interval = [[-0.13797131 0.12330349]
[-0.39174925 -0.16584531]
[-0.24293518 -0.01746533]]
Durbin-Watson = 2.03719036054
stock= REXI theta= [ 0.99978992 0.92670492] R2-proxy= 0.988208209095
jmean= -0.00968940845193 jstd= 1.68231803657 jkurt= 5.86188638273
print ARMA(2,0) params = [ 0.00445175 -0.31386983 -0.18395145]
conf interval = [[-0.07031638 0.07921988]
[-0.37729134 -0.25044832]
[-0.24733734 -0.12056556]]
Durbin-Watson = 2.0577934744
stock= PH theta= [ 7.96051582 0.9909562 ] R2-proxy= 0.849571948888
jmean= 0.00489185764382 jstd= 1.8298992788 jkurt= 4.18683301763
print ARMA(2,0) params = [ 0.00198167 -0.37560071 -0.1350551 ]
conf interval = [[-0.07538008 0.07934342]
[-0.44574526 -0.30545616]
[-0.20584456 -0.06426564]]
Durbin-Watson = 2.01685197873
stock= ARO theta= [ 0.99996324 1.01810355] R2-proxy= 0.992897041703
jmean= 0.000338868439957 jstd= 1.76931087181 jkurt= 6.10763654574
print ARMA(2,0) params = [-0.01527404 -0.21020816 0.05459804]
conf interval = [[-0.13575609 0.105208 ]
[-0.45631801 0.03590168]
[-0.20563535 0.31483143]]
Durbin-Watson = 1.99514927248
stock= SXT theta= [ 0.73641857 0.93648829] R2-proxy= 0.992544294373
jmean= -0.0148364041081 jstd= 0.577599881695 jkurt= -0.12328272226
print ARMA(2,0) params = [-0.01832821 -0.21066377 -0.33656427]
conf interval = [[-0.12506812 0.08841169]
[-0.34289915 -0.0784284 ]
[-0.46824096 -0.20488759]]
Durbin-Watson = 1.92266928121
stock= ZEP theta= [ 0.82912748 1.01409536] R2-proxy= 0.991734143109
jmean= -0.0171423562277 jstd= 1.25994192833 jkurt= 8.36789686782
print ARMA(2,0) params = [-0.00153375 -0.37081721 -0.145548 ]
conf interval = [[-0.06367589 0.06060838]
[-0.43089826 -0.31073617]
[-0.20559948 -0.08549651]]
Durbin-Watson = 2.04426887283
stock= SBUX theta= [ 0.99999999 1.02841837] R2-proxy= 0.970293067299
jmean= -0.0023491134741 jstd= 1.65729710548 jkurt= 3.74155186529
print ARMA(2,0) params = [-0.00600145 -0.33999213 -0.10517885]
conf interval = [[-0.08810607 0.07610318]
[-0.41492019 -0.26506408]
[-0.18005107 -0.03030662]]
Durbin-Watson = 2.02410442441
stock= WRE theta= [ 0.99999146 0.96894262] R2-proxy= 0.989233600567
jmean= -0.00605801154196 jstd= 1.66276410249 jkurt= 6.22823127222
print ARMA(2,0) params = [ 0.01667964 -0.31725316 -0.15744737]
conf interval = [[-0.09939607 0.13275536]
[-0.43304152 -0.20146481]
[-0.27470605 -0.04018869]]
Durbin-Watson = 2.04044154447
stock= WNC theta= [ 0.99990791 1.0064951 ] R2-proxy= 0.992055771469
jmean= 0.0174664871981 jstd= 1.53400062725 jkurt= 3.50642181056
print ARMA(2,0) params = [ 0.02000906 0.00317421 -0.24832771]
conf interval = [[-0.14632852 0.18634665]
[-0.15631321 0.16266163]
[-0.40700681 -0.0896486 ]]
Durbin-Watson = 2.10907620718
stock= VSI theta= [ 0.99977614 0.90725803] R2-proxy= 0.96690330214
jmean= 0.0220979112715 jstd= 1.29280654301 jkurt= 3.95419535542
print ARMA(2,0) params = [ 0.00364671 -0.31351777 -0.12993432]
conf interval = [[-0.09777931 0.10507273]
[-0.40714751 -0.21988803]
[-0.22344812 -0.03642052]]
Durbin-Watson = 2.02957270002
stock= CHK theta= [ 0.9964971 0.99787003] R2-proxy= 0.994478993781
jmean= 0.00420429733439 jstd= 1.6248837105 jkurt= 6.0485944942
print ARMA(2,0) params = [ 0.00384846 -0.38212084 -0.11312238]
conf interval = [[-0.05979392 0.06749084]
[-0.43753836 -0.32670331]
[-0.16851631 -0.05772846]]
Durbin-Watson = 2.02278714051
stock= STI theta= [ 0.99934117 1.0000714 ] R2-proxy= 0.991382296613
jmean= 0.00407995204628 jstd= 1.82722480531 jkurt= 4.98005475428
print ARMA(2,0) params = [-0.01862567 -0.28216751 -0.1695004 ]
conf interval = [[-0.09618974 0.0589384 ]
[-0.36069072 -0.2036443 ]
[-0.24801246 -0.09098834]]
Durbin-Watson = 2.04183498538
stock= CLF theta= [ 1.45517355 0.93160676] R2-proxy= 0.97194351392
jmean= -0.0176755651818 jstd= 1.47649481651 jkurt= 4.09084125499
print ARMA(2,0) params = [ 0.005218 -0.28835749 -0.17621178]
conf interval = [[-0.06923457 0.07967057]
[-0.36099145 -0.21572353]
[-0.2487844 -0.10363916]]
Durbin-Watson = 2.01072301915
stock= TRAK theta= [ 1.12860098 1.0000357 ] R2-proxy= 0.994264676304
jmean= 0.00532988565541 jstd= 1.54713566971 jkurt= 6.76574502603
print ARMA(2,0) params = [-0.00841303 -0.27222281 -0.18110945]
conf interval = [[-0.06542008 0.04859402]
[-0.33005633 -0.21438928]
[-0.23891205 -0.12330684]]
Durbin-Watson = 2.03180817699
stock= HRB theta= [ 0.99475676 0.9977287 ] R2-proxy= 0.996593102743
jmean= -0.00832165413181 jstd= 1.47120041521 jkurt= 4.96578420946
print ARMA(2,0) params = [-0.00592462 -0.32950204 -0.05155084]
conf interval = [[-0.06996365 0.05811442]
[-0.39348764 -0.26551643]
[-0.1155071 0.01240541]]
Durbin-Watson = 2.00900210324
stock= WR theta= [ 0.9998611 1.01301292] R2-proxy= 0.988338383282
jmean= -0.00617117222621 jstd= 1.45455394489 jkurt= 5.75976801134
print ARMA(2,0) params = [ 0.01085425 -0.07225527 -0.151388 ]
conf interval = [[-0.08804305 0.10975155]
[-0.1724771 0.02796655]
[-0.25168003 -0.05109598]]
Durbin-Watson = 2.03062279738
stock= TTEC theta= [ 0.90076586 0.9744798 ] R2-proxy= 0.991899721629
jmean= 0.0112526454805 jstd= 1.20785001364 jkurt= 6.6515406389
print ARMA(2,0) params = [-0.02467506 -0.37682614 -0.20263204]
conf interval = [[-0.13182657 0.08247645]
[-0.47350215 -0.28015012]
[-0.2991551 -0.10610898]]
Durbin-Watson = 2.0033971555
stock= BZH theta= [ 0.81473489 0.91193223] R2-proxy= 0.977034157448
jmean= -0.0255466336451 jstd= 1.8412313205 jkurt= 4.72206022799
print ARMA(2,0) params = [ 0.00866993 -0.3801255 -0.18562177]
conf interval = [[-0.06107649 0.07841635]
[-0.44898604 -0.31126495]
[-0.25443056 -0.11681299]]
Durbin-Watson = 2.02230876432
stock= SNA theta= [ 1.19599413 1.00003795] R2-proxy= 0.956880836203
jmean= 0.00798093062341 jstd= 1.67321884849 jkurt= 4.30419860923
print ARMA(2,0) params = [ 0.03733935 -0.36024977 -0.06367969]
conf interval = [[-0.0928081 0.1674868 ]
[-0.48550774 -0.23499181]
[-0.19284761 0.06548822]]
Durbin-Watson = 2.00496191275
stock= OI theta= [ 1.32301 0.93259935] R2-proxy= 0.989450617474
jmean= 0.03606840008 jstd= 1.56807241775 jkurt= 5.23950561694
print ARMA(2,0) params = [ 0.01123526 -0.28670669 -0.16142614]
conf interval = [[-0.10094719 0.12341772]
[-0.38271684 -0.19069653]
[-0.25730763 -0.06554465]]
Durbin-Watson = 2.06815452234
stock= INWK theta= [ 10.61509699 0.9993461 ] R2-proxy= 0.955537001945
jmean= 0.0114334286569 jstd= 1.74282299705 jkurt= 4.02650286081
print ARMA(2,0) params = [ 0.03614105 -0.19972516 -0.12349764]
conf interval = [[-0.25200313 0.32428523]
[-0.41301396 0.01356363]
[-0.33529103 0.08829576]]
Durbin-Watson = 1.9754693585
stock= WRES theta= [ 0.60737876 0.99000887] R2-proxy= 0.987028134676
jmean= 0.041207592514 jstd= 1.80812467707 jkurt= 11.2346392574
print ARMA(2,0) params = [ 0.03104055 -0.27036975 -0.13914369]
conf interval = [[-0.11086011 0.17294122]
[-0.42115575 -0.11958374]
[-0.28941282 0.01112544]]
Durbin-Watson = 2.02322978808
stock= PCLN theta= [ 0.69411596 0.94288954] R2-proxy= 0.977928591137
jmean= 0.0313674905171 jstd= 1.36004939989 jkurt= 3.48672292299
print ARMA(2,0) params = [ 0.00863528 -0.33328192 -0.1148059 ]
conf interval = [[-0.0781102 0.09538076]
[-0.40879211 -0.25777172]
[-0.19029571 -0.0393161 ]]
Durbin-Watson = 2.02028863033
stock= SAFM theta= [ 9.07635822 0.98550869] R2-proxy= 0.824233623456
jmean= 0.00838071879307 jstd= 1.74376783998 jkurt= 4.39032299002
print ARMA(2,0) params = [-0.00568845 -0.28417816 -0.13904004]
conf interval = [[-0.07946541 0.06808851]
[-0.35377494 -0.21458138]
[-0.20858564 -0.06949443]]
Durbin-Watson = 2.02838067331
stock= TFX theta= [ 0.99984984 0.985685 ] R2-proxy= 0.987363550722
jmean= -0.00579404623365 jstd= 1.55658837832 jkurt= 6.78890686759
print ARMA(2,0) params = [ 0.0104787 -0.01959188 -0.0574733 ]
conf interval = [[-0.14763804 0.16859544]
[-0.19406442 0.15488066]
[-0.23133757 0.11639097]]
Durbin-Watson = 2.00454031265
stock= AMD theta= [ 0.91535363 0.99748194] R2-proxy= 0.99235913502
jmean= 0.0113005901719 jstd= 0.976071158922 jkurt= 4.61884072875
print ARMA(2,0) params = [-0.0037732 -0.27666879 -0.16380302]
conf interval = [[-0.23928194 0.23173555]
[-0.50830399 -0.04503358]
[-0.3935191 0.06591306]]
Durbin-Watson = 1.96022287008
stock= CLW theta= [ 0.9999371 0.88234386] R2-proxy= 0.925676918012
jmean= -0.00400225039408 jstd= 1.4931382571 jkurt= 2.89101235896
print ARMA(2,0) params = [ 0.00446294 -0.42059039 -0.18792902]
conf interval = [[-0.06843282 0.07735871]
[-0.49105509 -0.35012569]
[-0.25834497 -0.11751307]]
Durbin-Watson = 2.03593559289
stock= BEAV theta= [ 0.99991613 1.03273112] R2-proxy= 0.973517847106
jmean= 0.00359336464879 jstd= 1.77794628485 jkurt= 7.98583694712
print ARMA(2,0) params = [-0.03184273 -0.33632396 -0.07329289]
conf interval = [[-0.15054958 0.08686411]
[-0.43722329 -0.23542462]
[-0.17409435 0.02750857]]
Durbin-Watson = 2.01349140115
stock= ALXN theta= [ 1.17881594 0.94143321] R2-proxy= 0.993289852436
jmean= -0.0313967635628 jstd= 1.74439414815 jkurt= 6.60386736227
print ARMA(2,0) params = [ 0.00055017 -0.37406805 -0.19865689]
conf interval = [[-0.1221619 0.12326224]
[-0.47565378 -0.27248232]
[-0.30005922 -0.09725456]]
Durbin-Watson = 2.07251773377
stock= ROSE theta= [ 0.99367447 0.99784088] R2-proxy= 0.99079816162
jmean= -0.000377622870183 jstd= 1.99607994106 jkurt= 5.12493310059
print ARMA(2,0) params = [-0.0004638 -0.34748864 -0.16633042]
conf interval = [[-0.04568901 0.04476141]
[-0.39006549 -0.30491179]
[-0.2088955 -0.12376533]]
Durbin-Watson = 2.0519366046
stock= RJF theta= [ 1.00001499 1.16282269] R2-proxy= 0.730811518203
jmean= -0.000225157545976 jstd= 1.6840008716 jkurt= 4.79076516449
print ARMA(2,0) params = [-0.01326271 -0.40243354 -0.17905467]
conf interval = [[-0.10895889 0.08243347]
[-0.49690922 -0.30795786]
[-0.27339702 -0.08471233]]
Durbin-Watson = 2.02052948054
stock= BHE theta= [ 0.99993605 1.01109716] R2-proxy= 0.96882801683
jmean= -0.0144136685513 jstd= 1.70160582493 jkurt= 5.7863542149
print ARMA(2,0) params = [ 0.00433751 -0.30743658 -0.13668768]
conf interval = [[-0.09962753 0.10830254]
[-0.4049656 -0.20990755]
[-0.23408457 -0.03929079]]
Durbin-Watson = 2.02940396384
stock= ANR theta= [ 7.40129341 0.98363738] R2-proxy= 0.805963711758
jmean= 0.00269277441946 jstd= 1.59885572948 jkurt= 5.73754493471
print ARMA(2,0) params = [-0.00549959 -0.31409308 -0.13457178]
conf interval = [[-0.05961956 0.04862038]
[-0.3668762 -0.26130996]
[-0.18733368 -0.08180988]]
Durbin-Watson = 2.03023306639
stock= BKE theta= [ 7.82298067 0.97958025] R2-proxy= 0.896847207925
jmean= -0.00547858413353 jstd= 1.54493772514 jkurt= 6.75809377315
print ARMA(2,0) params = [-0.00464028 -0.26688392 -0.16052325]
conf interval = [[-0.07375583 0.06447528]
[-0.33233364 -0.2014342 ]
[-0.22592979 -0.0951167 ]]
Durbin-Watson = 2.04713576103
stock= HIBB theta= [ 0.99999914 0.94596188] R2-proxy= 0.972077631066
jmean= -0.00425080639179 jstd= 1.54769180678 jkurt= 5.88499141352
print ARMA(2,0) params = [-0.01525907 -0.28925028 -0.13773176]
conf interval = [[-0.25473432 0.22421619]
[-0.45302313 -0.12547743]
[-0.3008875 0.02542398]]
Durbin-Watson = 2.0986287615
stock= AMP theta= [ 0.25867133 1.52560424] R2-proxy= 0.755020103003
jmean= -0.0149080021679 jstd= 2.14856493039 jkurt= 3.97550899813
print ARMA(2,0) params = [ 0.00397573 -0.28692323 -0.05377454]
conf interval = [[-0.09525677 0.10320824]
[-0.36744157 -0.2064049 ]
[-0.13426182 0.02671275]]
Durbin-Watson = 2.01900768637
stock= EHTH theta= [ 0.99977455 1.00002949] R2-proxy= 0.988682053341
jmean= 0.00383839800034 jstd= 1.71535425073 jkurt= 7.91804834941
print ARMA(2,0) params = [-0.00842544 -0.19982625 -0.12128527]
conf interval = [[-0.09105923 0.07420834]
[-0.2885846 -0.1110679 ]
[-0.2100873 -0.03248324]]
Durbin-Watson = 2.01646497481
stock= BIO theta= [ 0.99991676 0.94439106] R2-proxy= 0.991253784784
jmean= -0.00958971870611 jstd= 1.24980688135 jkurt= 5.20719508427
print ARMA(2,0) params = [-0.02447395 -0.20501004 -0.1011032 ]
conf interval = [[-0.12792116 0.07897326]
[-0.34132207 -0.06869801]
[-0.2371378 0.03493141]]
Durbin-Watson = 2.02956356604
stock= BSX theta= [ 0.99998099 1.00025668] R2-proxy= 0.992046515191
jmean= -0.0254342616553 jstd= 1.00593431423 jkurt= 3.46278122123
print ARMA(2,0) params = [-0.03736211 -0.18600989 -0.11396102]
conf interval = [[-0.3044381 0.22971388]
[-0.39625841 0.02423864]
[-0.32283308 0.09491103]]
Durbin-Watson = 2.05099427756
stock= AL theta= [ 1.05058594 1. ] R2-proxy= -2.59291144507
jmean= -0.0357614282931 jstd= 1.66193637165 jkurt= 3.00516362998
print ARMA(2,0) params = [-0.01251511 -0.23257613 -0.12115024]
conf interval = [[-0.10881676 0.08378653]
[-0.33431725 -0.13083501]
[-0.22274074 -0.01955973]]
Durbin-Watson = 2.03849456557
stock= WHR theta= [ 0.44940982 1.35293494] R2-proxy= 0.839341539663
jmean= -0.0125384083276 jstd= 1.30759565619 jkurt= 9.96582991179
print ARMA(2,0) params = [-0.00481084 -0.31188742 -0.11572174]
conf interval = [[-0.10111075 0.09148907]
[-0.39514029 -0.22863456]
[-0.19889192 -0.03255156]]
Durbin-Watson = 2.02680620825
stock= PAY theta= [ 0.99988338 1.01468311] R2-proxy= 0.985746299401
jmean= -0.00525213805635 jstd= 1.71769535927 jkurt= 5.67510122805
print ARMA(2,0) params = [-0.00145923 -0.34080683 -0.17078313]
conf interval = [[-0.04539343 0.04247498]
[-0.38113721 -0.30047645]
[-0.21110329 -0.13046297]]
Durbin-Watson = 2.04456792933
stock= BK theta= [ 1. 1.1] R2-proxy= 0.891766588618
jmean= -0.00142934202928 jstd= 1.72062970923 jkurt= 6.73781253475
print ARMA(2,0) params = [ -2.72737690e-04 -3.13625078e-01 -5.15127695e-02]
conf interval = [[-0.1149187 0.11437323]
[-0.41292175 -0.21432841]
[-0.15078387 0.04775833]]
Durbin-Watson = 2.00731317132
stock= BRKL theta= [ 1.12701651 1.0000397 ] R2-proxy= 0.987874062648
jmean= 0.000516375974884 jstd= 1.64912813689 jkurt= 6.99706390222
print ARMA(2,0) params = [ 0.00640545 -0.28051755 -0.17297512]
conf interval = [[-0.0831265 0.09593739]
[-0.36037328 -0.20066181]
[-0.2529391 -0.09301115]]
Durbin-Watson = 2.0256209619
stock= CYNO theta= [ 0.98061106 1.00005607] R2-proxy= 0.986966492422
jmean= 0.0061608070191 jstd= 1.67678331309 jkurt= 3.69195476007
print ARMA(2,0) params = [-0.00740455 -0.24067609 -0.13508768]
conf interval = [[-0.09488336 0.08007426]
[-0.31320214 -0.16815004]
[-0.20757035 -0.06260501]]
Durbin-Watson = 2.02537700397
stock= ROG theta= [ 9.08355557 0.99768442] R2-proxy= 0.797173241269
jmean= -0.00619404442381 jstd= 1.70060733023 jkurt= 3.64698299724
print ARMA(2,0) params = [-0.00988984 -0.37507076 -0.21833161]
conf interval = [[-0.12345577 0.10367609]
[-0.48983629 -0.26030523]
[-0.33282289 -0.10384034]]
Durbin-Watson = 2.02629212139
stock= HEES theta= [ 0.99396098 0.9979749 ] R2-proxy= 0.983280816009
jmean= -0.0106084381989 jstd= 1.65281991503 jkurt= 4.89366942913
print ARMA(2,0) params = [ 0.01496115 -0.1611243 0.12779095]
conf interval = [[-0.12030599 0.1502283 ]
[-0.47343328 0.15118468]
[-0.18666415 0.44224605]]
Durbin-Watson = 1.87509627886
stock= ONB theta= [ 0.65506304 0.99395857] R2-proxy= 0.99363516396
jmean= 0.0137083330303 jstd= 0.466418116247 jkurt= -1.53230121665
print ARMA(2,0) params = [-0.03129983 0.07282439 -0.24933608]
conf interval = [[-0.12922494 0.06662529]
[-0.16869108 0.31433986]
[-0.48980444 -0.00886771]]
Durbin-Watson = 1.92252420137
stock= ORN theta= [ 0.99992243 0.93620461] R2-proxy= 0.99245124209
jmean= -0.0330084086557 jstd= 0.50768904454 jkurt= -0.639364641984
print ARMA(2,0) params = [-0.01682355 -0.11604056 -0.06630158]
conf interval = [[-0.10158922 0.06794211]
[-0.29784892 0.06576781]
[-0.25067355 0.11807039]]
Durbin-Watson = 1.99979695993
stock= ECL theta= [ 0.99997162 0.88689838] R2-proxy= 0.989318561054
jmean= -0.017590164631 jstd= 0.554112376152 jkurt= 0.711328118614
print ARMA(2,0) params = [-0.01191955 -0.36115691 -0.13277405]
conf interval = [[-0.13525728 0.11141818]
[-0.46485251 -0.25746132]
[-0.23636998 -0.02917812]]
Durbin-Watson = 2.03986357235
stock= IMMU theta= [ 0.99997529 0.96575996] R2-proxy= 0.97711941015
jmean= -0.0116758643847 jstd= 1.87059931294 jkurt= 6.01675358333
print ARMA(2,0) params = [-0.00627909 -0.42548196 -0.1157233 ]
conf interval = [[-0.15504173 0.14248354]
[-0.58411609 -0.26684783]
[-0.27394159 0.042495 ]]
Durbin-Watson = 1.98949632649
stock= TSS theta= [ 0.87132098 0.91931136] R2-proxy= 0.98481341934
jmean= -0.00679254047321 jstd= 1.55724364049 jkurt= 7.43785566045
print ARMA(2,0) params = [-0.02267019 -0.38816993 0.04976762]
conf interval = [[-0.15120016 0.10585979]
[-0.50410143 -0.27223842]
[-0.06605093 0.16558618]]
Durbin-Watson = 1.99245775798
stock= OSIR theta= [ 0.99998637 0.94304471] R2-proxy= 0.985912021378
jmean= -0.0225122605643 jstd= 1.62250431184 jkurt= 4.81262383446
print ARMA(2,0) params = [-0.00338643 -0.22269391 -0.08037181]
conf interval = [[-0.11634134 0.10956849]
[-0.33388854 -0.11149928]
[-0.19139044 0.03064682]]
Durbin-Watson = 2.00672255899
stock= ZUMZ theta= [ 1.00000641 1.0352212 ] R2-proxy= 0.980851635857
jmean= -0.00402982270876 jstd= 1.35014360672 jkurt= 6.42036491603
print ARMA(2,0) params = [ 0.0004664 -0.36756888 -0.1105432 ]
conf interval = [[-0.13121406 0.13214686]
[-0.49112032 -0.24401744]
[-0.23383996 0.01275357]]
Durbin-Watson = 2.01521240288
stock= ARQL theta= [ 0.91547176 0.9070021 ] R2-proxy= 0.973858196039
jmean= -0.00131131969589 jstd= 1.66548922112 jkurt= 6.91373213553
print ARMA(2,0) params = [ 0.00515507 -0.26141775 -0.18522857]
conf interval = [[-0.06685494 0.07716507]
[-0.32646266 -0.19637283]
[-0.25022544 -0.12023171]]
Durbin-Watson = 2.05084198617
stock= BBG theta= [ 8.25438913 0.98570603] R2-proxy= 0.803356978977
jmean= 0.00516673130385 jstd= 1.640606809 jkurt= 4.72471839058
print ARMA(2,0) params = [-0.00723681 -0.31405372 -0.13727211]
conf interval = [[-0.07005557 0.05558195]
[-0.37348137 -0.25462606]
[-0.19667516 -0.07786906]]
Durbin-Watson = 2.02897919275
stock= IVC theta= [ 1.1518158 0.94277681] R2-proxy= 0.984301775436
jmean= -0.00629639791641 jstd= 1.59688414898 jkurt= 8.39564130346
print ARMA(2,0) params = [-0.00526052 -0.35591703 -0.10312144]
conf interval = [[-0.06862176 0.05810071]
[-0.41950934 -0.29232472]
[-0.16668226 -0.03956061]]
Durbin-Watson = 2.01766811031
stock= CREE theta= [ 0.92987843 0.94940775] R2-proxy= 0.987982896919
jmean= -0.0053095836158 jstd= 1.53475081534 jkurt= 7.41979699505
print ARMA(2,0) params = [-0.02371767 -0.27527314 -0.11519575]
conf interval = [[-0.13153013 0.0840948 ]
[-0.36214512 -0.18840117]
[-0.20199374 -0.02839776]]
Durbin-Watson = 2.04272345944
stock= CBT theta= [ 0.90157434 0.93822819] R2-proxy= 0.97808075597
jmean= -0.0246974869475 jstd= 1.77914496546 jkurt= 4.66644526434
print ARMA(2,0) params = [ 0.0007308 -0.01768595 -0.06964755]
conf interval = [[-0.21542355 0.21688514]
[-0.22077313 0.18540123]
[-0.27167903 0.13238393]]
Durbin-Watson = 2.01563408725
stock= AXL theta= [ 0.35202143 1.37825996] R2-proxy= 0.686501205808
jmean= 0.000886439968258 jstd= 1.15143362489 jkurt= 12.4269619703
print ARMA(2,0) params = [ 0.02352826 -0.10850729 0.02428511]
conf interval = [[-0.22614275 0.27319928]
[-0.32772996 0.11071537]
[-0.19388437 0.2424546 ]]
Durbin-Watson = 2.0036652055
stock= GFIG theta= [ 0.89312655 0.93491897] R2-proxy= 0.982873516418
jmean= 0.0225352645443 jstd= 1.23490616227 jkurt= 2.13174884162
print ARMA(2,0) params = [-0.00736411 -0.04736872 -0.15783955]
conf interval = [[-0.09152198 0.07679375]
[-0.14518429 0.05044684]
[-0.25551482 -0.06016428]]
Durbin-Watson = 2.01878305181
stock= AVP theta= [ 7.47738707 0.9697273 ] R2-proxy= 0.916060307529
jmean= -0.00737032176092 jstd= 1.03645983453 jkurt= 8.948096229
print ARMA(2,0) params = [ 0.00830925 -0.25526336 -0.24823655]
conf interval = [[-0.09163332 0.10825183]
[-0.34633149 -0.16419524]
[-0.33915855 -0.15731455]]
Durbin-Watson = 2.08634573556
stock= LTM theta= [ 0.99993035 1.04078782] R2-proxy= 0.959532993477
jmean= 0.00719102802238 jstd= 1.68294001252 jkurt= 5.19909774732
print ARMA(2,0) params = [-0.00408061 -0.19719215 -0.14450579]
conf interval = [[-0.07896828 0.07080705]
[-0.27852169 -0.1158626 ]
[-0.22576522 -0.06324635]]
Durbin-Watson = 2.03575283251
stock= SPW theta= [ 7.35430169 0.986138 ] R2-proxy= 0.904497650092
jmean= -0.00434000412059 jstd= 1.25280358934 jkurt= 4.05712720385
print ARMA(2,0) params = [ 0.00080088 -0.27695506 -0.14458391]
conf interval = [[-0.07090128 0.07250305]
[-0.33972272 -0.21418739]
[-0.20731291 -0.08185491]]
Durbin-Watson = 2.01411100744
stock= KOPN theta= [ 8.16129366 0.98971269] R2-proxy= 0.890656510697
jmean= 0.000700782778606 jstd= 1.67247416248 jkurt= 6.3714940807
print ARMA(2,0) params = [-0.00413711 -0.27135595 -0.02055701]
conf interval = [[-0.10076567 0.09249146]
[-0.36414367 -0.17856823]
[-0.11326531 0.0721513 ]]
Durbin-Watson = 2.01105729736
stock= SWC theta= [ 0.93609525 0.99772928] R2-proxy= 0.993021502551
jmean= -0.00441223396415 jstd= 1.3935317599 jkurt= 9.65259565069
print ARMA(2,0) params = [-0.00876702 -0.28219512 -0.14140181]
conf interval = [[-0.08895208 0.07141805]
[-0.34938842 -0.21500182]
[-0.20854918 -0.07425443]]
Durbin-Watson = 2.04404677564
stock= PKD theta= [ 0.99993772 1.02663107] R2-proxy= 0.981597679086
jmean= -0.00883360985939 jstd= 1.75175822597 jkurt= 6.55620507004
print ARMA(2,0) params = [ 0.04157133 -0.20158269 -0.02231842]
conf interval = [[-0.09532736 0.17847003]
[-0.360414 -0.04275138]
[-0.18079801 0.13616117]]
Durbin-Watson = 2.00176021199
stock= KFRC theta= [ 0.56696188 1.07682565] R2-proxy= 0.990582749054
jmean= 0.0413524104903 jstd= 1.07406261426 jkurt= 10.3139889453
print ARMA(2,0) params = [ 0.007574 -0.22867093 -0.11271045]
conf interval = [[-0.06804444 0.08319245]
[-0.31789058 -0.13945127]
[-0.2018422 -0.02357871]]
Durbin-Watson = 2.03687778878
stock= CCMP theta= [ 0.94720164 0.99692624] R2-proxy= 0.995678308391
jmean= 0.00789392858914 jstd= 1.16041681857 jkurt= 6.78657116079
print ARMA(2,0) params = [-0.00185124 -0.13751396 -0.17764856]
conf interval = [[-0.10813286 0.10443037]
[-0.24930116 -0.02572677]
[-0.28943783 -0.0658593 ]]
Durbin-Watson = 2.03253004609
stock= TPX theta= [ 0.91452998 0.92306903] R2-proxy= 0.967928578098
jmean= -0.00236494972736 jstd= 1.25615892091 jkurt= 4.23191955573
print ARMA(2,0) params = [ 0.00823226 -0.52962334 -0.23927879]
conf interval = [[-0.12393956 0.14040408]
[-0.66765059 -0.39159609]
[-0.37685934 -0.10169823]]
Durbin-Watson = 2.06908335104
stock= APP theta= [ 0.91940241 0.99758005] R2-proxy= 0.994317451997
jmean= 0.00772079195379 jstd= 1.86503012227 jkurt= 8.91550236522
print ARMA(2,0) params = [ 0.00055938 -0.35529845 -0.0490332 ]
conf interval = [[-0.15303997 0.15415872]
[-0.50087462 -0.20972227]
[-0.19426062 0.09619422]]
Durbin-Watson = 2.01444323329
stock= FSLR theta= [ 0.82281542 0.96674331] R2-proxy= 0.982602591788
jmean= 0.000401564898263 jstd= 1.56935279059 jkurt= 4.11477465015
print ARMA(2,0) params = [ 0.01241833 -0.30591444 -0.10714505]
conf interval = [[-0.06861453 0.09345119]
[-0.40325972 -0.20856917]
[-0.20436972 -0.00992039]]
Durbin-Watson = 2.00585373557
stock= POWI theta= [ 0.85496877 0.94480045] R2-proxy= 0.980231841735
jmean= 0.0122090360812 jstd= 1.22192462807 jkurt= 8.03035500168
print ARMA(2,0) params = [-0.01229819 -0.30241644 -0.23631226]
conf interval = [[-0.0847625 0.06016613]
[-0.38568903 -0.21914385]
[-0.31950189 -0.15312263]]
Durbin-Watson = 2.02741360146
stock= CWST theta= [ 8.12756837 0.98927051] R2-proxy= 0.915759460508
jmean= -0.0117889456667 jstd= 1.37978285077 jkurt= 5.59796021812
print ARMA(2,0) params = [-0.01107742 -0.4171138 -0.21450245]
conf interval = [[-0.09473636 0.07258151]
[-0.49528107 -0.33894653]
[-0.29259808 -0.13640682]]
Durbin-Watson = 2.03468495196
stock= NTAP theta= [ 0.99997327 1.03668697] R2-proxy= 0.954353315719
jmean= -0.0103345023696 jstd= 1.85701622017 jkurt= 3.93547066261
print ARMA(2,0) params = [ 0.01062562 -0.2663122 -0.17468449]
conf interval = [[-0.07309127 0.09434252]
[-0.36186793 -0.17075647]
[-0.2702411 -0.07912788]]
Durbin-Watson = 1.92356673269
stock= JDSU theta= [ 0.99999626 0.88309767] R2-proxy= 0.978025679007
jmean= 0.0151358087047 jstd= 1.33158142178 jkurt= 11.3778426338
print ARMA(2,0) params = [-0.0007078 -0.30008113 -0.19496197]
conf interval = [[-0.08426087 0.08284527]
[-0.37999067 -0.22017159]
[-0.27494593 -0.114978 ]]
Durbin-Watson = 2.0198659949
stock= FOSL theta= [ 0.98675747 0.99773588] R2-proxy= 0.986047455331
jmean= -0.00067562978372 jstd= 1.61290182203 jkurt= 7.22428350637
print ARMA(2,0) params = [-0.00158712 -0.37596108 -0.23751516]
conf interval = [[-0.07657687 0.07340264]
[-0.44691876 -0.3050034 ]
[-0.30841967 -0.16661066]]
Durbin-Watson = 2.0023453183
stock= HPQ theta= [ 9.28123631 0.996809 ] R2-proxy= 0.944336729668
jmean= -0.00178282936796 jstd= 1.78772833481 jkurt= 3.38603848781
print ARMA(2,0) params = [ 0.01667114 -0.24317733 -0.14098613]
conf interval = [[-0.07476394 0.10810621]
[-0.32756374 -0.15879092]
[-0.22528259 -0.05668967]]
Durbin-Watson = 2.03357041902
stock= CRL theta= [ 8.30374209 0.98699986] R2-proxy= 0.950461043454
jmean= 0.0166434887267 jstd= 1.53308785891 jkurt= 3.89934402297
print ARMA(2,0) params = [-0.02832873 -0.20246376 -0.1534481 ]
conf interval = [[-0.14983445 0.09317699]
[-0.36075622 -0.0441713 ]
[-0.31114273 0.00424654]]
Durbin-Watson = 2.0340117413
stock= HUM theta= [ 0.56810133 1.00478345] R2-proxy= 0.993147954866
jmean= -0.0297832110902 jstd= 1.05584276015 jkurt= 28.2186048764
print ARMA(2,0) params = [-0.0135934 -0.10003676 -0.13479077]
conf interval = [[-0.30647942 0.27929262]
[-0.29350051 0.09342699]
[-0.32712569 0.05754415]]
Durbin-Watson = 2.05568681288
stock= CLNE theta= [ 0.58655388 0.80964079] R2-proxy= 0.909862836767
jmean= -0.0146462163393 jstd= 1.86467203522 jkurt= 5.94414035446
print ARMA(2,0) params = [-0.01816486 -0.18316194 -0.24264467]
conf interval = [[-0.14533546 0.10900575]
[-0.30175644 -0.06456743]
[-0.36148722 -0.12380212]]
Durbin-Watson = 2.01762298836
stock= FMD theta= [ 0.99991202 1.00003005] R2-proxy= 0.962299075944
jmean= -0.0232904907064 jstd= 1.54811594959 jkurt= 2.15325505884
print ARMA(2,0) params = [-0.00834799 -0.33246049 -0.20872776]
conf interval = [[-0.12692351 0.11022752]
[-0.45890836 -0.20601262]
[-0.33481959 -0.08263593]]
Durbin-Watson = 2.05844524752
stock= PNM theta= [ 0.99982979 0.86980612] R2-proxy= 0.975629300891
jmean= -0.0085853097921 jstd= 1.49834511765 jkurt= 5.06789453524
print ARMA(2,0) params = [ 0.01364879 -0.35439542 -0.08168843]
conf interval = [[-0.07342323 0.10072081]
[-0.43361953 -0.27517131]
[-0.16085059 -0.00252627]]
Durbin-Watson = 2.02046744772
stock= SYNA theta= [ 0.91067775 1.03359737] R2-proxy= 0.98549160118
jmean= 0.0133665408621 jstd= 1.66854651469 jkurt= 4.42529940957
print ARMA(2,0) params = [-0.01500658 -0.46396251 -0.21076355]
conf interval = [[-0.08435745 0.05434428]
[-0.52840292 -0.3995221 ]
[-0.27515922 -0.14636788]]
Durbin-Watson = 2.04231566393
stock= WAG theta= [ 0.95721211 0.99775573] R2-proxy= 0.993025050595
jmean= -0.0152710536403 jstd= 1.94947067144 jkurt= 2.6863813949
print ARMA(2,0) params = [-0.00856079 -0.39951612 -0.05912903]
conf interval = [[-0.1089043 0.09178273]
[-0.51226334 -0.2867689 ]
[-0.17173192 0.05347387]]
Durbin-Watson = 1.99803837095
stock= FFBC theta= [ 1.1229034 1.00003062] R2-proxy= 0.981089643827
jmean= -0.00904569059562 jstd= 1.40014252313 jkurt= 2.97068027071
print ARMA(2,0) params = [-0.03654413 -0.16217965 -0.03115076]
conf interval = [[-0.28046761 0.20737935]
[-0.34288828 0.01852898]
[-0.21158786 0.14928635]]
Durbin-Watson = 1.97229990092
stock= ASPS theta= [ 0.89292499 0.99740691] R2-proxy= 0.990215789717
jmean= -0.0398978871113 jstd= 1.64493355128 jkurt= 4.71480365464
print ARMA(2,0) params = [-0.00045656 -0.25178724 -0.1778366 ]
conf interval = [[-0.10541355 0.10450043]
[-0.35540784 -0.14816664]
[-0.2812745 -0.0743987 ]]
Durbin-Watson = 2.063290331
stock= MEG theta= [ 0.96015659 0.9976119 ] R2-proxy= 0.994574041733
jmean= -0.00118335285263 jstd= 1.47986266799 jkurt= 9.36022915589
print ARMA(2,0) params = [ 0.01310283 -0.34422223 -0.14378788]
conf interval = [[-0.08149141 0.10769707]
[-0.42613619 -0.26230827]
[-0.22561962 -0.06195615]]
Durbin-Watson = 2.05406783556
stock= AMT theta= [ 8.71993184 0.99001301] R2-proxy= 0.888519941764
jmean= 0.0138460714643 jstd= 1.79976882868 jkurt= 4.11143508692
print ARMA(2,0) params = [ 2.72096437e-04 -3.44134702e-01 -1.83393398e-01]
conf interval = [[-0.08150312 0.08204731]
[-0.41304526 -0.27522415]
[-0.25225006 -0.11453674]]
Durbin-Watson = 2.06031490918
stock= RAIL theta= [ 10.49902446 0.99882532] R2-proxy= 0.777718003175
jmean= 0.000460941259344 jstd= 1.89283982516 jkurt= 3.16578982982