StatisticsΒΆ

In this section we are going to use some basic statistical tools in Matlab to look at daily S&P 500 stock returns during 2013

  • If you didn’t complete the previous sections, you can download the data series HERE. Once you have downloaded the Matlab file, place it in your active Matlab “Current Folder”. Then type “load data”.

  • Let’s investigate if daily S&P 500 stock returns in 2013 come from a normal distribution by looking at the mean, standard deviation, the minimum and maximum value, skewness, kurtosis, and a Jarque-Bera test:
_images/stat1.png
  • A 1 from the Jarque-Bera test indicates the null hypothesis that the returns come from a normal distribution is rejected at the 5% significance level