Getting Started Example for PROC VARMAX
/*--------------------------------------------------------------
SAS Sample Library
Name: vargs.sas
Description: Example program from SAS/ETS User's Guide,
The VARMAX Procedure
Title: Getting Started Example for PROC VARMAX
Product: SAS/ETS Software
Keys: Vector AutoRegressive Moving-Average
processes with eXogenous regressors
PROC: VARMAX
Notes:
--------------------------------------------------------------*/
proc iml;
sig = {1.0 0.5, 0.5 1.25};
phi = {1.2 -0.5, 0.6 0.3};
/* simulate the vector time series */
call varmasim(y,phi) sigma = sig n = 100 seed = 34657;
cn = {'y1' 'y2'};
create simul1 from y[colname=cn];
append from y;
quit;
data simul1;
set simul1;
date = intnx( 'year', '01jan1900'd, _n_-1 );
format date year4.;
run;
proc sgplot data=simul1;
series x=date y=y1 / lineattrs=(pattern=solid);
series x=date y=y2 / lineattrs=(pattern=dash);
yaxis label="Series";
run;
/*--- Vector Autoregressive Model ---*/
proc varmax data=simul1;
id date interval=year;
model y1 y2 / p=1 noint lagmax=3
print=(estimates diagnose);
output out=for lead=5;
run;
/*--- Bayesian Vector Autoregressive Process ---*/
proc varmax data=simul1;
model y1 y2 / p=1 noint
prior=(lambda=0.9 theta=0.1);
run;
proc iml;
sig = 100*i(2);
phi = {-0.2 0.1, 0.5 0.2, 0.8 0.7, -0.4 0.6};
call varmasim(y,phi) sigma=sig n=100 initial=0
seed=45876;
cn = {'y1' 'y2'};
create simul2 from y[colname=cn];
append from y;
quit;
data simul2;
set simul2;
date = intnx( 'year', '01jan1900'd, _n_-1 );
format date year4. ;
run;
proc sgplot data=simul2;
series x=date y=y1 / lineattrs=(pattern=solid);
series x=date y=y2 / lineattrs=(pattern=dash);
yaxis label="Series";
run;
/*--- Cointegration Test ---*/
proc varmax data=simul2;
model y1 y2 / p=2 noint dftest cointtest=(johansen);
run;
/*--- Vector Error Correction Model ---*/
proc varmax data=simul2;
model y1 y2 / p=2 noint lagmax=3
print=(iarr estimates);
cointeg rank=1 normalize=y1;
run;
/*--- Bayesian Vector Error Correction Model ---*/
proc varmax data=simul2;
model y1 y2 / p=2 noint
prior=( lambda=0.5 theta=0.2 )
print=(estimates);
cointeg rank=1 normalize=y1;
run;
data VARFIMA0D0;
time = _N_;
input y1 y2;
datalines;
1.6380971 1.877144
-1.941748 1.96396
-1.451554 3.1016691
1.2746623 4.7273642
-0.876275 5.1267449
1.685302 2.2424148
-3.233667 2.8053303
-0.433166 4.2267587
-0.78505 0.8773836
-0.37977 -0.376083
-0.826399 3.2013876
-1.484569 3.118831
0.5407515 5.8870088
-1.147244 4.1621142
-0.22017 3.2162411
-0.312805 1.664119
-0.143764 3.4391687
-0.062911 4.7678832
3.7460194 5.7534108
0.7334068 3.1790344
1.4163397 3.8749596
-0.427723 5.0918369
-0.206387 6.1276677
0.7524125 5.3449914
2.9754954 5.8035397
4.0852224 5.3506006
-1.801525 4.3121554
-1.889212 3.4976847
1.7666047 3.0369002
1.2253325 4.0074994
4.7147435 2.9211277
2.50878 1.803838
2.4894104 1.6889343
0.185954 0.9655724
-1.01916 2.8121976
1.956443 4.061071
0.4499772 5.2317767
-2.342349 6.2230487
-1.967637 1.4824878
-1.910471 2.329622
-0.266529 -0.352954
1.7197563 1.5014785
0.3290821 -0.142062
0.2882652 1.5736766
0.147383 1.3705431
1.8653684 0.6528227
0.6914438 1.6157908
-1.29724 -0.150112
0.3737273 -0.000445
1.1309441 1.3056856
1.7833043 0.7328679
-1.884532 1.3142027
-1.784975 1.2227286
-3.103635 1.3281926
-0.799707 1.0583698
0.2241106 2.5908262
1.2348469 3.4685147
-1.40709 0.6494599
-1.006777 1.0523072
-0.479335 1.4682216
-1.388602 2.0316646
-3.672146 0.9991697
-0.819556 1.8316996
-1.997796 3.556365
-0.56745 -1.823265
-1.907171 0.4621723
-4.735015 1.0060254
-2.505911 4.0231598
-4.063886 3.9758177
2.0936927 4.6729134
-0.91375 3.451512
3.121365 2.335918
1.7202704 0.7476223
1.9440652 5.8488243
-0.210375 5.6064055
-0.763063 2.7470198
-3.102451 3.333188
0.7820829 3.5312325
-0.038473 5.3247431
-1.026805 4.2199596
-1.953616 2.7680659
-3.458419 3.6275925
-0.092624 3.3869542
0.8997426 4.3955514
0.5790775 0.9976199
2.4759309 1.9925341
1.1119647 0.7647782
-2.507258 1.6063563
1.1146083 2.9930114
-2.359825 1.9635205
1.7845687 1.151591
-0.913391 -0.637274
-2.268665 -0.248998
-0.141529 0.8907445
-0.699466 0.622316
-1.221244 1.7472067
3.219753 1.6908447
1.2701159 1.7669193
-0.322784 0.2830523
1.005059 2.5058112
2.8868669 -0.162541
3.4778428 0.4916381
0.7300398 0.1994397
-0.429583 -1.50432
1.4138826 1.8971844
1.8535206 5.7726669
3.1111328 3.1943094
1.4505624 4.026528
-0.686287 -0.462804
-1.841355 3.7860567
-0.116681 3.4930193
2.632819 2.6602689
1.4879897 1.8198503
1.2688574 0.5737666
-5.249202 -0.662347
-1.905017 0.5266305
-0.914779 1.5958877
-2.564522 -0.524528
-2.932005 -0.245256
-1.801026 1.0354894
-1.027997 2.0248405
2.1982107 1.8615028
-0.635853 0.6333804
1.5606538 3.9092325
-0.976849 1.0172185
1.1463906 1.8152616
3.0713363 4.4308618
-1.956274 1.5876913
1.1995663 3.5319518
0.3507842 3.9564663
-1.66163 5.072492
-1.259809 4.5146572
-0.634267 5.097965
-3.069131 2.0581432
0.4162312 3.2609296
-0.300959 0.3444869
-0.924781 1.4065962
-0.167611 0.0792534
2.2371926 5.4175106
-1.656671 2.4922073
-0.222001 1.8281298
-2.587076 3.1330691
-1.257814 -0.735653
-1.795831 0.7810567
0.5441676 2.3037428
0.7840228 1.4513521
-1.550361 0.0946169
0.2641086 0.2158654
-1.59983 -3.631819
-4.416458 -2.540231
0.3125466 1.9154056
1.0373716 0.5335436
-3.037063 3.4830626
-1.767027 -1.617936
-0.197612 0.7619771
-1.782087 -0.572561
-2.12148 2.9948297
-2.507047 2.3190588
-1.489426 1.1296668
0.6282063 1.1688817
-2.248119 -0.272889
0.4890884 4.4355618
2.5775095 2.7548687
-2.282729 2.6061164
-0.15223 1.2242829
-3.650993 3.9040956
-0.492452 3.6622595
-2.001374 1.5780936
-0.880745 -1.479837
1.0388682 0.8753616
-0.662813 4.7378741
-0.193 1.026179
-2.458829 2.1551019
-0.6742 3.0423366
-3.336162 3.1069261
0.6078006 3.8589476
0.7759921 3.0643974
-0.181989 0.6802662
0.4551866 4.0324598
2.942904 2.6130478
4.1516331 2.0599149
0.7212364 3.233824
-4.025907 0.8036322
-2.385837 3.0276528
2.4664335 2.7584302
1.1811607 2.6357577
1.5803032 1.7889755
1.7311278 -1.139355
-2.086014 -0.693115
-1.029756 5.2484629
-0.311173 1.355245
-2.757436 2.4061722
2.3125592 2.6497169
0.8066626 2.4959385
-0.565999 2.8850034
0.9055597 5.3820024
-2.426965 -0.252182
-0.021422 1.9376533
-1.715378 5.1490854
0.6746331 1.3523416
-0.050668 -0.503237
-1.826292 -0.615026
-2.740541 0.5143647
0.4091096 1.9750026
-2.658557 1.0194957
-0.023688 2.0841424
-0.623004 2.971347
-1.078599 5.2006474
-3.268878 5.447161
-1.232674 3.9930372
0.0971141 3.4341929
-0.93607 6.2301507
-4.395375 2.8550811
-3.433452 5.7864312
-0.360185 4.8734626
2.6198931 2.5001829
0.6286294 1.6628698
-1.461155 3.901459
-0.714761 4.3299077
2.5342048 6.1664198
1.0562653 5.0005314
0.9318991 3.6512014
1.9241364 2.2166017
-0.077901 0.9685862
0.5247161 3.7638607
-1.624028 5.6338758
-1.090602 2.312234
0.7396284 1.2759279
3.2568258 1.4749344
2.8780144 1.0671988
2.3412516 5.4328596
0.6669739 0.9654131
4.6823985 1.5371705
1.697966 6.6126058
2.298163 5.0954463
4.259701 4.3453266
0.7065221 3.5123262
1.803475 3.7553224
0.4254897 -0.856097
1.3662717 -0.309347
-2.77644 -1.772905
-1.188203 2.034631
1.6017127 -1.31848
0.64009 3.256912
-0.746615 1.5093345
-3.748204 -2.135947
-1.767753 3.4460442
-0.803877 4.1827036
0.0218889 -0.705668
0.0837195 2.0498347
0.6749866 0.3715174
-0.247157 1.1977784
-1.160355 0.765475
0.4786223 5.2954697
-1.04788 4.1935794
2.7934072 7.931499
-1.153903 4.4048138
0.9586007 8.2414957
-0.473692 6.4703386
-1.4689 4.7218121
2.0788121 1.3965845
-2.166646 2.2863071
-0.459639 3.3614398
0.915613 1.9144567
-1.97825 1.1909179
-2.227233 1.2629319
-2.887245 -0.419253
-1.232639 1.5225559
-0.21367 1.9594917
0.670876 0.6540379
0.6841491 0.3085936
-0.501894 -0.757247
3.0252637 1.3617151
-2.189728 -2.140538
2.3953454 0.6005188
1.9907184 -1.44814
-1.291332 -0.867894
-0.442282 1.0741959
-0.430619 1.4241217
-1.183339 0.1440352
3.1308339 1.1990769
-1.048787 -0.497764
-0.498323 -0.021662
2.1671985 -1.541618
-0.185613 1.3162407
1.5517079 0.7348931
3.5101006 -0.602361
3.6730114 1.8510261
1.0648737 3.9806909
2.934805 4.184376
1.1884022 3.3888577
2.5784783 3.6029179
0.846806 2.7913428
3.4091409 2.632501
-0.309892 0.8111101
0.3500725 1.1217728
2.4080223 -0.338203
-1.027774 1.2674143
0.4158931 1.6835734
1.133229 0.3052612
-0.493826 0.1444637
0.4691723 2.1550551
-3.974303 3.5552031
2.4036539 -0.949384
0.5329767 2.4728061
-1.41039 -1.102574
-0.365772 4.1561684
-1.404505 0.7155687
-0.987452 3.7981907
-2.766899 0.6700485
-0.292084 0.2445736
0.7165147 2.6438819
-0.616316 1.9572516
-1.242562 -1.57692
-2.526442 -0.76915
-0.91326 1.0000971
0.6918528 1.4604492
1.3597578 1.4821739
1.3002264 0.7998986
2.8497332 1.8745695
5.0555538 0.4891182
1.5773652 -0.037675
2.8276666 -0.167748
1.661136 -3.682827
-1.616226 -5.427467
0.1868086 0.3612116
-1.11702 0.6268231
-2.30407 1.7872423
1.30274 0.9542959
-1.268544 -0.053108
-1.40591 0.3748759
-1.276707 0.7681746
1.9054113 -0.753098
2.2315483 -0.077096
0.4131091 0.4985452
-0.604097 1.5686942
3.9261442 -0.425476
0.433772 -1.112349
1.8748686 1.0485328
0.2208931 -0.087463
2.9616002 0.4549578
0.6540549 1.2593096
0.3822186 1.1245055
-2.143342 -0.580764
0.6528864 5.2929037
1.2219035 2.9891067
-0.914221 1.1629293
3.5241713 2.4607995
3.9417878 -2.293711
4.4028183 0.7959334
-2.279692 0.1859958
1.2450404 2.9906102
1.1532965 0.9779602
1.1141048 1.46692
3.35008 6.0561844
0.9001594 1.4698324
1.5295169 -0.144166
-0.628547 -0.076333
1.0341844 -2.57472
1.4980628 0.2730116
1.859868 -0.505305
-1.671758 2.0660146
0.8987874 -1.211398
-0.980944 -3.326936
-1.97329 -4.130769
-0.796421 -1.246988
1.4185455 1.1331819
-0.603062 0.5305247
-2.253861 -1.814897
1.2196155 -1.909435
-1.610101 -1.201717
-1.998456 1.1582383
0.0144913 1.8496586
-1.466355 0.632691
-0.059085 1.1506658
0.25175 0.3432731
1.0731306 1.8165738
-2.992363 -2.603608
-0.925176 -1.869497
-0.555235 0.3196952
0.7322895 -0.121752
0.3098807 3.0794527
0.2796804 -0.317419
-1.670195 -0.817304
3.4227122 2.7877027
-0.902365 2.2436884
-2.034003 2.2835005
0.4806696 0.9117286
-1.216351 1.2253331
-2.09398 0.3163595
2.1714884 3.1577997
-1.06205 1.9057264
3.2495054 1.7445987
-1.025048 1.0978546
2.2163652 3.0032921
-1.983656 4.9224181
2.2668618 2.5217628
1.4879147 4.1847019
1.0518765 5.3580427
1.4175825 3.2269865
2.6464622 7.1297688
1.8914606 4.1424539
1.2588368 1.1896264
-0.100033 1.9735155
-2.042904 -0.740234
-1.401208 -1.466346
1.7265524 -1.303773
2.3300464 -0.978664
0.7166532 0.5269967
2.5237112 -1.097465
-0.066759 -3.421489
-1.415438 -0.628673
-2.729442 -0.941497
-1.441016 -1.550627
0.8382633 -1.17218
-3.426362 0.6340871
-1.276689 1.3065231
-4.86597 -0.84677
-0.617734 1.452745
0.3867523 2.6260296
0.9956922 4.7300224
1.0037759 1.8984346
-5.796288 0.5063939
-1.194115 3.2339793
-0.799846 1.536661
-2.154264 1.4721419
-1.817363 -0.310557
-1.059374 -1.659964
-0.741608 -0.139276
-1.166925 -0.214666
-0.422224 0.5280152
-0.309187 5.6256285
-0.402239 3.608993
-2.507794 1.2876844
0.4024339 0.0531191
-1.833575 2.1611396
-2.040866 1.5934086
-1.222711 0.2488551
-0.917629 1.0396445
-1.387387 2.6048734
-1.357077 1.9346858
-1.434658 -1.804571
-1.631032 0.9920913
-2.186359 -0.244156
-1.746106 1.8709592
-0.100038 0.2424538
-0.937719 -2.164097
-1.058891 -0.794977
0.5024927 -2.848524
1.7431359 -1.291725
-1.436484 1.0197167
-1.34954 0.6303837
1.1217124 -0.207075
0.1024786 -1.314772
-2.572468 1.3265884
-0.630371 3.0816554
2.1300541 3.261619
2.1698707 1.286079
0.1760012 0.2592458
2.054957 0.4235871
1.1694889 0.3862305
-0.30034 2.0657843
1.0159299 2.94653
2.3281341 2.5278619
1.8003538 1.9792903
1.0461807 1.0357135
-4.23985 2.4869593
0.327194 0.0676851
-0.60262 -2.359451
3.8519536 1.0858037
-2.073514 0.7340739
-0.713654 2.7504591
-2.620655 1.3973551
-0.616564 2.0996894
0.574198 0.9425016
0.2021054 1.6389077
0.775239 1.5487278
1.0444941 2.3051035
-3.016396 -1.225736
-1.276451 -1.13799
-1.091454 2.8759661
0.7157871 2.1972099
0.5643289 2.3568135
2.1089602 2.7211433
-0.318609 -0.315989
-1.250133 2.3782062
2.6823838 2.4471841
2.6260949 5.0470645
-1.615604 0.6573926
1.7295975 -0.241518
-1.981686 0.8392852
-0.465789 -0.497153
-2.170467 2.669325
1.3171371 3.4551833
-3.54055 2.6910052
2.4870208 1.2855432
1.3431982 2.6791207
-0.212549 2.2500477
0.3482938 4.8601886
1.5320803 2.8687495
;
proc sgplot data = VARFIMA0D0;
series x = time y=y1 / lineattrs=(pattern=solid);
series x = time y=y2 / lineattrs=(pattern=dash);
yaxis label="Series";
run;
ods graphics on;
proc timeseries data= VARFIMA0D0 plots = (periodogram acf);
var y1 y2;
spectra freq / adjmean;
corr / NLAG = 30;
run;
proc varmax data = VARFIMA0D0;
model y1 y2 / fi noint method = ML;
run;
data grunfeld;
input year y1 y2 y3 x1 x2 x3;
label y1='Gross Investment GE'
y2='Capital Stock Lagged GE'
y3='Value of Outstanding Shares GE Lagged'
x1='Gross Investment W'
x2='Capital Stock Lagged W'
x3='Value of Outstanding Shares Lagged W';
datalines;
1935 33.1 1170.6 97.8 12.93 191.5 1.8
1936 45.0 2015.8 104.4 25.90 516.0 .8
1937 77.2 2803.3 118.0 35.05 729.0 7.4
1938 44.6 2039.7 156.2 22.89 560.4 18.1
1939 48.1 2256.2 172.6 18.84 519.9 23.5
1940 74.4 2132.2 186.6 28.57 628.5 26.5
1941 113.0 1834.1 220.9 48.51 537.1 36.2
1942 91.9 1588.0 287.8 43.34 561.2 60.8
1943 61.3 1749.4 319.9 37.02 617.2 84.4
1944 56.8 1687.2 321.3 37.81 626.7 91.2
1945 93.6 2007.7 319.6 39.27 737.2 92.4
1946 159.9 2208.3 346.0 53.46 760.5 86.0
1947 147.2 1656.7 456.4 55.56 581.4 111.1
1948 146.3 1604.4 543.4 49.56 662.3 130.6
1949 98.3 1431.8 618.3 32.04 583.8 141.8
1950 93.5 1610.5 647.4 32.24 635.2 136.7
1951 135.2 1819.4 671.3 54.38 723.8 129.7
1952 157.3 2079.7 726.1 71.78 864.1 145.5
1953 179.5 2371.6 800.3 90.08 1193.5 174.8
1954 189.6 2759.9 888.9 68.60 1188.9 213.5
;
/*--- Vector Autoregressive Process with Exogenous Variables ---*/
proc varmax data=grunfeld;
model y1-y3 = x1 x2 / p=1 lagmax=5
printform=univariate
print=(impulsx=(all) estimates);
run;
/*--- Models with Restrictions and Tests ---*/
proc varmax data=grunfeld;
model y1-y3 = x1 x2 / p=1 print=(estimates);
restrict XL(0,1,2)=0, AR(1,1,2)=0, AR(1,3,2)=0;
run;
proc varmax data=grunfeld;
model y1-y3 = x1 x2 / p=1;
test AR(1,3,1)=0;
test XL(0,1,2)=0, AR(1,1,2)=0, AR(1,3,2)=0;
run;
/*--- Causality Testing ---*/
proc varmax data=grunfeld;
model y1-y3 = x1 x2 / p=1 noprint;
causal group1=(x1) group2=(y1-y3);
causal group1=(y3) group2=(y1 y2);
run;
data indices;
input date : MMDDYY10. DJIA SP500;
logDJIA = log(DJIA); logSP500 = log(SP500);
rDJIA = (logDJIA-lag(logDJIA))*100;
rSP500 = (logSP500-lag(logSP500))*100;
datalines;
2/16/2005 10834.88 1210.34
2/17/2005 10754.26 1200.75
2/18/2005 10785.22 1201.59
2/22/2005 10611.2 1184.16
2/23/2005 10673.79 1190.8
2/24/2005 10748.79 1200.2
2/25/2005 10841.6 1211.37
2/28/2005 10766.23 1203.6
3/1/2005 10830 1210.41
3/2/2005 10811.97 1210.08
3/3/2005 10833.03 1210.47
3/4/2005 10940.55 1222.12
3/7/2005 10936.86 1225.31
3/8/2005 10912.62 1219.43
3/9/2005 10805.62 1207.01
3/10/2005 10851.51 1209.25
3/11/2005 10774.36 1200.08
3/14/2005 10804.51 1206.83
3/15/2005 10745.1 1197.75
3/16/2005 10633.07 1188.07
3/17/2005 10626.35 1190.21
3/18/2005 10629.67 1189.65
3/21/2005 10565.39 1183.78
3/22/2005 10470.51 1171.71
3/23/2005 10456.02 1172.53
3/24/2005 10442.87 1171.42
3/28/2005 10485.65 1174.28
3/29/2005 10405.7 1165.36
3/30/2005 10540.93 1181.41
3/31/2005 10503.76 1180.59
4/1/2005 10404.3 1172.92
4/4/2005 10421.14 1176.12
4/5/2005 10458.46 1181.39
4/6/2005 10486.02 1184.07
4/7/2005 10546.32 1191.14
4/8/2005 10461.34 1181.2
4/11/2005 10448.56 1181.21
4/12/2005 10507.97 1187.76
4/13/2005 10403.93 1173.79
4/14/2005 10278.75 1162.05
4/15/2005 10087.51 1142.62
4/18/2005 10071.25 1145.98
4/19/2005 10127.41 1152.78
4/20/2005 10012.36 1137.5
4/21/2005 10218.6 1159.95
4/22/2005 10157.71 1152.12
4/25/2005 10242.47 1162.1
4/26/2005 10151.13 1151.74
4/27/2005 10198.8 1156.38
4/28/2005 10070.37 1143.22
4/29/2005 10192.51 1156.85
5/2/2005 10251.7 1162.16
5/3/2005 10256.95 1161.17
5/4/2005 10384.64 1175.65
5/5/2005 10340.38 1172.63
5/6/2005 10345.4 1171.35
5/9/2005 10384.34 1178.84
5/10/2005 10281.11 1166.22
5/11/2005 10300.25 1171.11
5/12/2005 10189.48 1159.36
5/13/2005 10140.12 1154.05
5/16/2005 10252.29 1165.69
5/17/2005 10331.88 1173.8
5/18/2005 10464.45 1185.56
5/19/2005 10493.19 1191.08
5/20/2005 10471.91 1189.28
5/23/2005 10523.56 1193.86
5/24/2005 10503.68 1194.07
5/25/2005 10457.8 1190.01
5/26/2005 10537.6 1197.62
5/27/2005 10542.55 1198.78
5/31/2005 10467.48 1191.5
6/1/2005 10549.87 1202.27
6/2/2005 10553.49 1204.29
6/3/2005 10460.97 1196.02
6/6/2005 10467.03 1197.51
6/7/2005 10483.07 1197.26
6/8/2005 10476.86 1194.67
6/9/2005 10503.02 1200.93
6/10/2005 10512.63 1198.11
6/13/2005 10522.56 1200.82
6/14/2005 10547.57 1203.91
6/15/2005 10566.37 1206.58
6/16/2005 10578.65 1210.96
6/17/2005 10623.07 1216.96
6/20/2005 10609.11 1216.1
6/21/2005 10599.67 1213.61
6/22/2005 10587.93 1213.88
6/23/2005 10421.44 1200.73
6/24/2005 10297.84 1191.57
6/27/2005 10290.78 1190.69
6/28/2005 10405.63 1201.57
6/29/2005 10374.48 1199.85
6/30/2005 10274.97 1191.33
7/1/2005 10303.44 1194.44
7/5/2005 10371.8 1204.99
7/6/2005 10270.68 1194.94
7/7/2005 10302.29 1197.87
7/8/2005 10449.14 1211.86
7/11/2005 10519.72 1219.44
7/12/2005 10513.89 1222.21
7/13/2005 10557.39 1223.29
7/14/2005 10628.89 1226.5
7/15/2005 10640.83 1227.92
7/18/2005 10574.99 1221.13
7/19/2005 10646.56 1229.35
7/20/2005 10689.15 1235.2
7/21/2005 10627.77 1227.04
7/22/2005 10651.18 1233.68
7/25/2005 10596.48 1229.03
7/26/2005 10579.77 1231.16
7/27/2005 10637.09 1236.79
7/28/2005 10705.55 1243.72
7/29/2005 10640.91 1234.18
8/1/2005 10623.15 1235.35
8/2/2005 10683.74 1244.12
8/3/2005 10697.59 1245.04
8/4/2005 10610.1 1235.86
8/5/2005 10558.03 1226.42
8/8/2005 10536.93 1223.13
8/9/2005 10615.67 1231.38
8/10/2005 10594.41 1229.13
8/11/2005 10685.89 1237.81
8/12/2005 10600.31 1230.39
8/15/2005 10634.38 1233.87
8/16/2005 10513.45 1219.34
8/17/2005 10550.71 1220.24
8/18/2005 10554.93 1219.02
8/19/2005 10559.23 1219.71
8/22/2005 10569.89 1221.73
8/23/2005 10519.58 1217.57
8/24/2005 10434.87 1209.59
8/25/2005 10450.63 1212.39
8/26/2005 10397.29 1205.1
8/29/2005 10463.05 1212.28
8/30/2005 10412.82 1208.41
8/31/2005 10481.6 1220.33
9/1/2005 10459.63 1221.59
9/2/2005 10447.37 1218.02
9/6/2005 10589.24 1233.39
9/7/2005 10633.5 1236.36
9/8/2005 10595.93 1231.67
9/9/2005 10678.56 1241.48
9/12/2005 10682.94 1240.56
9/13/2005 10597.44 1231.2
9/14/2005 10544.9 1227.16
9/15/2005 10558.75 1227.73
9/16/2005 10641.94 1237.91
9/19/2005 10557.63 1231.02
9/20/2005 10481.52 1221.34
9/21/2005 10378.03 1210.2
9/22/2005 10422.05 1214.62
9/23/2005 10419.59 1215.29
9/26/2005 10443.63 1215.63
9/27/2005 10456.21 1215.66
9/28/2005 10473.09 1216.89
9/29/2005 10552.78 1227.68
9/30/2005 10568.7 1228.81
10/3/2005 10535.48 1226.7
10/4/2005 10441.11 1214.47
10/5/2005 10317.36 1196.39
10/6/2005 10287.1 1191.49
10/7/2005 10292.31 1195.9
10/10/2005 10238.76 1187.33
10/11/2005 10253.17 1184.87
10/12/2005 10216.91 1177.68
10/13/2005 10216.59 1176.84
10/14/2005 10287.34 1186.57
10/17/2005 10348.1 1190.1
10/18/2005 10285.26 1178.14
10/19/2005 10414.13 1195.76
10/20/2005 10281.1 1177.8
10/21/2005 10215.22 1179.59
10/24/2005 10385 1199.38
10/25/2005 10377.87 1196.54
10/26/2005 10344.98 1191.38
10/27/2005 10229.95 1178.9
10/28/2005 10402.77 1198.41
10/31/2005 10440.07 1207.01
11/1/2005 10406.77 1202.76
11/2/2005 10472.73 1214.76
11/3/2005 10522.59 1219.94
11/4/2005 10530.76 1220.14
11/7/2005 10586.23 1222.81
11/8/2005 10539.72 1218.59
11/9/2005 10546.21 1220.65
11/10/2005 10640.1 1230.96
11/11/2005 10686.04 1234.72
11/14/2005 10697.17 1233.76
11/15/2005 10686.44 1229.01
11/16/2005 10674.76 1231.21
11/17/2005 10720.22 1242.8
11/18/2005 10766.33 1248.27
11/21/2005 10820.28 1254.85
11/22/2005 10871.43 1261.23
11/23/2005 10916.09 1265.61
11/25/2005 10931.62 1268.25
11/28/2005 10890.72 1257.46
11/29/2005 10888.16 1257.48
11/30/2005 10805.87 1249.48
12/1/2005 10912.57 1264.67
12/2/2005 10877.51 1265.08
12/5/2005 10835.01 1262.09
12/6/2005 10856.86 1263.7
12/7/2005 10810.91 1257.37
12/8/2005 10755.12 1255.84
12/9/2005 10778.58 1259.37
12/12/2005 10767.77 1260.43
12/13/2005 10823.72 1267.43
12/14/2005 10883.51 1272.74
12/15/2005 10881.67 1270.94
12/16/2005 10875.59 1267.32
12/19/2005 10836.53 1259.92
12/20/2005 10805.55 1259.62
12/21/2005 10833.73 1262.79
12/22/2005 10889.44 1268.12
12/23/2005 10883.27 1268.66
12/27/2005 10777.77 1256.54
12/28/2005 10796.26 1258.17
12/29/2005 10784.82 1254.42
12/30/2005 10717.5 1248.29
1/3/2006 10847.41 1268.8
1/4/2006 10880.15 1273.46
1/5/2006 10882.15 1273.48
1/6/2006 10959.31 1285.45
1/9/2006 11011.9 1290.15
1/10/2006 11011.58 1289.69
1/11/2006 11043.44 1294.18
1/12/2006 10962.36 1286.06
1/13/2006 10959.87 1287.61
1/17/2006 10896.32 1282.93
1/18/2006 10854.86 1277.93
1/19/2006 10880.71 1285.04
1/20/2006 10667.39 1261.49
1/23/2006 10688.77 1263.82
1/24/2006 10712.22 1266.86
1/25/2006 10709.74 1264.68
1/26/2006 10809.47 1273.83
1/27/2006 10907.21 1283.72
1/30/2006 10899.92 1285.2
1/31/2006 10864.86 1280.08
2/1/2006 10953.95 1282.46
2/2/2006 10851.98 1270.84
2/3/2006 10793.62 1264.03
2/6/2006 10798.27 1265.02
2/7/2006 10749.76 1254.78
2/8/2006 10858.62 1265.65
2/9/2006 10883.35 1263.78
2/10/2006 10919.05 1266.99
2/13/2006 10892.32 1262.86
2/14/2006 11028.39 1275.53
2/15/2006 11058.97 1280
2/16/2006 11120.68 1289.38
2/17/2006 11115.32 1287.24
2/21/2006 11069.06 1283.03
2/22/2006 11137.17 1292.67
2/23/2006 11069.22 1287.79
2/24/2006 11061.85 1289.43
2/27/2006 11097.55 1294.12
2/28/2006 10993.41 1280.66
3/1/2006 11053.53 1291.24
3/2/2006 11025.51 1289.14
3/3/2006 11021.59 1287.23
3/6/2006 10958.59 1278.26
3/7/2006 10980.69 1275.88
3/8/2006 11005.74 1278.47
3/9/2006 10972.28 1272.23
3/10/2006 11076.34 1281.58
3/13/2006 11076.02 1284.13
3/14/2006 11151.34 1297.48
3/15/2006 11209.77 1303.02
3/16/2006 11253.24 1305.33
3/17/2006 11279.65 1307.25
3/20/2006 11274.53 1305.08
3/21/2006 11235.47 1297.23
3/22/2006 11317.43 1305.04
3/23/2006 11270.29 1301.67
3/24/2006 11279.97 1302.95
3/27/2006 11250.11 1301.61
3/28/2006 11154.54 1293.23
3/29/2006 11215.7 1302.89
3/30/2006 11150.7 1300.25
3/31/2006 11109.32 1294.83
4/3/2006 11144.94 1297.81
4/4/2006 11203.85 1305.93
4/5/2006 11239.55 1311.56
4/6/2006 11216.5 1309.04
4/7/2006 11120.04 1295.5
4/10/2006 11141.33 1296.6
4/11/2006 11089.63 1286.57
4/12/2006 11129.97 1288.12
4/13/2006 11137.65 1289.12
4/17/2006 11073.78 1285.33
4/18/2006 11268.77 1307.65
4/19/2006 11278.77 1309.93
4/20/2006 11342.89 1311.46
4/21/2006 11347.45 1311.28
4/24/2006 11336.32 1308.11
4/25/2006 11283.25 1301.74
4/26/2006 11354.49 1305.41
4/27/2006 11382.51 1309.72
4/28/2006 11367.14 1310.61
5/1/2006 11343.29 1305.19
5/2/2006 11416.45 1313.21
5/3/2006 11400.28 1307.85
5/4/2006 11438.86 1312.25
5/5/2006 11577.74 1325.76
5/8/2006 11584.54 1324.66
5/9/2006 11639.77 1325.14
5/10/2006 11642.65 1322.85
5/11/2006 11500.73 1305.92
5/12/2006 11380.99 1291.24
5/15/2006 11428.77 1294.5
5/16/2006 11419.89 1292.08
5/17/2006 11205.61 1270.32
5/18/2006 11128.29 1261.81
5/19/2006 11144.06 1267.03
5/22/2006 11125.33 1262.07
5/23/2006 11098.35 1256.58
5/24/2006 11117.32 1258.57
5/25/2006 11211.05 1272.88
5/26/2006 11278.61 1280.16
5/30/2006 11094.43 1259.84
5/31/2006 11168.31 1270.09
6/1/2006 11260.28 1285.71
6/2/2006 11247.87 1288.22
6/5/2006 11048.72 1265.29
6/6/2006 11002.14 1263.85
6/7/2006 10930.9 1256.15
6/8/2006 10938.82 1257.93
6/9/2006 10891.92 1252.3
6/12/2006 10792.58 1236.4
6/13/2006 10706.14 1223.69
6/14/2006 10816.92 1230.04
6/15/2006 11015.19 1256.16
6/16/2006 11014.55 1251.54
6/19/2006 10942.11 1240.14
6/20/2006 10974.84 1240.12
6/21/2006 11079.46 1252.2
6/22/2006 11019.11 1245.6
6/23/2006 10989.09 1244.5
6/26/2006 11045.28 1250.56
6/27/2006 10924.74 1239.2
6/28/2006 10973.56 1246
6/29/2006 11190.8 1272.87
6/30/2006 11150.22 1270.2
7/3/2006 11228.02 1280.19
7/5/2006 11151.82 1270.91
7/6/2006 11225.3 1274.08
7/7/2006 11090.67 1265.48
7/10/2006 11103.55 1267.34
7/11/2006 11134.77 1272.52
7/12/2006 11013.18 1258.6
7/13/2006 10846.29 1242.29
7/14/2006 10739.35 1236.2
7/17/2006 10747.36 1234.49
7/18/2006 10799.23 1236.86
7/19/2006 11011.42 1259.81
7/20/2006 10928.1 1249.13
7/21/2006 10868.38 1240.29
7/24/2006 11051.05 1260.91
7/25/2006 11103.71 1268.88
7/26/2006 11102.51 1268.4
7/27/2006 11100.43 1263.2
7/28/2006 11219.7 1278.55
7/31/2006 11185.68 1276.66
8/1/2006 11125.73 1270.92
8/2/2006 11199.93 1278.55
8/3/2006 11242.59 1280.27
8/4/2006 11240.35 1279.36
8/7/2006 11219.38 1275.77
8/8/2006 11173.59 1271.48
8/9/2006 11076.18 1265.95
8/10/2006 11124.37 1271.81
8/11/2006 11088.03 1266.74
8/14/2006 11097.87 1268.21
8/15/2006 11230.26 1285.58
8/16/2006 11327.12 1295.43
8/17/2006 11334.96 1297.48
8/18/2006 11381.47 1302.3
8/21/2006 11345.05 1297.52
8/22/2006 11339.84 1298.82
8/23/2006 11297.9 1292.99
8/24/2006 11304.46 1296.06
8/25/2006 11284.05 1295.09
8/28/2006 11352.01 1301.78
8/29/2006 11369.94 1304.28
8/30/2006 11382.91 1304.27
8/31/2006 11381.15 1303.82
9/1/2006 11464.15 1311.01
9/5/2006 11469.28 1313.25
9/6/2006 11406.2 1300.26
9/7/2006 11331.44 1294.02
9/8/2006 11392.11 1298.92
9/11/2006 11396.84 1299.54
9/12/2006 11498.09 1313.11
9/13/2006 11543.32 1318.07
9/14/2006 11527.39 1316.28
9/15/2006 11560.77 1319.87
9/18/2006 11555 1321.18
9/19/2006 11540.91 1318.31
9/20/2006 11613.19 1325.18
9/21/2006 11533.23 1318.03
9/22/2006 11508.1 1314.78
9/25/2006 11575.81 1326.37
9/26/2006 11669.39 1336.34
9/27/2006 11689.24 1336.59
9/28/2006 11718.45 1339.15
9/29/2006 11679.07 1335.85
10/2/2006 11670.35 1331.32
10/3/2006 11727.34 1334.11
10/4/2006 11850.61 1350.22
10/5/2006 11866.69 1353.22
10/6/2006 11850.21 1349.58
10/9/2006 11857.81 1350.66
10/10/2006 11867.17 1353.42
10/11/2006 11852.13 1349.95
10/12/2006 11947.7 1362.83
10/13/2006 11960.51 1365.62
10/16/2006 11980.6 1369.05
10/17/2006 11950.02 1364.05
10/18/2006 11992.68 1365.96
10/19/2006 12011.73 1366.96
10/20/2006 12002.37 1368.6
10/23/2006 12116.91 1377.02
10/24/2006 12127.88 1377.38
10/25/2006 12134.68 1382.22
10/26/2006 12163.66 1389.08
10/27/2006 12090.26 1377.34
10/30/2006 12086.5 1377.93
10/31/2006 12080.73 1377.94
11/1/2006 12031.02 1367.81
11/2/2006 12018.54 1367.34
11/3/2006 11986.04 1364.3
11/6/2006 12105.55 1379.78
11/7/2006 12156.77 1382.84
11/8/2006 12176.54 1385.72
11/9/2006 12103.3 1378.33
11/10/2006 12108.43 1380.9
11/13/2006 12131.88 1384.42
11/14/2006 12218.01 1393.22
11/15/2006 12251.71 1396.57
11/16/2006 12305.82 1399.76
11/17/2006 12342.56 1401.2
11/20/2006 12316.54 1400.5
11/21/2006 12321.59 1402.81
11/22/2006 12326.95 1406.09
11/24/2006 12280.17 1400.95
11/27/2006 12121.71 1381.9
11/28/2006 12136.45 1386.72
11/29/2006 12226.73 1399.48
11/30/2006 12221.93 1400.63
12/1/2006 12194.13 1396.71
12/4/2006 12283.85 1409.12
12/5/2006 12331.6 1414.76
12/6/2006 12309.25 1412.9
12/7/2006 12278.41 1407.29
12/8/2006 12307.49 1409.84
12/11/2006 12328.48 1413.04
12/12/2006 12315.58 1411.56
12/13/2006 12317.5 1413.21
12/14/2006 12416.76 1425.49
12/15/2006 12445.52 1427.09
12/18/2006 12441.27 1422.48
12/19/2006 12471.32 1425.55
12/20/2006 12463.87 1423.53
12/21/2006 12421.25 1418.3
12/22/2006 12343.22 1410.76
12/26/2006 12407.63 1416.9
12/27/2006 12510.57 1426.84
12/28/2006 12501.52 1424.73
12/29/2006 12463.15 1418.3
1/3/2007 12474.52 1416.6
1/4/2007 12480.69 1418.34
1/5/2007 12398.01 1409.71
1/8/2007 12423.49 1412.84
1/9/2007 12416.6 1412.11
1/10/2007 12442.16 1414.85
1/11/2007 12514.98 1423.82
1/12/2007 12556.08 1430.73
1/16/2007 12582.59 1431.9
1/17/2007 12577.15 1430.62
1/18/2007 12567.93 1426.37
1/19/2007 12565.53 1430.5
1/22/2007 12477.16 1422.95
1/23/2007 12533.8 1427.99
1/24/2007 12621.77 1440.13
1/25/2007 12502.56 1423.9
1/26/2007 12487.02 1422.18
1/29/2007 12490.78 1420.62
1/30/2007 12523.31 1428.82
1/31/2007 12621.69 1438.24
2/1/2007 12673.68 1445.94
2/2/2007 12653.49 1448.39
2/5/2007 12661.74 1446.99
2/6/2007 12666.31 1448
2/7/2007 12666.87 1450.02
2/8/2007 12637.63 1448.31
2/9/2007 12580.83 1438.06
2/12/2007 12552.55 1433.37
2/13/2007 12654.85 1444.26
2/14/2007 12741.86 1455.3
2/15/2007 12765.01 1456.81
2/16/2007 12767.57 1455.54
2/20/2007 12786.64 1459.68
2/21/2007 12738.41 1457.63
2/22/2007 12686.02 1456.38
2/23/2007 12647.48 1451.19
2/26/2007 12632.26 1449.37
2/27/2007 12216.24 1399.04
2/28/2007 12268.63 1406.82
3/1/2007 12234.34 1403.17
3/2/2007 12114.1 1387.17
3/5/2007 12050.41 1374.12
3/6/2007 12207.59 1395.41
3/7/2007 12192.45 1391.97
3/8/2007 12260.7 1401.89
3/9/2007 12276.32 1402.85
3/12/2007 12318.62 1406.6
3/13/2007 12075.96 1377.95
3/14/2007 12133.4 1387.17
3/15/2007 12159.68 1392.28
3/16/2007 12110.41 1386.95
3/19/2007 12226.17 1402.06
3/20/2007 12288.1 1410.94
3/21/2007 12447.52 1435.04
3/22/2007 12461.14 1434.54
3/23/2007 12481.01 1436.11
3/26/2007 12469.07 1437.5
3/27/2007 12397.29 1428.61
3/28/2007 12300.36 1417.23
3/29/2007 12348.75 1422.53
3/30/2007 12354.35 1420.86
4/2/2007 12382.3 1424.55
4/3/2007 12510.3 1437.77
4/4/2007 12530.05 1439.37
4/5/2007 12560.2 1443.76
4/9/2007 12569.14 1444.61
4/10/2007 12573.85 1448.39
4/11/2007 12484.62 1438.87
4/12/2007 12552.96 1447.8
4/13/2007 12612.13 1452.85
4/16/2007 12720.46 1468.47
4/17/2007 12773.04 1471.48
4/18/2007 12803.84 1472.5
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2/11/2009 7939.53 833.74
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3/5/2009 6594.44 682.55
3/6/2009 6626.94 683.38
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3/11/2009 6930.4 721.36
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3/16/2009 7216.97 753.89
3/17/2009 7395.7 778.12
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10/14/2013 15301.26 1710.14
10/15/2013 15168.01 1698.06
10/16/2013 15373.83 1721.54
10/17/2013 15371.65 1733.15
10/18/2013 15399.65 1744.5
10/21/2013 15392.2 1744.66
10/22/2013 15467.66 1754.67
10/23/2013 15413.33 1746.38
10/24/2013 15509.21 1752.07
10/25/2013 15570.28 1759.77
10/28/2013 15568.93 1762.11
10/29/2013 15680.35 1771.95
10/30/2013 15618.76 1763.31
10/31/2013 15545.75 1756.54
11/1/2013 15615.55 1761.64
11/4/2013 15639.12 1767.93
11/5/2013 15618.22 1762.97
11/6/2013 15746.88 1770.49
11/7/2013 15593.98 1747.15
11/8/2013 15761.78 1770.61
11/11/2013 15783.1 1771.89
11/12/2013 15750.67 1767.69
11/13/2013 15821.63 1782
11/14/2013 15876.22 1790.62
11/15/2013 15961.7 1798.18
11/18/2013 15976.02 1791.53
11/19/2013 15967.03 1787.87
11/20/2013 15900.82 1781.37
11/21/2013 16009.99 1795.85
11/22/2013 16064.77 1804.76
11/25/2013 16072.54 1802.48
11/26/2013 16072.8 1802.75
11/27/2013 16097.33 1807.23
11/29/2013 16086.41 1805.81
12/2/2013 16008.77 1800.9
12/3/2013 15914.62 1795.15
12/4/2013 15889.77 1792.81
12/5/2013 15821.51 1785.03
12/6/2013 16020.2 1805.09
12/9/2013 16025.53 1808.37
12/10/2013 15973.13 1802.62
12/11/2013 15843.53 1782.22
12/12/2013 15739.43 1775.5
12/13/2013 15755.36 1775.32
12/16/2013 15884.57 1786.54
12/17/2013 15875.26 1781
12/18/2013 16167.97 1810.65
12/19/2013 16179.08 1809.6
12/20/2013 16221.14 1818.32
12/23/2013 16294.61 1827.99
12/24/2013 16357.55 1833.32
12/26/2013 16479.88 1842.02
12/27/2013 16478.41 1841.4
12/30/2013 16504.29 1841.07
12/31/2013 16576.66 1848.36
1/2/2014 16441.35 1831.98
1/3/2014 16469.99 1831.37
1/6/2014 16425.1 1826.77
1/7/2014 16530.94 1837.88
1/8/2014 16462.74 1837.49
1/9/2014 16444.76 1838.13
1/10/2014 16437.05 1842.37
1/13/2014 16257.94 1819.2
1/14/2014 16373.86 1838.88
1/15/2014 16481.94 1848.38
1/16/2014 16417.01 1845.89
1/17/2014 16458.56 1838.7
1/21/2014 16414.44 1843.8
1/22/2014 16373.34 1844.86
1/23/2014 16197.35 1828.46
1/24/2014 15879.11 1790.29
1/27/2014 15837.88 1781.56
1/28/2014 15928.56 1792.5
1/29/2014 15738.79 1774.2
1/30/2014 15848.61 1794.19
1/31/2014 15698.85 1782.59
2/3/2014 15372.8 1741.89
2/4/2014 15445.24 1755.2
2/5/2014 15440.23 1751.64
2/6/2014 15628.53 1773.43
2/7/2014 15794.08 1797.02
2/10/2014 15801.79 1799.84
2/11/2014 15994.77 1819.75
2/12/2014 15963.94 1819.26
2/13/2014 16027.59 1829.83
2/14/2014 16154.39 1838.63
2/18/2014 16130.4 1840.76
2/19/2014 16040.56 1828.75
2/20/2014 16133.23 1839.78
2/21/2014 16103.3 1836.25
2/24/2014 16207.14 1847.61
2/25/2014 16179.66 1845.12
2/26/2014 16198.41 1845.16
2/27/2014 16272.65 1854.29
2/28/2014 16321.71 1859.45
3/3/2014 16168.03 1845.73
3/4/2014 16395.88 1873.91
3/5/2014 16360.18 1873.81
3/6/2014 16421.89 1877.03
3/7/2014 16452.72 1878.04
3/10/2014 16418.68 1877.17
3/11/2014 16351.25 1867.63
3/12/2014 16340.08 1868.2
3/13/2014 16108.89 1846.34
3/14/2014 16065.67 1841.13
3/17/2014 16247.22 1858.83
3/18/2014 16336.19 1872.25
3/19/2014 16222.17 1860.77
3/20/2014 16331.05 1872.01
3/21/2014 16302.77 1866.52
3/24/2014 16276.69 1857.44
3/25/2014 16367.88 1865.62
3/26/2014 16268.99 1852.56
3/27/2014 16264.23 1849.04
3/28/2014 16323.06 1857.62
3/31/2014 16457.66 1872.34
4/1/2014 16532.61 1885.52
4/2/2014 16573 1890.9
4/3/2014 16572.55 1888.77
4/4/2014 16412.71 1865.09
4/7/2014 16245.87 1845.04
4/8/2014 16256.14 1851.96
4/9/2014 16437.18 1872.18
4/10/2014 16170.22 1833.08
4/11/2014 16026.75 1815.69
4/14/2014 16173.24 1830.61
4/15/2014 16262.56 1842.98
4/16/2014 16424.85 1862.31
4/17/2014 16408.54 1864.85
4/21/2014 16449.25 1871.89
4/22/2014 16514.37 1879.55
4/23/2014 16501.65 1875.39
4/24/2014 16501.65 1878.61
4/25/2014 16361.46 1863.4
4/28/2014 16448.74 1869.43
4/29/2014 16535.37 1878.33
4/30/2014 16580.84 1883.95
5/1/2014 16558.87 1883.68
5/2/2014 16512.89 1881.14
5/5/2014 16530.55 1884.66
5/6/2014 16401.02 1867.72
5/7/2014 16518.54 1878.21
5/8/2014 16550.97 1875.63
5/9/2014 16583.34 1878.48
5/12/2014 16695.47 1896.65
5/13/2014 16715.44 1897.45
5/14/2014 16613.97 1888.53
5/15/2014 16446.81 1870.85
5/16/2014 16491.31 1877.86
5/19/2014 16511.86 1885.08
5/20/2014 16374.31 1872.83
5/21/2014 16533.06 1888.03
5/22/2014 16543.08 1892.49
5/23/2014 16606.27 1900.53
5/27/2014 16675.5 1911.91
5/28/2014 16633.18 1909.78
5/29/2014 16698.74 1920.03
5/30/2014 16717.17 1923.57
6/2/2014 16743.63 1924.97
6/3/2014 16722.34 1924.24
6/4/2014 16737.53 1927.88
6/5/2014 16836.11 1940.46
6/6/2014 16924.28 1949.44
6/9/2014 16943.1 1951.27
6/10/2014 16945.92 1950.79
6/11/2014 16843.88 1943.89
6/12/2014 16734.19 1930.11
6/13/2014 16775.74 1936.16
6/16/2014 16781.01 1937.78
6/17/2014 16808.49 1941.99
6/18/2014 16906.62 1956.98
6/19/2014 16921.46 1959.48
6/20/2014 16947.08 1962.87
6/23/2014 16937.26 1962.61
6/24/2014 16818.13 1949.98
6/25/2014 16867.51 1959.53
6/26/2014 16846.13 1957.22
6/27/2014 16851.84 1960.96
6/30/2014 16826.6 1960.23
7/1/2014 16956.07 1973.32
7/2/2014 16976.24 1974.62
7/3/2014 17068.26 1985.44
7/7/2014 17024.21 1977.65
7/8/2014 16906.62 1963.71
7/9/2014 16985.61 1972.83
7/10/2014 16915.07 1964.68
7/11/2014 16943.81 1967.57
7/14/2014 17055.42 1977.1
7/15/2014 17060.68 1973.28
7/16/2014 17138.2 1981.57
7/17/2014 16976.81 1958.12
7/18/2014 17100.18 1978.22
7/21/2014 17051.73 1973.63
7/22/2014 17113.54 1983.53
7/23/2014 17086.63 1987.01
7/24/2014 17083.8 1987.98
7/25/2014 16960.57 1978.34
7/28/2014 16982.59 1978.91
7/29/2014 16912.11 1969.95
7/30/2014 16880.36 1970.07
7/31/2014 16563.3 1930.67
8/1/2014 16493.37 1925.15
8/4/2014 16569.28 1938.99
8/5/2014 16429.47 1920.21
8/6/2014 16443.34 1920.24
8/7/2014 16368.27 1909.57
8/8/2014 16553.93 1931.59
8/11/2014 16569.98 1936.92
8/12/2014 16560.54 1933.75
8/13/2014 16651.8 1946.72
8/14/2014 16713.58 1955.18
8/15/2014 16662.91 1955.06
8/18/2014 16838.74 1971.74
8/19/2014 16919.59 1981.6
8/20/2014 16979.13 1986.51
8/21/2014 17039.49 1992.37
8/22/2014 17001.22 1988.4
8/25/2014 17076.87 1997.92
8/26/2014 17106.7 2000.02
8/27/2014 17122.01 2000.12
8/28/2014 17079.57 1996.74
8/29/2014 17098.45 2003.37
9/2/2014 17067.56 2002.28
9/3/2014 17078.28 2000.72
9/4/2014 17069.58 1997.65
9/5/2014 17137.36 2007.71
9/8/2014 17111.42 2001.54
9/9/2014 17013.87 1988.44
9/10/2014 17068.71 1995.69
9/11/2014 17049 1997.45
9/12/2014 16987.51 1985.54
9/15/2014 17031.14 1984.13
9/16/2014 17131.97 1998.98
9/17/2014 17156.85 2001.57
9/18/2014 17265.99 2011.36
9/19/2014 17279.74 2010.4
9/22/2014 17172.68 1994.29
9/23/2014 17055.87 1982.77
9/24/2014 17210.06 1998.3
9/25/2014 16945.8 1965.99
9/26/2014 17113.15 1982.85
9/29/2014 17071.22 1977.8
9/30/2014 17042.9 1972.29
10/1/2014 16804.71 1946.16
10/2/2014 16801.05 1946.17
10/3/2014 17009.69 1967.9
10/6/2014 16991.91 1964.82
10/7/2014 16719.39 1935.1
10/8/2014 16994.22 1968.89
10/9/2014 16659.25 1928.21
10/10/2014 16544.1 1906.13
10/13/2014 16321.07 1874.74
10/14/2014 16315.19 1877.7
10/15/2014 16141.74 1862.49
10/16/2014 16117.24 1862.76
10/17/2014 16380.41 1886.76
10/20/2014 16399.67 1904.01
10/21/2014 16614.81 1941.28
10/22/2014 16461.32 1927.11
10/23/2014 16677.9 1950.82
10/24/2014 16805.41 1964.58
10/27/2014 16817.94 1961.63
10/28/2014 17005.75 1985.05
10/29/2014 16974.31 1982.3
10/30/2014 17195.42 1994.65
10/31/2014 17390.52 2018.05
11/3/2014 17366.24 2017.81
11/4/2014 17383.84 2012.1
11/5/2014 17484.53 2023.57
11/6/2014 17554.47 2031.21
11/7/2014 17573.93 2031.92
11/10/2014 17613.74 2038.26
11/11/2014 17614.9 2039.68
11/12/2014 17612.2 2038.25
11/13/2014 17652.79 2039.33
11/14/2014 17634.74 2039.82
11/17/2014 17647.75 2041.32
11/18/2014 17687.82 2051.8
11/19/2014 17685.73 2048.72
11/20/2014 17719 2052.75
11/21/2014 17810.06 2063.5
11/24/2014 17817.9 2069.41
11/25/2014 17814.94 2067.03
11/26/2014 17827.75 2072.83
11/28/2014 17828.24 2067.56
12/1/2014 17776.8 2053.44
12/2/2014 17879.55 2066.55
12/3/2014 17912.62 2074.33
12/4/2014 17900.1 2071.92
12/5/2014 17958.79 2075.37
12/8/2014 17852.48 2060.31
12/9/2014 17801.2 2059.82
12/10/2014 17533.15 2026.14
12/11/2014 17596.34 2035.33
12/12/2014 17280.83 2002.33
12/15/2014 17180.84 1989.63
12/16/2014 17068.87 1972.74
12/17/2014 17356.87 2012.89
12/18/2014 17778.15 2061.23
12/19/2014 17804.8 2070.65
12/22/2014 17959.44 2078.54
12/23/2014 18024.17 2082.17
12/24/2014 18030.21 2081.88
12/26/2014 18053.71 2088.77
12/29/2014 18038.23 2090.57
12/30/2014 17983.07 2080.35
12/31/2014 17823.07 2058.9
1/2/2015 17832.99 2058.2
1/5/2015 17501.65 2020.58
1/6/2015 17371.64 2002.61
1/7/2015 17584.52 2025.9
1/8/2015 17907.87 2062.14
1/9/2015 17737.37 2044.81
1/12/2015 17640.84 2028.26
1/13/2015 17613.68 2023.03
1/14/2015 17427.09 2011.27
1/15/2015 17320.71 1992.67
1/16/2015 17511.57 2019.42
1/20/2015 17515.23 2022.55
1/21/2015 17554.28 2032.12
1/22/2015 17813.98 2063.15
1/23/2015 17672.6 2051.82
1/26/2015 17678.7 2057.09
1/27/2015 17387.21 2029.55
1/28/2015 17191.37 2002.16
1/29/2015 17416.85 2021.25
1/30/2015 17164.95 1994.99
2/2/2015 17361.04 2020.85
2/3/2015 17666.4 2050.03
2/4/2015 17673.02 2041.51
2/5/2015 17884.88 2062.52
2/6/2015 17824.29 2055.47
2/9/2015 17729.21 2046.74
2/10/2015 17868.76 2068.59
2/11/2015 17862.14 2068.53
2/12/2015 17972.38 2088.48
2/13/2015 18019.35 2096.99
;
/*--- BEKK ---*/
proc varmax data=indices outest=oebekk outcov;
model rDJIA rSP500 / noint;
garch p=1 q=1 form=bekk outht=ohbekk;
run;
/*--- Diagonal BEKK ---*/
proc varmax data=indices outest=oebekk outcov;
model rDJIA rSP500 / noint;
garch p=1 q=1 form=bekk;
restrict ach(1,1,2), ach(1,2,1), gch(1,1,2), gch(1,2,1);
run;
/*--- BEKK with Initial Values ---*/
proc varmax data=indices outest=oebekk outcov;
model rDJIA rSP500 / noint;
garch p=1 q=1 form=bekk;
initial gchc(1,1)=0.01407, gchc(1,2)=0.01446, gchc(2,2)=0.01598,
ach(1,1,1)=0.25702, ach(1,2,2)=0.26061,
gch(1,1,1)=-0.95794, gch(1,2,2)=-0.95694,
ach(1,1,2), ach(1,2,1), gch(1,1,2), gch(1,2,1);
run;
/*--- CCC ---*/
proc varmax data=indices outest=oeccc outcov;
model rDJIA rSP500 / noint;
garch p=1 q=1 form=ccc outht=ohccc;
run;
/*--- DCC ---*/
proc varmax data=indices outest=oedcc outcov;
model rDJIA rSP500 / noint;
garch p=1 q=1 form=dcc outht=ohdcc;
run;
/*--- DCC with Initial Values ---*/
proc varmax data=indices outest=oedcc outcov;
model rDJIA rSP500 / noint;
garch p=1 q=1 form=dcc outht=ohdcc;
initial DCCA=0.01, DCCB=0.98, DCCS(1,2) = 0.97294,
GCHC(1,1) = 0.03713, GCHC(2,2) = 0.04004,
ACH(1,1,1) = 0.06862, ACH(1,2,2) = 0.06684,
GCH(1,1,1) = 0.88472, GCH(1,2,2) = 0.88916;
run;
proc varmax data=indices outest=oedcct outcov;
model rDJIA rSP500 / noint;
garch p=1 q=1 form=dcc outht=ohdcct subform=tgarch;
initial DCCA=0.01, DCCB=0.98, DCCS(1,2) = 0.97294,
GCHC(1,1) = 0.03713, GCHC(2,2) = 0.04004,
ACH(1,1,1) = 0.06862, ACH(1,2,2) = 0.06684,
GCH(1,1,1) = 0.88472, GCH(1,2,2) = 0.88916;
output out=odcct lead=0;
run;