张老师的金融计量课作业答案 R软件

2>对于VW

data: dailylogre$V3

t = 4.3846, df = 347, p-value = 1.542e-05

alternative hypothesis: true mean is not equal to 0 95 percent confidence interval: 0.5955359 1.5644506 sample estimates: mean of x 1.079993 故拒绝原假设

3>对于EW

data: dailylogre$V4

t = 4.6899, df = 347, p-value = 3.937e-06

alternative hypothesis: true mean is not equal to 0 95 percent confidence interval: 0.8250521 2.0169110 sample estimates: mean of x 1.420982 故拒绝原假设

4>对于SP

data: dailylogre$V5

t = 3.3417, df = 347, p-value = 0.0009235

alternative hypothesis: true mean is not equal to 0 95 percent confidence interval: 0.329396 1.271850 sample estimates: mean of x 0.8006232 故拒绝原假设

1.3

a.

12

2004 2005 =1975 =1975 =1

平均年对数收益率==

其中， 为第 年对数收益率， 为第 年第 月的月对数收益率 则SP的平均年对数收益率=9.607479% b.

= =1× 0.09607479(2004 1975)=16.21876

1.4