*
* Table 1.2 from page 11
*
open data ch01_ibmvwewsp_d(62-03).txt
data(format=free,org=columns) 1 10446 date ibmsmp vwsmp ewsmp spsmp
open data ch01_intel_d(73-03).txt
data(format=free,org=columns) 1 7828 date intelsmp
open data ch01_3m_d(62-03).txt
data(format=free,org=columns) 1 10446 date mmmsmp
open data ch01_microsoft_d(86-03).txt
data(format=free,org=columns) 1 4493 date mssmp
open data ch01_citigroup_d(86-03).txt
data(format=free,org=columns) 1 4333 date citismp
*
* Create logs from simple
*
set ibmlog   = log(1+ibmsmp)
set ewlog    = log(1+ewsmp)
set vwlog    = log(1+vwsmp)
set splog    = log(1+spsmp)
set intellog = log(1+intelsmp)
set mmmlog   = log(1+mmmsmp)
set mslog    = log(1+mssmp)
set citilog  = log(1+citismp)
*
* Scale everything up to percentages
*
dofor s = spsmp vwsmp ewsmp ibmsmp intelsmp mmmsmp mssmp citismp splog vwlog ewlog ibmlog intellog mmmlog mslog citilog
   set s = s{0}*100.0
end dofor
*
report(action=define,hlabels=||"Security","Start","Size","Mean","Stan Dev","Skew","Exc Kurt","Min","Max"||)
report(row=new,atcol=4,span) "(a) Daily simple returns (%)"
stats(noprint,fractiles) spsmp
report(row=new,atcol=1) "SP" "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) vwsmp
report(row=new,atcol=1) "VW" "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) ewsmp
report(row=new,atcol=1) "EW" "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) ibmsmp
report(row=new,atcol=1) "I.B.M." "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) intelsmp
report(row=new,atcol=1) "Intel" "72/12/15" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) mmmsmp
report(row=new,atcol=1) "3M" "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) mssmp
report(row=new,atcol=1) "Microsoft" "86/3/14" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) citismp
report(row=new,atcol=1) "Citi-Grp" "86/10/30" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
*
report(row=new,atcol=4,span) "(b) Daily log returns (%)"
stats(noprint,fractiles) splog
report(row=new,atcol=1) "SP" "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) vwlog
report(row=new,atcol=1) "VW" "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) ewlog
report(row=new,atcol=1) "EW" "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) ibmlog
report(row=new,atcol=1) "I.B.M." "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) intellog
report(row=new,atcol=1) "Intel" "72/12/15" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) mmmlog
report(row=new,atcol=1) "3M" "62/7/3" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) mslog
report(row=new,atcol=1) "Microsoft" "86/3/14" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
stats(noprint,fractiles) citilog
report(row=new,atcol=1) "Citi-Grp" "86/10/30" %nobs %mean sqrt(%variance) %skewness %kurtosis %minimum %maximum
*
report(action=format,atcol=4,picture="*.###")
report(action=show)