*
* Example 6.2 from page 259
*
open data ibmy98.dat
data(format=free,org=columns) 1 252 date return
*
spgraph(vfields=2,footer="Figure 6.2")
graph
# return
corr(print,corrs=corrs,number=23,qstats,span=10) return
graph(style=bar,min=-1.0,max=1.0,vgrid=||-2.0/sqrt(%nobs),+2.0/sqrt(%nobs)||)
# corrs
spgraph(done)
*
stats return
*
compute sighat=sqrt(%variance)*sqrt(252.0)
compute muhat =%mean*252.0+sighat**2/2.0
disp "Expected Return" 100.0*muhat "Standard Deviation" 100.0*sighat