rand_eur-huf

.03

.02

.01

.00

-.01

-.02

-.03
250 500 750 1000 1250

Null Hypothesis: RAND_EUR_HUF has a unit root

Exogenous: Constant
Lag Length: 7 (Automatic - based on t-statistic, lagpval=0.5, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -14.14082 0.0000

Test critical values: 1% level -3.434597
5% level -2.863303
10% level -2.567757

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_EUR_HUF)
Method: Least Squares
Date: 05/21/17 Time: 11:12
Sample (adjusted): 9 1476
Included observations: 1468 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_EUR_HUF(-1) -1.184685 0.083778 -14.14082 0.0000

D(RAND_EUR_HUF(-1)) 0.112394 0.078225 1.436806 0.1510
D(RAND_EUR_HUF(-2)) 0.108368 0.071563 1.514314 0.1302
D(RAND_EUR_HUF(-3)) 0.037880 0.064194 0.590078 0.5552
D(RAND_EUR_HUF(-4)) 0.006220 0.056343 0.110397 0.9121
D(RAND_EUR_HUF(-5)) -0.029061 0.047702 -0.609220 0.5425
D(RAND_EUR_HUF(-6)) -0.026227 0.038491 -0.681370 0.4957
D(RAND_EUR_HUF(-7)) 0.024282 0.026233 0.925624 0.3548
C 1.43E-06 0.000138 0.010313 0.9918

R-squared 0.540003 Mean dependent var -1.36E-07

Adjusted R-squared 0.537480 S.D. dependent var 0.007798
S.E. of regression 0.005303 Akaike info criterion -7.634828
Sum squared resid 0.041036 Schwarz criterion -7.602385
Log likelihood 5612.963 Hannan-Quinn criter. -7.622729
F-statistic 214.0946 Durbin-Watson stat 1.998046
Prob(F-statistic) 0.000000
Dependent Variable: RAND_EUR_HUF
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/21/17 Time: 11:13
Sample (adjusted): 1 4434
Included observations: 4434 after adjustments
Convergence achieved after 19 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.

C 0.000106 3.30E-05 3.204403 0.0014

Variance Equation

C 1.66E-08 4.18E-09 3.978573 0.0001

RESID(-1)^2 0.173478 0.006426 26.99732 0.0000
GARCH(-1) 0.855366 0.004249 201.3250 0.0000

R-squared -0.000115 Mean dependent var 4.39E-05

Adjusted R-squared -0.000115 S.D. dependent var 0.005773
S.E. of regression 0.005774 Akaike info criterion -7.962030
Sum squared resid 0.147778 Schwarz criterion -7.956259
Log likelihood 17655.82 Hannan-Quinn criter. -7.959995
Durbin-Watson stat 2.017006

.00014

.00012

.00010

.00008

.00006

.00004

.00002

.00000
250 500 750 1000 1250

Conditional variance

Indiele BUX

Null Hypothesis: RAND_BUX has a unit root

Exogenous: Constant
Lag Length: 7 (Automatic - based on t-statistic, lagpval=0.5, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -13.14831 0.0000

Test critical values: 1% level -3.434630
5% level -2.863318
10% level -2.567765
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_BUX)
Method: Least Squares
Date: 05/21/17 Time: 11:25
Sample (adjusted): 9 1492
Included observations: 1457 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX(-1) -1.022705 0.077782 -13.14831 0.0000

D(RAND_BUX(-1)) 0.035194 0.072726 0.483929 0.6285
D(RAND_BUX(-2)) 0.024673 0.067019 0.368146 0.7128
D(RAND_BUX(-3)) -0.023255 0.060741 -0.382852 0.7019
D(RAND_BUX(-4)) 0.011046 0.054127 0.204073 0.8383
D(RAND_BUX(-5)) -0.014019 0.045903 -0.305411 0.7601
D(RAND_BUX(-6)) -0.019097 0.037304 -0.511912 0.6088
D(RAND_BUX(-7)) -0.005783 0.026424 -0.218839 0.8268
C 0.000290 0.000322 0.899415 0.3686

R-squared 0.493577 Mean dependent var -1.75E-05

Adjusted R-squared 0.490779 S.D. dependent var 0.017215
S.E. of regression 0.012285 Akaike info criterion -5.954773
Sum squared resid 0.218522 Schwarz criterion -5.922132
Log likelihood 4347.052 Hannan-Quinn criter. -5.942595
F-statistic 176.4089 Durbin-Watson stat 1.984017
Prob(F-statistic) 0.000000

ANY
Estimation Command:
=========================
LS RAND_ANY RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_ANY = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_ANY = 0.240190303492*RAND_BUX - 0.0604140673284*RAND_EUR_HUF + 0.000231510832053

Dependent Variable: RAND_ANY

Method: Least Squares
Date: 05/20/17 Time: 22:52
Sample (adjusted): 1 1488
Included observations: 1485 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.240190 0.030834 7.789772 0.0000

 RAND_EUR_HUF -0.060414 0.071968 -0.839452 0.4014
C 0.000232 0.000352 0.657976 0.5107

R-squared 0.050133 Mean dependent var 0.000298

Adjusted R-squared 0.048851 S.D. dependent var 0.013897
S.E. of regression 0.013554 Akaike info criterion -5.762287
Sum squared resid 0.272250 Schwarz criterion -5.751574
Log likelihood 4281.498 Hannan-Quinn criter. -5.758294
F-statistic 39.10933 Durbin-Watson stat 2.303439
Prob(F-statistic) 0.000000

APPENINN
Estimation Command:
=========================
LS RAND_APPENINN RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_APPENINN = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_APPENINN = 0.268183423849*RAND_BUX - 0.0206926386576*RAND_EUR_HUF -
0.000465707584921

Dependent Variable: RAND_APPENINN

Method: Least Squares
Date: 05/20/17 Time: 22:53
Sample (adjusted): 1 1476
Included observations: 1474 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.268183 0.040502 6.621474 0.0000

RAND_EUR_HUF -0.020693 0.094801 -0.218273 0.8272
C -0.000466 0.000464 -1.003703 0.3157

R-squared 0.034711 Mean dependent var -0.000407

Adjusted R-squared 0.033399 S.D. dependent var 0.018113
S.E. of regression 0.017808 Akaike info criterion -5.216255
Sum squared resid 0.466514 Schwarz criterion -5.205476
Log likelihood 3847.380 Hannan-Quinn criter. -5.212236
F-statistic 26.44796 Durbin-Watson stat 2.344060
Prob(F-statistic) 0.000000

CIGPANONNIA

Estimation Command:
=========================
LS RAND_CIGPANNONIA RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_CIGPANNONIA = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_CIGPANNONIA = 0.419104614097*RAND_BUX - 0.174413738268*RAND_EUR_HUF -
0.00100954442193

Dependent Variable: RAND_CIGPANNONIA

Method: Least Squares
Date: 05/20/17 Time: 23:12
Sample (adjusted): 1 1457
Included observations: 1455 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.419105 0.048778 8.592123 0.0000

RAND_EUR_HUF -0.174414 0.114070 -1.529005 0.1265
C -0.001010 0.000559 -1.806531 0.0710

R-squared 0.065185 Mean dependent var -0.000919

Adjusted R-squared 0.063897 S.D. dependent var 0.022023
S.E. of regression 0.021308 Akaike info criterion -4.857427
Sum squared resid 0.659241 Schwarz criterion -4.846535
Log likelihood 3536.778 Hannan-Quinn criter. -4.853363
F-statistic 50.62401 Durbin-Watson stat 2.331777
Prob(F-statistic) 0.000000

ELMU – MODELUL NU E VALID

Estimation Command:
=========================
LS RAND_ELMU RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_ELMU = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_ELMU = 0.173262798839*RAND_BUX + 0.241647773049*RAND_EUR_HUF + 0.000785123270669

Dependent Variable: RAND_ELMU

Method: Least Squares
Date: 05/20/17 Time: 23:14
Sample (adjusted): 1 776
Included observations: 775 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.173263 0.092803 1.866999 0.0623

RAND_EUR_HUF 0.241648 0.237740 1.016437 0.3097
 C 0.000785 0.000989 0.793538 0.4277

R-squared 0.004869 Mean dependent var 0.000939

Adjusted R-squared 0.002291 S.D. dependent var 0.027487
S.E. of regression 0.027455 Akaike info criterion -4.348665
Sum squared resid 0.581921 Schwarz criterion -4.330654
Log likelihood 1688.108 Hannan-Quinn criter. -4.341736
F-statistic 1.888601 Durbin-Watson stat 2.400571
Prob(F-statistic) 0.151982

EMASZ – MODELUL NU E VALID

Estimation Command:
=========================
LS RAND_EMASZ RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_EMASZ = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_EMASZ = 0.0894733043339*RAND_BUX + 0.192650233567*RAND_EUR_HUF + 0.000718725350832

Dependent Variable: RAND_EMASZ

Method: Least Squares
Date: 05/20/17 Time: 23:16
Sample (adjusted): 1 864
Included observations: 863 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.089473 0.075247 1.189068 0.2347

RAND_EUR_HUF 0.192650 0.197829 0.973820 0.3304
C 0.000719 0.000799 0.899317 0.3687

R-squared 0.002166 Mean dependent var 0.000785

Adjusted R-squared -0.000155 S.D. dependent var 0.023427
S.E. of regression 0.023429 Akaike info criterion -4.666200
Sum squared resid 0.472076 Schwarz criterion -4.649652
Log likelihood 2016.465 Hannan-Quinn criter. -4.659866
F-statistic 0.933234 Durbin-Watson stat 2.107100
Prob(F-statistic) 0.393678

FHB

Null Hypothesis: RAND_FHB has a unit root

Exogenous: Constant
Lag Length: 6 (Automatic - based on t-statistic, lagpval=0.5, maxlag=7)

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -13.07058 0.0000
Test critical values: 1% level -3.434552
5% level -2.863283
10% level -2.567746

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_FHB)
Method: Least Squares
Date: 05/21/17 Time: 10:41
Sample (adjusted): 8 1490
Included observations: 1483 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_FHB(-1) -0.817363 0.062535 -13.07058 0.0000

D(RAND_FHB(-1)) -0.076584 0.058104 -1.318065 0.1877
D(RAND_FHB(-2)) -0.084827 0.053693 -1.579865 0.1144
D(RAND_FHB(-3)) -0.123088 0.048503 -2.537733 0.0113
D(RAND_FHB(-4)) -0.070738 0.041987 -1.684777 0.0922
D(RAND_FHB(-5)) -0.038694 0.034847 -1.110417 0.2670
D(RAND_FHB(-6)) -0.089155 0.025946 -3.436181 0.0006
C -0.000363 0.000558 -0.651289 0.5150

R-squared 0.457347 Mean dependent var 1.34E-05

Adjusted R-squared 0.454772 S.D. dependent var 0.029054
S.E. of regression 0.021453 Akaike info criterion -4.840481
Sum squared resid 0.678870 Schwarz criterion -4.811881
Log likelihood 3597.217 Hannan-Quinn criter. -4.829821
F-statistic 177.5896 Durbin-Watson stat 2.001050
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_FHB RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_FHB = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_FHB = 0.600828778143*RAND_BUX - 0.246733842577*RAND_EUR_HUF - 0.000617043518086

Dependent Variable: RAND_FHB

Method: Least Squares
Date: 05/20/17 Time: 23:18
Sample (adjusted): 1 1490
Included observations: 1487 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

 RAND_BUX 0.600829 0.045682 13.15240 0.0000
RAND_EUR_HUF -0.246734 0.106418 -2.318546 0.0206
C -0.000617 0.000521 -1.184100 0.2366

R-squared 0.137916 Mean dependent var -0.000464

Adjusted R-squared 0.136754 S.D. dependent var 0.021620
S.E. of regression 0.020087 Akaike info criterion -4.975440
Sum squared resid 0.598795 Schwarz criterion -4.964738
Log likelihood 3702.240 Hannan-Quinn criter. -4.971451
F-statistic 118.7052 Durbin-Watson stat 1.796351
Prob(F-statistic) 0.000000

GRAPHISOF – MODELUL NU E VALID

Estimation Command:
=========================
LS RAND_GRAPHISOFT RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_GRAPHISOFT = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_GRAPHISOFT = 0.0639098662509*RAND_BUX - 0.0277866883596*RAND_EUR_HUF +
0.00138644154391

Dependent Variable: RAND_GRAPHISOFT

Method: Least Squares
Date: 05/20/17 Time: 23:19
Sample (adjusted): 1 873
Included observations: 873 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.063910 0.049760 1.284352 0.1994

RAND_EUR_HUF -0.027787 0.129586 -0.214427 0.8303
C 0.001386 0.000523 2.648733 0.0082

R-squared 0.002266 Mean dependent var 0.001421

Adjusted R-squared -0.000028 S.D. dependent var 0.015448
S.E. of regression 0.015448 Akaike info criterion -5.499246
Sum squared resid 0.207617 Schwarz criterion -5.482848
Log likelihood 2403.421 Hannan-Quinn criter. -5.492973
F-statistic 0.987965 Durbin-Watson stat 2.630491
Prob(F-statistic) 0.372751

MAGYAR TELEKOM
Null Hypothesis: RAND_MAGYAR_TELEKOM has a unit root
Exogenous: Constant
Lag Length: 7 (Automatic - based on t-statistic, lagpval=0.5, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -13.96815 0.0000

Test critical values: 1% level -3.434543
5% level -2.863279
10% level -2.567744

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_MAGYAR_TELEKOM)
Method: Least Squares
Date: 05/21/17 Time: 10:42
Sample (adjusted): 9 1494
Included observations: 1486 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_MAGYAR_TELEKOM(-1) -1.050718 0.075222 -13.96815 0.0000

D(RAND_MAGYAR_TELEKOM(-
1)) 0.057294 0.070053 0.817872 0.4136
D(RAND_MAGYAR_TELEKOM(-
2)) 0.053640 0.064692 0.829159 0.4071
D(RAND_MAGYAR_TELEKOM(-
3)) 0.049223 0.058630 0.839544 0.4013
D(RAND_MAGYAR_TELEKOM(-
4)) 0.037143 0.052304 0.710125 0.4777
D(RAND_MAGYAR_TELEKOM(-
5)) 0.005263 0.045219 0.116398 0.9074
D(RAND_MAGYAR_TELEKOM(-
6)) 0.023884 0.036889 0.647456 0.5174
D(RAND_MAGYAR_TELEKOM(-
7)) 0.003316 0.026152 0.126792 0.8991
C -3.58E-05 0.000361 -0.099193 0.9210

R-squared 0.496384 Mean dependent var 3.29E-05

Adjusted R-squared 0.493656 S.D. dependent var 0.019543
S.E. of regression 0.013907 Akaike info criterion -5.706869
Sum squared resid 0.285642 Schwarz criterion -5.674746
Log likelihood 4249.203 Hannan-Quinn criter. -5.694896
F-statistic 181.9736 Durbin-Watson stat 1.993918
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_MAGYAR_TELEKOM RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_MAGYAR_TELEKOM = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_MAGYAR_TELEKOM = 0.530911217854*RAND_BUX + 0.0492300663083*RAND_EUR_HUF -
0.000182874037143

Dependent Variable: RAND_MAGYAR_TELEKOM

Method: Least Squares
Date: 05/20/17 Time: 23:20
Sample (adjusted): 1 1494
Included observations: 1491 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.530911 0.027809 19.09137 0.0000

RAND_EUR_HUF 0.049230 0.064849 0.759149 0.4479
C -0.000183 0.000317 -0.576204 0.5646

R-squared 0.218696 Mean dependent var -4.36E-05

Adjusted R-squared 0.217646 S.D. dependent var 0.013850
S.E. of regression 0.012251 Akaike info criterion -5.964440
Sum squared resid 0.223322 Schwarz criterion -5.953761
Log likelihood 4449.490 Hannan-Quinn criter. -5.960460
F-statistic 208.2547 Durbin-Watson stat 1.958470
Prob(F-statistic) 0.000000

MOL

Null Hypothesis: RAND_MOL has a unit root

Exogenous: Constant
Lag Length: 7 (Automatic - based on t-statistic, lagpval=0.5, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -13.72645 0.0000

Test critical values: 1% level -3.434543
5% level -2.863279
10% level -2.567744

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_MOL)
Method: Least Squares
Date: 05/21/17 Time: 10:42
Sample (adjusted): 9 1494
Included observations: 1486 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

 RAND_MOL(-1) -1.118803 0.081507 -13.72645 0.0000
D(RAND_MOL(-1)) 0.049222 0.076271 0.645354 0.5188
D(RAND_MOL(-2)) 0.017286 0.070390 0.245567 0.8061
D(RAND_MOL(-3)) -0.035639 0.063767 -0.558899 0.5763
D(RAND_MOL(-4)) -0.022490 0.056388 -0.398850 0.6901
D(RAND_MOL(-5)) -0.024179 0.047693 -0.506978 0.6122
D(RAND_MOL(-6)) -0.009144 0.038097 -0.240010 0.8104
D(RAND_MOL(-7)) 0.009896 0.026025 0.380263 0.7038
C -8.93E-06 0.000440 -0.020323 0.9838

R-squared 0.535426 Mean dependent var 3.76E-06

Adjusted R-squared 0.532910 S.D. dependent var 0.024794
S.E. of regression 0.016945 Akaike info criterion -5.311635
Sum squared resid 0.424102 Schwarz criterion -5.279512
Log likelihood 3955.545 Hannan-Quinn criter. -5.299663
F-statistic 212.7819 Durbin-Watson stat 1.999342
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_MOL RAND_BUX RAND_EUR_HUF RAND_OIL RAND_GAS C

Estimation Equation:
=========================
RAND_MOL = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)*RAND_OIL + C(4)*RAND_GAS + C(5)

Substituted Coefficients:
=========================
RAND_MOL = 1.09311506256*RAND_BUX + 0.0917171423692*RAND_EUR_HUF +
0.000776186053834*RAND_OIL + 0.00145012255881*RAND_GAS - 0.000286349081496

Dependent Variable: RAND_MOL

Method: Least Squares
Date: 05/20/17 Time: 23:22
Sample (adjusted): 1 1494
Included observations: 1491 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 1.093115 0.023954 45.63419 0.0000

RAND_EUR_HUF 0.091717 0.057679 1.590137 0.1120
RAND_OIL 0.000776 0.013879 0.055925 0.9554
RAND_GAS 0.001450 0.009956 0.145654 0.8842
C -0.000286 0.000272 -1.054683 0.2917

R-squared 0.619433 Mean dependent var 3.93E-07

Adjusted R-squared 0.618409 S.D. dependent var 0.016965
S.E. of regression 0.010480 Akaike info criterion -6.275431
Sum squared resid 0.163194 Schwarz criterion -6.257634
Log likelihood 4683.334 Hannan-Quinn criter. -6.268799
F-statistic 604.6760 Durbin-Watson stat 2.127650
Prob(F-statistic) 0.000000
OPTIMUS – MODELUL NU E VALID
Estimation Command:
=========================
LS RAND_OPTIMUS RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_OPTIMUS = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:

=========================
RAND_OPTIMUS = 0.263083039982*RAND_BUX - 0.0794258898114*RAND_EUR_HUF + 0.0001385504008

Dependent Variable: RAND_OPTIMUS

Method: Least Squares
Date: 05/20/17 Time: 23:27
Sample (adjusted): 1 915
Included observations: 914 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.263083 0.167010 1.575253 0.1155

RAND_EUR_HUF -0.079426 0.424542 -0.187086 0.8516
C 0.000139 0.001734 0.079881 0.9363

R-squared 0.003122 Mean dependent var 0.000252

Adjusted R-squared 0.000934 S.D. dependent var 0.052412
S.E. of regression 0.052387 Akaike info criterion -3.057031
Sum squared resid 2.500168 Schwarz criterion -3.041217
Log likelihood 1400.063 Hannan-Quinn criter. -3.050995
F-statistic 1.426661 Durbin-Watson stat 2.215674
Prob(F-statistic) 0.240645

OTP

Null Hypothesis: RAND_OTP has a unit root

Exogenous: Constant
Lag Length: 7 (Automatic - based on t-statistic, lagpval=0.5, maxlag=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -14.17501 0.0000

Test critical values: 1% level -3.434549
5% level -2.863282
10% level -2.567746

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_OTP)
Method: Least Squares
Date: 05/21/17 Time: 10:43
Sample (adjusted): 9 1492
Included observations: 1484 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

 RAND_OTP(-1) -1.102389 0.077770 -14.17501 0.0000
D(RAND_OTP(-1)) 0.150382 0.072163 2.083934 0.0373
D(RAND_OTP(-2)) 0.142199 0.065884 2.158316 0.0311
D(RAND_OTP(-3)) 0.035060 0.059152 0.592712 0.5535
D(RAND_OTP(-4)) 0.015589 0.051929 0.300193 0.7641
D(RAND_OTP(-5)) -0.019583 0.043837 -0.446725 0.6551
D(RAND_OTP(-6)) -0.036600 0.036002 -1.016620 0.3095
D(RAND_OTP(-7)) -0.013952 0.026068 -0.535196 0.5926
C 0.000368 0.000544 0.676718 0.4987

R-squared 0.481166 Mean dependent var 2.03E-05

Adjusted R-squared 0.478352 S.D. dependent var 0.029001
S.E. of regression 0.020946 Akaike info criterion -4.887705
Sum squared resid 0.647125 Schwarz criterion -4.855547
Log likelihood 3635.677 Hannan-Quinn criter. -4.875719
F-statistic 170.9889 Durbin-Watson stat 1.999819
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_OTP RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_OTP = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_OTP = 1.36266867329*RAND_BUX - 0.395680443921*RAND_EUR_HUF - 5.46787376704e-05

Dependent Variable: RAND_OTP

Method: Least Squares
Date: 05/20/17 Time: 23:29
Sample (adjusted): 1 1492
Included observations: 1489 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 1.362669 0.025532 53.37184 0.0000

RAND_EUR_HUF -0.395680 0.059464 -6.654062 0.0000
C -5.47E-05 0.000291 -0.187818 0.8510

R-squared 0.714872 Mean dependent var 0.000319

Adjusted R-squared 0.714488 S.D. dependent var 0.021016
S.E. of regression 0.011229 Akaike info criterion -6.138538
Sum squared resid 0.187386 Schwarz criterion -6.127848
Log likelihood 4573.142 Hannan-Quinn criter. -6.134554
F-statistic 1862.849 Durbin-Watson stat 2.013988
Prob(F-statistic) 0.000000

PANNERGY
Estimation Command:
=========================
LS RAND_PANNERGY RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_PANNERGY = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_PANNERGY = 0.207581178029*RAND_BUX - 0.0594401724905*RAND_EUR_HUF -
0.000518879811453

Dependent Variable: RAND_PANNERGY

Method: Least Squares
Date: 05/20/17 Time: 23:30
Sample (adjusted): 1 1494
Included observations: 1491 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.207581 0.040249 5.157472 0.0000

RAND_EUR_HUF -0.059440 0.093858 -0.633301 0.5266
C -0.000519 0.000459 -1.129600 0.2588

R-squared 0.022833 Mean dependent var -0.000467

Adjusted R-squared 0.021519 S.D. dependent var 0.017925
S.E. of regression 0.017731 Akaike info criterion -5.225004
Sum squared resid 0.467805 Schwarz criterion -5.214326
Log likelihood 3898.241 Hannan-Quinn criter. -5.221025
F-statistic 17.38452 Durbin-Watson stat 1.922765
Prob(F-statistic) 0.000000

Plotinus – modelul nu e valid

Estimation Command:
=========================
LS RAND_PLOTINUS RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_PLOTINUS = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_PLOTINUS = 0.0238593324918*RAND_BUX - 0.00618557976127*RAND_EUR_HUF +
0.00115019982583

Dependent Variable: RAND_PLOTINUS

Method: Least Squares
Date: 05/20/17 Time: 23:32
Sample (adjusted): 1 850
Included observations: 849 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.023859 0.044080 0.541272 0.5885

 RAND_EUR_HUF -0.006186 0.114517 -0.054015 0.9569
C 0.001150 0.000463 2.484120 0.0132

R-squared 0.000394 Mean dependent var 0.001161

Adjusted R-squared -0.001969 S.D. dependent var 0.013468
S.E. of regression 0.013481 Akaike info criterion -5.771562
Sum squared resid 0.153747 Schwarz criterion -5.754798
Log likelihood 2453.028 Hannan-Quinn criter. -5.765140
F-statistic 0.166812 Durbin-Watson stat 2.558895
Prob(F-statistic) 0.846387

RABA
Estimation Command:
=========================
LS RAND_RABA RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_RABA = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_RABA = 0.357460187797*RAND_BUX - 0.0831078254848*RAND_EUR_HUF + 0.000164143401247

Dependent Variable: RAND_RABA

Method: Least Squares
Date: 05/20/17 Time: 23:33
Sample (adjusted): 1 1477
Included observations: 1474 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.357460 0.037784 9.460548 0.0000

RAND_EUR_HUF -0.083108 0.087811 -0.946439 0.3441
C 0.000164 0.000429 0.382239 0.7023

R-squared 0.072816 Mean dependent var 0.000262

Adjusted R-squared 0.071556 S.D. dependent var 0.017102
S.E. of regression 0.016479 Akaike info criterion -5.371452
Sum squared resid 0.399451 Schwarz criterion -5.360674
Log likelihood 3961.760 Hannan-Quinn criter. -5.367434
F-statistic 57.76253 Durbin-Watson stat 1.928316
Prob(F-statistic) 0.000000

RICHTER

Null Hypothesis: RAND_RICHTER has a unit root

Exogenous: Constant
Lag Length: 7 (Automatic - based on t-statistic, lagpval=0.5, maxlag=7)

t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -14.55870 0.0000
Test critical values: 1% level -3.434543
5% level -2.863279
10% level -2.567744

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_RICHTER)
Method: Least Squares
Date: 05/21/17 Time: 10:43
Sample (adjusted): 9 1494
Included observations: 1486 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_RICHTER(-1) -1.581656 0.108640 -14.55870 0.0000

D(RAND_RICHTER(-1)) 0.203444 0.101672 2.000980 0.0456
D(RAND_RICHTER(-2)) 0.063803 0.093010 0.685972 0.4928
D(RAND_RICHTER(-3)) 0.007727 0.083196 0.092879 0.9260
D(RAND_RICHTER(-4)) -0.012721 0.072114 -0.176397 0.8600
D(RAND_RICHTER(-5)) -0.017750 0.059355 -0.299048 0.7649
D(RAND_RICHTER(-6)) -0.009586 0.044308 -0.216340 0.8288
D(RAND_RICHTER(-7)) -0.000328 0.026021 -0.012588 0.9900
C -0.002062 0.002558 -0.806230 0.4202

R-squared 0.671637 Mean dependent var -5.92E-06

Adjusted R-squared 0.669858 S.D. dependent var 0.171358
S.E. of regression 0.098459 Akaike info criterion -1.792314
Sum squared resid 14.31831 Schwarz criterion -1.760191
Log likelihood 1340.689 Hannan-Quinn criter. -1.780341
F-statistic 377.6337 Durbin-Watson stat 1.999994
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_RICHTER RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_RICHTER = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_RICHTER = 1.409367285*RAND_BUX + 0.919330762913*RAND_EUR_HUF - 0.00325215650383

Dependent Variable: RAND_RICHTER

Method: Least Squares
Date: 05/20/17 Time: 23:34
Sample (adjusted): 1 1494
Included observations: 1491 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 1.409367 0.191612 7.355328 0.0000

RAND_EUR_HUF 0.919331 0.446828 2.057459 0.0398
 C -0.003252 0.002187 -1.487162 0.1372

R-squared 0.035549 Mean dependent var -0.002855

Adjusted R-squared 0.034253 S.D. dependent var 0.085896
S.E. of regression 0.084412 Akaike info criterion -2.104214
Sum squared resid 10.60247 Schwarz criterion -2.093535
Log likelihood 1571.691 Hannan-Quinn criter. -2.100234
F-statistic 27.42367 Durbin-Watson stat 1.539421
Prob(F-statistic) 0.000000

ZWACK – MODELUL NU ESTE VALID

Estimation Command:
=========================
LS RAND_ZWACK RAND_BUX RAND_EUR_HUF C

Estimation Equation:
=========================
RAND_ZWACK = C(1)*RAND_BUX + C(2)*RAND_EUR_HUF + C(3)

Substituted Coefficients:
=========================
RAND_ZWACK = 0.0446057609107*RAND_BUX - 0.0432822107096*RAND_EUR_HUF + 0.000389615893641

Dependent Variable: RAND_ZWACK

Method: Least Squares
Date: 05/20/17 Time: 23:35
Sample (adjusted): 1 894
Included observations: 893 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_BUX 0.044606 0.041209 1.082421 0.2794

RAND_EUR_HUF -0.043282 0.107049 -0.404321 0.6861
C 0.000390 0.000436 0.894389 0.3714

R-squared 0.001862 Mean dependent var 0.000405

Adjusted R-squared -0.000381 S.D. dependent var 0.013004
S.E. of regression 0.013006 Akaike info criterion -5.843392
Sum squared resid 0.150559 Schwarz criterion -5.827285
Log likelihood 2612.074 Hannan-Quinn criter. -5.837236
F-statistic 0.830113 Durbin-Watson stat 2.484970
Prob(F-statistic) 0.436337