%let y = Spread; %let lead=100; %let adf=4; %let adf1=3; * Close use 2 1, Volume 4 3; title "Amazon.com &y"; options macrogen symbolgen; proc greplay nofs; igout=work.gseg; delete _all_; ** clear out the existing graphics catalog ***; goptions reset=all; axis1 label=(angle=90 font=centb h=1.5); axis2 offset = (4,4 label=(font=centb h=1.5); goptions htitle=1.5 htext=1 ftext=centb; title "Amazon.com &y"; data amazon; input date open high low close volume; /** Data from internet, Yahoo site ****/ ; open=log(open); close=log(close); high=log(high); low=log(low); volume=log(volume); spread=high-low; format date date7.; label close = "ln(Closing Price)"; label spread = "ln(High/Low) = ln(Spread)"; cards; 14389 117.25 121.125 111.375 111.5625 7755100 14388 128.625 129.375 116 117.5 7126900 14385 130.75 132 125.75 128.5625 4002800 14384 136.75 138 130.5 130.8125 3447000 14383 133.9375 139.625 133.5 139.5625 6309600 14382 136.4375 137.5 130.9375 132.625 6203900 14381 130 138 121.5 137.625 10429100 14378 133.125 134.75 129.8125 132.375 5633400 14377 144.375 147.875 136 136 5749500 14376 148.0625 148.625 141.5 142.9375 3663700 14375 150.6875 153.875 144 148.375 6970700 14374 136.625 147 134 146.875 7120600 14371 140.75 144 131 136.375 8327000 14370 148 151 135.75 137.375 9142200 14369 143.875 148.25 133.875 146.5 13854900 14368 152.625 160.5 140.5 143 10848200 14367 166.875 167.062 150.125 150.938 13093200 14364 177 180 165 172.062 8888200 14363 172.438 181.75 165 168.25 21104200 14362 200 202 182.375 193.5 9736900 14361 217 221.25 202 205.875 8947700 14360 209 215.875 204 207.188 6992500 14357 192.875 216.5 191.75 210.125 15858400 14356 184.312 191 177.938 190.062 6269100 14355 172.375 182 169 179.25 5541000 14354 157.312 174.312 153.5 172 10002500 14353 189 189 155 158.938 14184900 14350 183.875 191.5 180.688 190 15830100 14349 165.875 170.5 151 167.25 8249200 14348 182 184.5 166.625 168 4976400 14347 186.75 192 178.25 178.375 4019400 14346 176.125 188.25 176 184.438 4284600 14343 178.125 186 175.75 182.875 3419500 14342 174.812 184.125 166 179 5743900 14341 186.625 187.312 171.25 175.812 6583300 14340 184.5 195.75 179.5 182.875 7265900 14339 172.625 187.5 171.75 186.5 7958400 14335 179.375 180.125 167.5 171 5786600 14334 171.25 178 165.125 172.188 11047100 14333 152 169.5 151.531 164.688 13088700 14332 150 151.5 148 149.625 9444000 14329 140 147.75 137.375 139.062 12461000 14328 128.938 140 128.188 139.875 8049900 14327 117.188 124 114 123.688 5771900 14326 128.625 129.875 118 119.375 5608400 14325 133.188 136.5 130.5 132 3299200 14322 141.875 143.062 135 135.062 5362600 14321 132.875 140 132.375 138.438 6150100 14320 131.312 133.5 128.25 131 3933700 14319 139 140.375 132.75 133.812 3767200 14318 133 139 131 138.938 3510400 14315 134 135.375 128.625 133.312 4666300 14314 139.75 142.75 131 134.875 8126100 14313 136.75 138.938 134 137.125 7058800 14312 125.125 133.25 123.438 129.938 8146000 14311 121.438 126.438 119.25 122.188 5231300 14308 123.938 124.5 118.375 121.5 6088100 14307 125.5 127 115.875 120.125 8943700 14306 123.75 127.5 120.25 123.5 7764400 14305 134.438 135.75 121.062 121.312 8301600 14304 127 136.062 124 133 9684500 14301 126.75 130 121 128.125 12682700 14300 116.625 125.625 114.625 125 18344900 14299 117.625 122.188 110.25 110.938 12393200 14298 110.125 117 109.5 115.188 10569600 14297 101.75 109.625 98 106.5 9606100 14294 94.375 102.5 91 101.875 13459100 14293 96.5 96.5 84.25 89.5 10781300 14292 98.4375 102.062 92.5 93.5 4834300 14291 106.875 108.5 97 98.625 3889900 14287 108 109.875 103.625 104.5 3882700 14286 100.5 110.188 99.5 109.875 6896500 14285 98.25 103.375 95 97.4375 6602500 14284 107.938 108 99.9375 100 6413000 14283 114.375 115.125 105.75 109.125 6299100 14280 117 122.875 112.312 115.875 4283000 14279 125.25 126.75 116.25 118 5824800 14278 109 126 108.5 125.75 9395500 14277 116.375 116.438 108.5 110.25 6524300 14276 117.75 122.312 115 115.875 6390500 14273 121.625 121.625 115 116.938 8198000 14272 126.438 128.75 120.25 122.875 11875300 14271 134.125 139.75 120 125.625 17511300 14270 112.625 121.25 110.625 115.094 12267400 14269 121.5 123.375 110 112.375 13661900 14266 99.5 125.875 98.75 123 21882900 14265 104.5 110.375 92.5625 106 23524100 14264 135.062 137 109.75 113 15267600 14263 150.5 150.5 136.25 139.812 5702700 14259 140 150.062 137.625 140.375 10066300 14258 150 159.25 136 138 10456200 14257 125 163.5 125 148 14938200 14256 180.5 182 159 163.375 12221600 14255 184 185 167.625 184.625 19461500 14252 184.25 199.125 152 160.25 33331100 14251 137.125 160.25 133 158.875 23637300 14250 136.375 140.375 134 138 18088300 14249 109.562 129.75 106.5 124.5 31436600 14248 109.229 118.667 106.625 118.312 6548700 14244 105.75 110.333 105.375 107.083 3049700 14243 111 114.417 101.292 107.083 5430600 14242 116.667 116.708 109.5 110.771 4101300 14241 110.333 120.625 108.333 117.312 4983100 14237 107.417 109 106.333 108.271 902300 14236 109.333 110 106.375 108.333 2427300 14235 108.979 109.667 102.875 107.458 5293400 14234 101.167 107.25 100 106.25 5564000 14231 94.3333 96.3333 92.625 95.5625 3825300 14230 88 97.1667 86.8542 92.25 11272500 14229 86.375 100.583 86.3333 96.3333 16966200 14228 75.6667 81 75.1667 80.9167 6335900 14227 73.7083 76.6667 72.6667 74.0833 6458500 14224 70.0208 74.6667 70 74.3333 4244600 14223 72.5417 74.6667 69.875 71.0417 5060300 14222 68.4583 74.7708 67.3333 72.0833 7751100 14221 63.2083 68.625 62.8333 68.0208 4258300 14220 64.3333 64.6667 61.7083 63.6667 2629000 14217 65.1667 65.6667 60.8333 62.8333 3709600 14216 66.375 68.1667 61.6667 63.1667 3639400 14215 68.9792 69.1667 65.8542 66.5 4941500 14214 61.8333 69.9167 60.6667 69.8333 7859100 14213 73.2083 73.4167 63.9167 64 4958700 14210 72.4167 72.6667 71 72.2083 1597800 14208 72.1667 74.5 68.3333 70.1042 4587100 14207 74.6667 77.7083 68.3333 71.5 13612600 14206 63.625 72.8333 62.0208 72.6667 11296900 14203 58.3333 60.5833 55 60.2083 11152100 14202 57 58.5 51 51.0833 6482600 14201 50.5417 56.875 50.5 54.6667 9855600 14200 43.125 51.4167 42.8333 49.5 10190300 14199 42.8333 43.2917 41.1667 42.0833 1982900 14196 43.9792 44.5 41.9062 42.5833 1490100 14195 41.8333 44.2917 41.6667 43.6667 1995800 14194 44.5417 44.75 41.75 42.2083 2743900 14193 42.75 46.6667 42.7083 43.9167 5729300 14192 40.625 42.4792 40.25 42.2917 3640600 14189 42 42.75 41.3333 41.5208 3149000 14188 42.5625 43.375 42.0833 42.8333 2455400 14187 43.7917 44 42.2083 43.2708 3397200 14186 43.7083 44.3542 41.9167 42.0208 3064700 14185 42.7083 43.8125 41.5 43.6667 5249000 14182 42.2083 43.2708 41.5417 42.1458 3530400 14181 40.4375 42.4167 39.6667 42.1667 5488700 14180 38.9792 39.8333 38.0833 39.0208 3315300 14179 41.375 42 38.6875 38.7708 3360700 14178 39.7083 40.625 38.9167 40.4792 3252800 14175 38.1667 39.4375 38.0417 38.7083 2270800 14174 35.875 39.2917 35.7917 38.2292 4449200 14173 36.4792 36.75 35.2083 36.6667 2103000 14172 36.25 37.5 35.5417 35.5833 3194600 14171 33 35.625 33 35.25 2780200 14168 32.875 33.9792 32.3333 33.1458 3567500 14167 31.4167 32.625 30.8333 32.3542 2828500 14166 30.3542 32.5417 29.9167 31.1667 2598400 14165 30.6042 31.7917 30.2083 30.4583 1780900 14164 32.375 33.6667 31 31.0625 3636200 14161 30.0833 30.625 27.9167 30.3958 3454500 14160 27.625 29.3333 26.6667 28.7292 5064100 14159 34.2083 34.9167 30.4167 31.1458 7139000 14158 37.1667 37.4167 34.6667 36.1042 4695300 14157 36.2917 37 33.6667 34.901 4082700 14154 35.1042 37.2917 33.6667 36.75 5749300 14153 36 37 33.3333 34.2083 5732000 14152 37.1667 38.5 36.2708 37.2083 4905100 14151 39.0833 39.8542 37.1667 37.7083 6389300 14150 38.7917 40 37.2917 38.5417 6434100 14147 32.8333 36.875 32.8333 36.4167 6099800 14146 35.7083 38.9583 33.8333 34.0417 8520700 14145 30.2708 35.1667 30 35.0417 7597300 14144 29.4167 30.5 29.2083 29.3958 5050900 14143 25.3333 28.9583 25.3333 28.5 3961200 14140 25.9167 27.0625 25.8958 26.5625 2790400 14139 26.8125 27.8333 25.5 25.6667 7076300 14138 24.75 28.6458 23.8333 28.1667 6519800 14137 23.6042 24.9167 23.4583 24.3333 2871400 14136 26.7917 26.8333 24.5 24.5625 2510000 14133 26.125 26.9583 24.5 25.3542 3935400 14132 26.4583 26.8333 25.0833 26.5417 5328300 14131 29.8333 30.7917 27.7917 28.1667 2982700 14130 31.3333 31.5833 30 30.75 3656100 14126 28.8958 30 27.3333 28.75 2968700 14125 27.875 30.0833 26.9167 28.625 4245200 14124 27.7083 32 27.3333 29.2917 7888100 14123 25.375 28.875 21.6667 26.651 11241800 14122 35.1458 35.875 27.7083 27.9167 6833400 14119 39.9167 40.2917 34.4167 35.2969 6506000 14118 41.4583 41.6667 39.6667 39.6667 2671200 14117 43.25 43.4167 42.2708 42.4167 2731800 14116 45.8125 45.8333 43.5833 43.875 2391900 14115 43.4167 45 43.375 44.9167 2324900 14112 42.4167 43.4271 41.0833 43.2292 2522700 14111 42.0833 43.25 41.8333 43.0417 2647700 14110 43.75 44.5833 42.3333 42.9167 3213600 14109 40.3958 43.0417 39.7083 42.8958 3000100 14108 40.25 41.0625 39.5 39.8958 2436300 14105 43.5625 43.5833 40.0833 40.9167 3235000 14104 43.5417 45 42.3333 42.5 4104900 14103 42.25 43.8333 41.3542 43.4583 3356800 14102 38.5 42.2917 38.4167 41.3333 4693100 14101 39 40.625 38.3333 40.5417 3086000 14098 37.0833 39.625 36.4583 38.6667 3905500 14097 34.7917 37.5 34.3542 36.5 3100600 14096 37.6042 37.7083 33.3333 35.3958 3843400 14095 36.7083 38.0417 36.0417 36.625 4677500 14094 36.5833 37.1667 35.75 36.0833 2152200 14091 38.1667 38.375 36.375 36.9583 2240100 14090 37.25 38.3333 35.1667 37.9167 5295700 14089 40.1667 40.5 35.8333 35.9375 3274100 14088 41.4792 42 39.3333 39.6458 3457800 14087 39.7083 42.4583 38.5417 41.8542 4805100 14084 43.0833 43.8333 39 41.4167 4829000 14083 43.3333 46.1667 42.3333 42.5417 4635100 14082 44.6667 46.625 43.5 44.6667 4662400 14081 45.75 49 42.6667 44.0208 7888000 14080 40.375 46.7083 39.9167 45.8333 5987500 14077 37.4583 40.1667 37.2917 39.9375 2971000 14076 37.8125 38.3333 36.1667 37.7917 2333200 14075 38.6667 39.125 36.5833 37.5 2935000 14074 36.1667 38.5833 35.6667 38.3333 4226400 14073 32.1667 36 31.4167 35.875 3208000 14070 34.3333 35.2917 32.7083 33.1667 4163700 14069 36.875 38.8333 35 35.1667 4915500 14068 37.2917 39.6667 34.125 35.7083 9718600 14067 47.6667 47.9167 40.3333 40.7083 7875300 14066 42.4583 46.9167 41.8333 46.5 7813900 14062 38.5833 41.8333 37.5 41.3333 8713300 14061 33.9375 38.1667 33.5833 38.0417 4709100 14060 32.6042 33.8333 32.25 33.25 3646200 14059 31.5833 33.2083 31.5833 32.9167 4084600 14056 32.5 33.4167 31.25 31.4167 5191600 14055 33.3333 34.9167 32 33.0208 9077500 14054 31.6667 33.5833 29.7083 33.2708 9784100 14053 27.0208 30.9167 26.8333 30.8958 6243900 14052 24.9167 27.4583 24.0833 27.125 6053000 14049 23.6875 25.4167 22.6667 25.2708 6113100 14048 27 27.5 23.9167 24.0417 5273300 14047 25.2917 27.0625 25.125 26.3333 6710900 14046 22.25 24.5833 22.1667 24.5417 6527900 14045 19.8333 22.8333 19.7083 21.9167 5616900 14042 21.1667 21.1667 19.4167 20.3333 3609300 14041 18.4167 20.875 18.3333 20.8333 5975200 14040 17.2083 18.75 17 18.0417 4047500 14039 15.4792 17.2917 15.4167 17.0833 3239400 14038 14.6042 15.4375 14.5 15.4167 910500 14035 14.5833 14.7917 14.375 14.75 571200 14034 14.3125 14.6458 13.75 14.625 832600 14033 14.9583 15.0833 14 14.0833 1096900 14032 14.5417 14.8333 13.8333 14.5625 1366900 14031 14.6667 14.75 13.8854 14.2708 670300 14028 14.3125 14.8333 14.25 14.6875 720100 14027 14.5417 14.625 14.2083 14.3229 784400 14026 13.3958 14.5625 13.2917 14.4375 1936200 14021 14.7292 14.7708 14.25 14.3333 488500 14020 14.9167 15 14.5521 14.7917 283600 14019 15.0625 15.25 14.7083 14.7708 337400 14018 14.9375 15.1042 14.875 15.0625 285300 14017 15 15.1042 14.4583 14.6771 551500 14014 15.3125 15.4167 14.9167 14.9375 385700 14013 15.3333 15.7708 15.1667 15.2604 716700 14012 15.0833 15.6667 14.9583 15.4792 1162000 14011 14.625 15.3229 14.4375 15.2292 969700 14010 15.4896 15.5 14.4167 14.4792 947700 14007 15.2083 15.4583 14.9167 15.3958 399400 14006 15.1667 15.5 14.7083 15.1667 1157300 14005 15.6667 15.6667 15.0208 15.0625 619900 14004 15.6667 15.9167 15.5208 15.6198 499900 14003 15.8333 15.9792 15.5625 15.875 644600 14000 15.4583 15.8542 15.0833 15.75 775600 13999 16.25 16.3333 15.0833 15.2917 1873800 13998 16.2083 16.4375 15.6042 15.9167 2638100 13997 15.4792 16.5833 14.8438 15.9375 5799500 13996 13.8958 14.1042 12.8542 13.7917 1573800 13993 13.6667 14.625 13.5833 14.1458 1398800 13992 14.5 14.5 13.4167 13.5 1021100 13991 15.5417 15.6042 14.5 14.5417 941800 13990 15.875 15.8958 15.1875 15.5104 696200 13989 15.8958 16.5833 15.625 15.7083 748300 13986 15.9688 16.2083 15.75 15.8125 586300 13985 16.0208 16.5521 15.5312 16.4167 1353700 13984 16.3333 16.6667 15.75 16.0208 932700 13983 15.6458 16.6458 15.5417 16.1979 1360300 13982 15.8125 16.0417 15.3333 15.7188 915000 13978 15.3958 16 15.2708 15.875 1336200 13977 14.3958 14.9583 14.25 14.7708 942900 13976 14.5 14.5417 14.125 14.3333 969500 13975 15.7083 15.7917 14.7083 14.7708 918700 13972 16.0417 16.0625 15.375 15.5 974500 13971 15.1875 16.125 14.9583 15.8438 1386900 13970 14.2083 15.0625 14.0052 15.0208 1204300 13969 14.2292 14.4167 13.9583 14.2552 547100 13968 14.3125 14.5833 14.1875 14.3125 458400 13965 14.0417 14.5208 13.7917 14.1667 637200 13964 13.625 13.9583 13.25 13.7917 656500 13963 14.1667 14.2917 13.5 13.6146 940800 13962 13.75 14.4583 13.75 14.0417 473400 13961 13.9271 14.125 13.7917 13.9688 250400 13958 14 14.1458 13.8542 14 534400 13957 14.2292 14.5833 13.9583 14 1009600 13956 13.2083 14.2917 13.2083 14.2188 1138300 13955 13.2917 13.375 12.9792 13.3125 258400 13954 13.2604 13.4583 13.1667 13.1667 276000 13951 13.2708 13.4792 12.9583 13.1146 543600 13950 13.125 13.5208 12.8542 13.0833 816600 13949 13.6667 13.75 13.0417 13.2708 1029100 13948 14.25 14.7083 13.8125 13.8516 2062500 13947 12.8125 14.2917 12.7917 13.9167 1921300 13944 12.6042 12.8333 12.2917 12.7917 490600 13943 11.9583 13.0312 11.875 12.5 1000100 13942 12 12.375 11.6667 12.2396 609500 13941 12.5833 12.625 11.9167 11.9583 668000 13940 12.6458 12.875 12.5 12.7083 913100 13937 12.0417 13.2708 11.9688 12.8333 2058900 13936 10.9271 12.1667 10.875 12.125 1281100 13935 10.9375 11.0833 10.5208 10.9792 562100 13934 10.8333 11.3542 10.7083 10.8125 1162100 13933 10.5833 10.8333 10.4167 10.8125 331500 13930 10.4583 10.5833 10.2292 10.5417 225300 13929 10.2188 10.5833 10.1667 10.4583 369700 13928 10.2917 10.2917 10.1042 10.1458 247600 13927 10.4375 10.4375 10.1458 10.2917 198000 13923 10.5 10.5417 10.2917 10.375 701700 13922 10.5417 10.6042 10.375 10.5208 253000 13921 10.5833 10.9271 10.5625 10.5833 539500 13920 9.75 10.6354 9.6667 10.6042 1024700 13919 9.8333 9.9167 9.5417 9.7083 218900 13916 9.8542 10.0417 9.75 9.8125 176900 13915 10.2292 10.2292 9.75 9.875 486000 13914 10.125 10.375 10.1042 10.125 102900 13913 10.375 10.5 10.1875 10.3021 369100 13912 9.8958 10.4167 9.875 10.3958 576100 13909 10 10.125 9.7708 9.8333 310200 13908 9.5833 9.9792 9.5625 9.9167 403000 13907 9.5 9.6667 9.25 9.5417 441100 13906 9.6354 9.7292 9.3333 9.5 342000 13905 9.9583 9.9792 9.4792 9.625 392700 13902 10.6875 10.6875 9.875 9.875 759900 13901 10.1458 10.5417 10.0417 10.2708 789300 13900 9.875 10.3333 9.75 10.1458 728200 13899 9.6458 10.0208 9.625 9.9062 455600 13895 9.9167 9.9583 9.5417 9.5833 213600 13894 9.5833 10.0208 9.5833 9.9062 501200 13893 9.3125 9.75 9.25 9.75 708800 13892 8.6875 9.3333 8.6458 9.2917 610100 13891 8.3333 8.7708 8.2917 8.6042 616800 13888 9.3333 9.3333 8.4583 8.5208 553600 13887 9.3958 9.4062 9.0625 9.2292 501300 13886 9.6667 9.6667 9.3854 9.5625 227100 13885 9.3958 9.75 9.3333 9.6771 347900 13884 9.7708 9.875 9.4167 9.5 299200 13881 10 10 9.5938 9.9167 138400 13879 9.75 10.0833 9.6875 10.0417 370500 13878 9.6667 9.8125 9.5625 9.6979 523800 13877 9.1667 9.5625 9.0625 9.5 212700 13874 9.125 9.2917 8.9792 9.0417 40600 13872 9.25 9.4167 8.9375 9.2083 194700 13871 9.375 9.4792 9.25 9.25 98100 13870 9 9.5625 8.8646 9.3958 362700 13867 8.4583 9.0417 8.3333 9 396100 13866 8.7083 8.8542 8.4583 8.5833 267000 13865 8.75 8.9167 8.5104 8.7812 511700 13864 9.2917 9.2917 8.9167 8.9167 140600 13863 9.1667 9.3333 8.8125 9.1667 141200 13860 9.2917 9.6042 8.8125 9.0833 222700 13859 8.7917 9.6667 8.7917 9.375 417900 13858 9.1667 9.25 8.7917 9.0208 120400 13857 9.3333 9.5417 9.2083 9.375 111000 13856 9.0833 9.5417 9.0417 9.4167 397200 13853 8.875 9.1875 8.7083 9.1875 221800 13852 8.8021 9.1042 8.7708 9 253200 13851 8.3958 8.75 8.375 8.7292 107500 13850 8.5208 8.6042 8.3542 8.4688 105200 13849 8.4792 8.75 8.2708 8.5417 198600 13846 8.5417 8.6667 8.2292 8.25 133600 13844 8.4792 8.8229 8.4792 8.5208 135900 13843 8.4792 8.6667 8.0833 8.4062 275400 13842 8.75 8.8333 8.4583 8.4583 168300 13839 9.1042 9.1667 8.9792 8.9792 216900 13838 9.1458 9.2083 9.0208 9.1667 493600 13837 8.8125 9.0417 8.625 9.0208 211200 13836 8.75 8.9583 8.6875 8.8333 155500 13835 8.4583 9.0833 8.4375 8.75 616200 13832 7.875 8.4167 7.5625 8.3333 489100 13831 7.8958 7.9375 7.5417 7.7188 357500 13830 7.5521 8.375 7.3333 7.5417 723600 13829 8.4896 8.625 7.8333 7.8958 359400 13828 9 9.125 8.4167 8.4167 230400 13825 8.8333 9.2812 8.7708 8.9583 218900 13824 9.8333 9.8333 9.2708 9.3229 242800 13823 9.9583 10.2396 9.75 9.75 257800 13822 10 10.1042 9.6458 9.9167 197100 13821 10.4375 10.4375 9.8958 10.1458 166600 13818 10.7292 10.9167 9.9375 10.1667 418900 13817 10.4167 10.7083 10.0833 10.25 397500 13816 10.2917 11 10 10.7812 593900 13815 7.8333 10 7.75 9.8958 976600 13814 9.6042 10.0208 8.4583 8.5417 507600 13811 9.5 10.125 9.0833 10.0521 791000 13810 8.4583 9.125 8.375 9 471400 13809 8.8333 9.2396 8.75 9.0417 434000 13808 7.9167 8.875 7.7083 8.8542 1008000 13807 7.3542 7.75 7.3333 7.6458 409400 13804 7.2292 7.3125 7.0417 7.25 211200 13803 7.9583 7.9583 7.2083 7.25 290100 13802 7.9375 7.9375 7.5417 7.8438 196300 13801 8.125 8.2083 7.6667 7.9583 128900 13800 7.8542 8.0833 7.8542 8 67900 13797 7.4583 8.125 7.3333 7.8021 315600 13796 8 8.0417 7.4792 7.5 329200 13795 8.2917 8.3333 7.9688 8.0104 233900 13794 8.1667 8.375 8.0833 8.1146 145200 13793 8 8.25 7.8854 8.25 169000 13790 8.1667 8.25 7.9583 8.0312 97000 13789 8.0833 8.3542 7.9792 8.0208 156400 13788 8.875 9 7.875 8.0417 416600 13787 8 8.6979 7.6042 8.6771 437900 13786 8.2917 8.375 7.9167 8.0833 197600 13783 8.1458 8.5208 8.1042 8.3333 227600 13782 8.6875 8.7083 8.1042 8.1562 414000 13781 9.2917 9.625 8.5833 8.75 683400 13780 8.9792 9.2917 8.7917 9.25 640200 13779 8 9.3542 7.8958 9 1411500 13776 6.7604 8.1667 6.75 7.8958 744100 13775 6.875 6.9375 6.5625 6.5833 177400 13774 6.9167 7 6.6667 6.8125 217300 13773 6.25 7.0833 6.2396 6.7083 536000 13772 7.3333 7.3542 6.1042 6.1875 465300 13769 6.375 7.3958 6.3125 7.375 277800 13768 6.6667 6.6667 6.0833 6.3125 355200 13767 6.625 6.6562 6.25 6.6042 322200 13766 6.2812 6.7708 6.0521 6.4792 747600 13765 5.0625 6.0417 5 6 470700 13762 5.1667 5.3333 4.9167 5 159000 13761 4.7292 5.1042 4.6875 5.1042 279000 13760 4.6875 4.8333 4.625 4.6667 163700 13759 4.6875 4.75 4.6667 4.7083 61000 13755 4.7292 4.75 4.6458 4.6771 60200 13754 4.6042 4.7917 4.5625 4.75 95600 13753 4.6146 4.6458 4.5 4.6354 116000 13752 4.4792 4.7083 4.4583 4.6875 214500 13751 4.2083 4.5208 4.2083 4.4375 93900 13748 4.2083 4.25 4.1875 4.25 59400 13747 4.2708 4.3438 4.1458 4.2292 52000 13746 4.375 4.375 4.1458 4.3333 83300 13745 4.1875 4.4167 4.1042 4.3333 83600 13744 4.1042 4.1042 3.9375 4.0833 148700 13741 4.2708 4.3125 3.875 4.2292 133100 13740 4.3542 4.5 4.2396 4.3125 86800 13739 4.4583 4.4583 4.3333 4.3958 49200 13738 4.5625 4.6042 4.3958 4.3958 47600 13737 4.5833 4.6667 4.5 4.6562 103300 13734 4.3333 4.6042 4.2083 4.5833 184300 13733 4.5 4.5208 4.25 4.3542 169500 13732 4.4167 4.625 4.375 4.5 103600 13731 4.6667 4.6667 4.2917 4.4167 252700 13730 4.75 4.8229 4.6042 4.625 222600 13727 4.6875 4.8333 4.5 4.8333 299000 13726 4.875 4.875 4.6667 4.7917 121200 13725 5 5.0104 4.8542 4.8958 209800 13724 4.7292 5 4.6667 4.9583 401200 13723 4.4583 4.7917 4.4375 4.6458 214500 13720 4.4375 4.5 4.4375 4.4583 51700 13719 4.6042 4.625 4.4375 4.5208 101400 13718 4.375 4.6667 4.3542 4.5833 271600 13717 4.3333 4.375 4.125 4.2708 130300 13716 4.3542 4.3958 4.2917 4.3646 47900 13713 4.375 4.4375 4.3125 4.3125 65000 13712 4.6875 4.6875 4.3125 4.4375 264100 13711 4.8958 4.9896 4.6042 4.6667 252000 13710 4.2708 4.9583 4.2708 4.875 772900 13709 4.6458 4.6667 4.2292 4.2708 383700 13706 5.0417 5.0417 4.4167 4.5833 877600 13705 4.6667 5.1458 4.6667 5.125 754300 13704 4.6042 4.7708 4.5417 4.6458 688500 13703 4.0833 4.6667 4.0833 4.6042 1293100 13702 3.6667 4.0417 3.6667 4 671100 13698 3.1979 3.8333 3.1875 3.8229 1048100 13697 3.0312 3.1875 3.0208 3.1771 323500 13696 3.0833 3.0833 3.0208 3.0312 107700 13695 3.0208 3.1979 2.9583 3.0833 228900 13692 3.0312 3.0312 2.9583 2.9792 99000 13691 3.0417 3.0417 3.0104 3.0208 265800 13690 3.0521 3.0521 2.9792 3.0208 175500 13689 3.0104 3.0521 2.9583 3.0208 62600 13688 3.0833 3.0833 2.9583 3 87300 13685 3.0625 3.1042 3 3.0521 282300 13684 3.0208 3.0625 3 3.0208 83600 13683 3.0417 3.0729 3 3.0208 205400 13682 3.1979 3.1979 2.9896 3.0104 392200 13681 3.2083 3.2083 3.125 3.1458 76100 13678 3.25 3.25 3.1667 3.1667 57800 13677 3.1667 3.2917 3.1042 3.2083 136000 13676 3.1875 3.2083 3.0625 3.0833 99000 13675 3.4167 3.4167 3.0625 3.1667 454900 13674 3.3125 3.4167 3.3125 3.375 196000 13671 3.0312 3.4167 3.0208 3.3125 650600 13670 2.8333 3.0833 2.75 3.0833 472700 13669 2.9583 2.9792 2.7917 2.8333 256700 13668 3.0625 3.0625 2.9583 2.9583 98600 13667 3.0208 3.0625 3 3.0208 49300 13664 3 3.0208 2.9583 3 216200 13663 3.0833 3.0833 2.9583 3.0104 289400 13662 3.25 3.2708 3.0625 3.0625 381200 13661 3.0208 3.2917 2.9167 3.1667 724800 13657 2.8125 3.0417 2.6667 3 1328100 13656 2.875 2.8958 2.625 2.7917 981400 13655 3.2708 3.2917 2.75 2.8542 1571100 13654 3.4583 3.5 3.2708 3.2708 455600 13653 3.5208 3.5417 3.25 3.4167 508900 13650 3.9375 3.9583 3.4167 3.4583 1225000 ; proc sort; by date; data next; set amazon end=eof; D&Y = &y - lag_&y; output; retain; D&Y.5=D&Y.4; D&Y.4=D&Y.3;D&Y.3=D&Y.2; D&Y.2=D&y.1; D&Y.1=D&Y; lag_&Y=&Y; if eof then do i = 1 to &lead; drop i; date = intnx('day',date,1); &Y=.; output; end; proc reg data=next; model D&Y = lag_&y D&Y.1-D&Y.4/ss1; * 4 lags is max needed for all 3; test D&Y.2=0, D&Y.3=0, D&Y.4=0; proc arima data=next; identify var = &y crosscor=(date) outcov=cov stationarity=(dickey=(&adf)); * estimate p=1 input=(date) ml; * Closing Price; * estimate p=1 q=2 ml input=(date); * Volume; estimate p=2 q=(2) ml input=(date); * Spread ; forecast lead=&lead out=out1 id=date; identify var = &y(1) outcov=cov_1 stationarity=(dickey=(&adf1));; * estimate ; * Closing Price; * estimate q=2 ml; * Volume; estimate p=1 q=(2) ml; * Spread ; forecast lead=&lead out=out2 id=date; /* identify var = &y scan esacf minic; *spread; estimate p=2 q=(2) ml; estimate p=1 q=(2) ml; identify var=&y(1); estimate q=2 ml; *volume; forecast lead=100 out=out1 id=date; */ run; axis1 label=(angle=90 f=centb h=1.2); data all; merge out1 (rename=(forecast=ftrend l95=ltrend u95=utrend )) out2 (rename=(forecast=funit l95=lunit u95=uunit )); ftrendclose = -71.4368 + 0.005315*date; ftrendvolume = -74.3656 + 0.006311*date; if date < '26may1999'd then do; ftrend=.; funit=.; lunit=.; uunit=.; ltrend=.; utrend=.; end; proc print data=all (obs=50); var ftrend ftrend&y &y date; proc print data=all(firstobs=560 obs=660); var ftrend ftrend&y &y date;run; proc gplot data=all; plot (&Y ftrend&Y ftrend ltrend utrend funit lunit uunit)*date/overlay vaxis=axis1; symbol1 v=none i=join c=red r=1; symbol2 v=none i=join c=black r=1; symbol3 v=none i=join c=green r=3 w=2; symbol4 v=none i=join c=blue r=3 w=2; Footnote j=l h=1.4 c=red ". ACF PACF IACF"; run; title " "; ;footnote " "; proc gplot data=cov; where lag>-1 and crossvar=" "; plot (corr partcorr invcorr)*lag/vaxis=axis1 haxis =axis2; symbol1 v=dot i=needle c=red; run; proc gplot data=cov_1; where lag>-1; plot (corr partcorr invcorr)*lag/vaxis=axis1 haxis=axis2; run; proc greplay tc=tempcat nofs igout=work.gseg; tdef six des='Seven panels' 1/ llx = 2 lly = 46 ulx = 2 uly = 98 urx = 98 ury = 98 lrx = 98 lry = 46 2/ llx = 2 lly = 25 ulx = 2 uly = 44 urx = 32 ury = 44 lrx = 32 lry = 25 3/ llx = 34 lly = 25 ulx = 34 uly = 44 urx = 66 ury = 44 lrx = 66 lry = 25 4/ llx = 68 lly = 25 ulx = 68 uly = 44 urx = 98 ury = 44 lrx = 98 lry = 25 5/ llx = 2 lly = 4 ulx = 2 uly = 23 urx = 32 ury = 23 lrx = 32 lry = 4 6/ llx = 34 lly = 4 ulx = 34 uly = 23 urx = 66 ury = 23 lrx = 66 lry = 4 7/ llx = 68 lly = 4 ulx = 68 uly = 23 urx = 98 ury = 23 lrx = 98 lry = 4 ; template = six; treplay 1:gplot 2:gplot1 3:gplot2 4:gplot3 5:gplot4 6:gplot5 7:gplot6; replay template; run ;