rand_eur-pln

.04

.03

.02

.01

.00

-.01

-.02

-.03

-.04
250 500 750 1000 1250 1500

Null Hypothesis: RAND_EUR_PLN 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 -13.89153 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_EUR_PLN)
Method: Least Squares
Date: 05/21/17 Time: 10:56
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_EUR_PLN(-1) -1.155324 0.083168 -13.89153 0.0000

D(RAND_EUR_PLN(-1)) 0.083007 0.077843 1.066341 0.2864
D(RAND_EUR_PLN(-2)) 0.021295 0.071754 0.296771 0.7667
D(RAND_EUR_PLN(-3)) -0.002979 0.064856 -0.045939 0.9634
D(RAND_EUR_PLN(-4)) -0.008013 0.057210 -0.140061 0.8886
D(RAND_EUR_PLN(-5)) -0.010317 0.048561 -0.212449 0.8318
D(RAND_EUR_PLN(-6)) 0.003105 0.038461 0.080719 0.9357
D(RAND_EUR_PLN(-7)) 0.021380 0.026197 0.816148 0.4145
C 2.31E-05 0.000127 0.182221 0.8554

R-squared 0.535829 Mean dependent var -3.95E-07

Adjusted R-squared 0.533321 S.D. dependent var 0.007158
S.E. of regression 0.004890 Akaike info criterion -7.797328
Sum squared resid 0.035410 Schwarz criterion -7.765275
Log likelihood 5818.010 Hannan-Quinn criter. -7.785383
F-statistic 213.7041 Durbin-Watson stat 2.000234
Prob(F-statistic) 0.000000
Dependent Variable: RAND_EUR_PLN
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/21/17 Time: 11:09
Sample (adjusted): 1 4345
Included observations: 4345 after adjustments
Convergence achieved after 8 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 -0.000132 6.88E-05 -1.926771 0.0540

Variance Equation

C 5.04E-07 8.45E-08 5.969658 0.0000

RESID(-1)^2 0.113586 0.008274 13.72829 0.0000
GARCH(-1) 0.879893 0.007992 110.0909 0.0000

R-squared -0.000505 Mean dependent var 1.33E-05

Adjusted R-squared -0.000505 S.D. dependent var 0.006490
S.E. of regression 0.006492 Akaike info criterion -7.550173
Sum squared resid 0.183088 Schwarz criterion -7.544303
Log likelihood 16406.75 Hannan-Quinn criter. -7.548101
Durbin-Watson stat 2.074772

.00024

.00020

.00016

.00012

.00008

.00004

.00000
250 500 750 1000 1250

Conditional variance

Null Hypothesis: RAND_WIG20 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 -13.75527 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RAND_WIG20)
Method: Least Squares
Date: 05/21/17 Time: 11:23
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20(-1) -1.039943 0.075603 -13.75527 0.0000

D(RAND_WIG20(-1)) 0.103502 0.070896 1.459908 0.1445
D(RAND_WIG20(-2)) 0.042139 0.065171 0.646590 0.5180
D(RAND_WIG20(-3)) 0.008787 0.058375 0.150528 0.8804
D(RAND_WIG20(-4)) -0.019561 0.051481 -0.379969 0.7040
D(RAND_WIG20(-5)) -0.076093 0.043959 -1.730980 0.0837
D(RAND_WIG20(-6)) -0.039211 0.035566 -1.102495 0.2704
D(RAND_WIG20(-7)) 0.028049 0.025949 1.080923 0.2799
C -8.29E-05 0.000254 -0.326608 0.7440

R-squared 0.477379 Mean dependent var -5.48E-06

Adjusted R-squared 0.474556 S.D. dependent var 0.013510
S.E. of regression 0.009793 Akaike info criterion -6.408252
Sum squared resid 0.142036 Schwarz criterion -6.376199
Log likelihood 4783.147 Hannan-Quinn criter. -6.396307
F-statistic 169.0992 Durbin-Watson stat 2.001118
Prob(F-statistic) 0.000000

Alior
Estimation Command:
=========================
LS RAND_ALIOR RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_ALIOR = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_ALIOR = 0.850747458934*RAND_WIG20 + 0.110944310856*RAND_EUR_PLN + 0.000108817187996

Dependent Variable: RAND_ALIOR

Method: Least Squares
Date: 05/20/17 Time: 20:31
Sample (adjusted): 1 1005
Included observations: 1005 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.850747 0.059853 14.21405 0.0000

RAND_EUR_PLN 0.110944 0.159250 0.696669 0.4862
C 0.000109 0.000621 0.175365 0.8608

R-squared 0.177438 Mean dependent var -0.000116

Adjusted R-squared 0.175796 S.D. dependent var 0.021661
S.E. of regression 0.019665 Akaike info criterion -5.017008
Sum squared resid 0.387472 Schwarz criterion -5.002343
Log likelihood 2524.047 Hannan-Quinn criter. -5.011436
F-statistic 108.0725 Durbin-Watson stat 1.961404
Prob(F-statistic) 0.000000

ASSECOPOL

Null Hypothesis: RAND_ASSECOPOL 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 -14.53330 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_ASSECOPOL)
Method: Least Squares
Date: 05/21/17 Time: 09:53
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_ASSECOPOL(-1) -1.226655 0.084403 -14.53330 0.0000

D(RAND_ASSECOPOL(-1)) 0.151158 0.078210 1.932706 0.0535
D(RAND_ASSECOPOL(-2)) 0.134989 0.071305 1.893135 0.0585
D(RAND_ASSECOPOL(-3)) 0.080665 0.064074 1.258936 0.2083
D(RAND_ASSECOPOL(-4)) 0.036899 0.056144 0.657215 0.5111
D(RAND_ASSECOPOL(-5)) 0.016144 0.047558 0.339451 0.7343
D(RAND_ASSECOPOL(-6)) -0.020279 0.038127 -0.531878 0.5949
D(RAND_ASSECOPOL(-7)) -0.014413 0.025898 -0.556524 0.5779
C -9.97E-06 0.000434 -0.022948 0.9817

R-squared 0.538333 Mean dependent var 9.42E-07

Adjusted R-squared 0.535839 S.D. dependent var 0.024614
S.E. of regression 0.016769 Akaike info criterion -5.332488
Sum squared resid 0.416481 Schwarz criterion -5.300435
Log likelihood 3981.704 Hannan-Quinn criter. -5.320543
F-statistic 215.8674 Durbin-Watson stat 1.996875
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_ASSECOPOL RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_ASSECOPOL = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_ASSECOPOL = 0.545799469408*RAND_WIG20 - 0.272260253813*RAND_EUR_PLN +
5.48994023456e-05
Dependent Variable: RAND_ASSECOPOL
Method: Least Squares
Date: 05/20/17 Time: 20:33
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.545799 0.043128 12.65545 0.0000

RAND_EUR_PLN -0.272260 0.086911 -3.132642 0.0018
C 5.49E-05 0.000409 0.134292 0.8932

R-squared 0.121518 Mean dependent var 1.19E-05

Adjusted R-squared 0.120343 S.D. dependent var 0.016870
S.E. of regression 0.015822 Akaike info criterion -5.452822
Sum squared resid 0.374255 Schwarz criterion -5.442184
Log likelihood 4087.164 Hannan-Quinn criter. -5.448859
F-statistic 103.3999 Durbin-Watson stat 2.114161
Prob(F-statistic) 0.000000

BZWBK

Estimation Command:
=========================
LS RAND_BZWBK RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_BZWBK = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_BZWBK = 0.942054812615*RAND_WIG20 + 0.0847949085208*RAND_EUR_PLN + 0.0003229049865

Dependent Variable: RAND_BZWBK

Method: Least Squares
Date: 05/20/17 Time: 20:35
Sample (adjusted): 1 1497
Included observations: 1497 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.942055 0.038226 24.64411 0.0000

RAND_EUR_PLN 0.084795 0.077028 1.100838 0.2711
C 0.000323 0.000362 0.890924 0.3731

R-squared 0.300287 Mean dependent var 0.000260

Adjusted R-squared 0.299351 S.D. dependent var 0.016753
S.E. of regression 0.014023 Akaike info criterion -5.694264
Sum squared resid 0.293778 Schwarz criterion -5.683620
Log likelihood 4265.157 Hannan-Quinn criter. -5.690298
F-statistic 320.5813 Durbin-Watson stat 2.179397
Prob(F-statistic) 0.000000
CCC

Null Hypothesis: RAND_CCC 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 -12.45118 0.0000

Test critical values: 1% level -3.434534
5% level -2.863275
10% level -2.567742

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_CCC)
Method: Least Squares
Date: 05/21/17 Time: 09:54
Sample (adjusted): 9 1497
Included observations: 1489 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_CCC(-1) -0.939603 0.075463 -12.45118 0.0000

D(RAND_CCC(-1)) -0.072469 0.070907 -1.022019 0.3069
D(RAND_CCC(-2)) -0.104081 0.065855 -1.580459 0.1142
D(RAND_CCC(-3)) -0.112341 0.059808 -1.878354 0.0605
D(RAND_CCC(-4)) -0.112479 0.053240 -2.112678 0.0348
D(RAND_CCC(-5)) -0.124191 0.045742 -2.715011 0.0067
D(RAND_CCC(-6)) -0.071692 0.036938 -1.940875 0.0525
D(RAND_CCC(-7)) -0.053547 0.025972 -2.061692 0.0394
C 0.000661 0.000534 1.237439 0.2161

R-squared 0.508169 Mean dependent var -2.23E-05

Adjusted R-squared 0.505511 S.D. dependent var 0.029147
S.E. of regression 0.020496 Akaike info criterion -4.931108
Sum squared resid 0.621752 Schwarz criterion -4.899038
Log likelihood 3680.210 Hannan-Quinn criter. -4.919157
F-statistic 191.1457 Durbin-Watson stat 1.995305
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_CCC RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_CCC = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_CCC = 0.683666959696*RAND_WIG20 - 0.246327993264*RAND_EUR_PLN + 0.000783637921554
Dependent Variable: RAND_CCC
Method: Least Squares
Date: 05/20/17 Time: 20:38
Sample (adjusted): 1 1497
Included observations: 1497 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.683667 0.052304 13.07100 0.0000

RAND_EUR_PLN -0.246328 0.105531 -2.334185 0.0197
C 0.000784 0.000496 1.580209 0.1143

R-squared 0.122380 Mean dependent var 0.000733

Adjusted R-squared 0.121205 S.D. dependent var 0.020467
S.E. of regression 0.019187 Akaike info criterion -5.067196
Sum squared resid 0.549986 Schwarz criterion -5.056553
Log likelihood 3795.797 Hannan-Quinn criter. -5.063231
F-statistic 104.1660 Durbin-Watson stat 2.053132
Prob(F-statistic) 0.000000

CYFRPLSAT

Null Hypothesis: RAND_CYFRPLSAT 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 -15.70612 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_CYFRPLSAT)
Method: Least Squares
Date: 05/21/17 Time: 09:54
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_CYFRPLSAT(-1) -1.440029 0.091686 -15.70612 0.0000

D(RAND_CYFRPLSAT(-1)) 0.371219 0.084594 4.388223 0.0000
D(RAND_CYFRPLSAT(-2)) 0.246576 0.076502 3.223131 0.0013
D(RAND_CYFRPLSAT(-3)) 0.194097 0.067924 2.857579 0.0043
D(RAND_CYFRPLSAT(-4)) 0.122858 0.058833 2.088255 0.0369
D(RAND_CYFRPLSAT(-5)) 0.068284 0.049150 1.389310 0.1649
D(RAND_CYFRPLSAT(-6)) 0.005252 0.038102 0.137839 0.8904
D(RAND_CYFRPLSAT(-7)) 0.009724 0.026021 0.373713 0.7087
C 0.000370 0.000491 0.752947 0.4516

R-squared 0.536510 Mean dependent var 8.90E-06

Adjusted R-squared 0.534006 S.D. dependent var 0.027749
S.E. of regression 0.018942 Akaike info criterion -5.088799
Sum squared resid 0.531408 Schwarz criterion -5.056746
Log likelihood 3800.155 Hannan-Quinn criter. -5.076854
F-statistic 214.2900 Durbin-Watson stat 1.999470
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_CYFRPLSAT RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_CYFRPLSAT = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_CYFRPLSAT = 0.683569308309*RAND_WIG20 - 0.217407200919*RAND_EUR_PLN +
0.000317823709052

Dependent Variable: RAND_CYFRPLSAT

Method: Least Squares
Date: 05/20/17 Time: 20:39
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.683569 0.048386 14.12739 0.0000

RAND_EUR_PLN -0.217407 0.097508 -2.229643 0.0259
C 0.000318 0.000459 0.692950 0.4884

R-squared 0.138009 Mean dependent var 0.000266

Adjusted R-squared 0.136856 S.D. dependent var 0.019107
S.E. of regression 0.017751 Akaike info criterion -5.222724
Sum squared resid 0.471083 Schwarz criterion -5.212086
Log likelihood 3914.820 Hannan-Quinn criter. -5.218760
F-statistic 119.6787 Durbin-Watson stat 2.148297
Prob(F-statistic) 0.000000

ENERGA

Null Hypothesis: RAND_ENERGA 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 -10.12805 0.0000

Test critical values: 1% level -3.438807
5% level -2.865163
10% level -2.568755

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_ENERGA)
Method: Least Squares
Date: 05/21/17 Time: 09:55
Sample (adjusted): 9 761
Included observations: 753 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_ENERGA(-1) -0.996320 0.098372 -10.12805 0.0000

D(RAND_ENERGA(-1)) 0.087900 0.091560 0.960026 0.3374
D(RAND_ENERGA(-2)) 0.086304 0.084315 1.023583 0.3064
D(RAND_ENERGA(-3)) 0.115349 0.075715 1.523468 0.1281
D(RAND_ENERGA(-4)) 0.068610 0.067786 1.012147 0.3118
D(RAND_ENERGA(-5)) -0.018468 0.059617 -0.309776 0.7568
D(RAND_ENERGA(-6)) 0.018608 0.049497 0.375941 0.7071
D(RAND_ENERGA(-7)) 0.014382 0.036617 0.392770 0.6946
C -0.000756 0.000712 -1.061861 0.2886

R-squared 0.461007 Mean dependent var -3.62E-05

Adjusted R-squared 0.455211 S.D. dependent var 0.026340
S.E. of regression 0.019441 Akaike info criterion -5.030968
Sum squared resid 0.281201 Schwarz criterion -4.975701
Log likelihood 1903.160 Hannan-Quinn criter. -5.009676
F-statistic 79.54389 Durbin-Watson stat 1.998646
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_ENERGA RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_ENERGA = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_ENERGA = 0.728710445712*RAND_WIG20 - 0.455506667796*RAND_EUR_PLN - 0.000524856173546

Dependent Variable: RAND_ENERGA

Method: Least Squares
Date: 05/20/17 Time: 20:41
Sample (adjusted): 1 761
Included observations: 761 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.728710 0.062307 11.69557 0.0000

RAND_EUR_PLN -0.455507 0.164146 -2.775007 0.0057
C -0.000525 0.000634 -0.827353 0.4083

R-squared 0.197151 Mean dependent var -0.000749

Adjusted R-squared 0.195033 S.D. dependent var 0.019496
S.E. of regression 0.017492 Akaike info criterion -5.250266
Sum squared resid 0.231913 Schwarz criterion -5.231996
Log likelihood 2000.726 Hannan-Quinn criter. -5.243231
F-statistic 93.06904 Durbin-Watson stat 1.951549
Prob(F-statistic) 0.000000
EUROCASH
Estimation Command:
=========================
LS RAND_EUROCASH RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_EUROCASH = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_EUROCASH = 0.571446999428*RAND_WIG20 - 0.4640201037*RAND_EUR_PLN +
0.000257343341195

Dependent Variable: RAND_EUROCASH

Method: Least Squares
Date: 05/20/17 Time: 20:42
Sample (adjusted): 1 1449
Included observations: 1449 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.571447 0.060159 9.498918 0.0000

RAND_EUR_PLN -0.464020 0.123864 -3.746200 0.0002
C 0.000257 0.000579 0.444620 0.6567

R-squared 0.085036 Mean dependent var 0.000210

Adjusted R-squared 0.083771 S.D. dependent var 0.023017
S.E. of regression 0.022032 Akaike info criterion -4.790606
Sum squared resid 0.701878 Schwarz criterion -4.779677
Log likelihood 3473.794 Hannan-Quinn criter. -4.786528
F-statistic 67.19507 Durbin-Watson stat 1.885786
Prob(F-statistic) 0.000000

JSW

Null Hypothesis: RAND_JSW 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 -12.76413 0.0000

Test critical values: 1% level -3.434941
5% level -2.863455
10% level -2.567839

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_JSW)
Method: Least Squares
Date: 05/21/17 Time: 09:55
Sample (adjusted): 9 1370
Included observations: 1362 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_JSW(-1) -0.922982 0.072311 -12.76413 0.0000

D(RAND_JSW(-1)) 0.056044 0.067818 0.826381 0.4087
D(RAND_JSW(-2)) 0.009209 0.062808 0.146628 0.8834
D(RAND_JSW(-3)) -0.047216 0.057166 -0.825947 0.4090
D(RAND_JSW(-4)) -0.027955 0.050992 -0.548233 0.5836
D(RAND_JSW(-5)) -0.033255 0.043671 -0.761493 0.4465
D(RAND_JSW(-6)) -0.019229 0.035945 -0.534964 0.5928
D(RAND_JSW(-7)) -0.000286 0.027150 -0.010551 0.9916
C -0.000461 0.000858 -0.537134 0.5913

R-squared 0.440166 Mean dependent var -2.14E-05

Adjusted R-squared 0.436856 S.D. dependent var 0.042163
S.E. of regression 0.031640 Akaike info criterion -4.062180
Sum squared resid 1.354506 Schwarz criterion -4.027708
Log likelihood 2775.345 Hannan-Quinn criter. -4.049276
F-statistic 132.9735 Durbin-Watson stat 1.995132
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_JSW RAND_WIG20 RAND_EUR_PLN RAND_COAL C

Estimation Equation:
=========================
RAND_JSW = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)*RAND_COAL + C(4)

Substituted Coefficients:
=========================
RAND_JSW = 1.05304833476*RAND_WIG20 - 0.394695443178*RAND_EUR_PLN +
0.0813973199707*RAND_COAL - 0.00042932384902

Dependent Variable: RAND_JSW

Method: Least Squares
Date: 05/20/17 Time: 20:43
Sample (adjusted): 1 1370
Included observations: 1370 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 1.053048 0.081567 12.91026 0.0000

RAND_EUR_PLN -0.394695 0.187540 -2.104591 0.0355
RAND_COAL 0.081397 0.060672 1.341590 0.1800
C -0.000429 0.000805 -0.533032 0.5941

R-squared 0.127774 Mean dependent var -0.000518

Adjusted R-squared 0.125858 S.D. dependent var 0.031885
S.E. of regression 0.029811 Akaike info criterion -4.184962
Sum squared resid 1.213959 Schwarz criterion -4.169714
Log likelihood 2870.699 Hannan-Quinn criter. -4.179256
F-statistic 66.70234 Durbin-Watson stat 1.749646
Prob(F-statistic) 0.000000
KGHM

Null Hypothesis: RAND_KGHM 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 -13.49204 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_KGHM)
Method: Least Squares
Date: 05/21/17 Time: 09:56
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_KGHM(-1) -0.993917 0.073667 -13.49204 0.0000

D(RAND_KGHM(-1)) 0.081154 0.068959 1.176832 0.2395
D(RAND_KGHM(-2)) 0.033439 0.063411 0.527342 0.5980
D(RAND_KGHM(-3)) -0.009350 0.057241 -0.163352 0.8703
D(RAND_KGHM(-4)) -0.047696 0.050470 -0.945032 0.3448
D(RAND_KGHM(-5)) -0.059229 0.043269 -1.368848 0.1713
D(RAND_KGHM(-6)) -0.052933 0.035339 -1.497856 0.1344
D(RAND_KGHM(-7)) -0.004075 0.026078 -0.156274 0.8758
C -0.000430 0.000626 -0.686473 0.4925

R-squared 0.461122 Mean dependent var -1.94E-05

Adjusted R-squared 0.458211 S.D. dependent var 0.032791
S.E. of regression 0.024136 Akaike info criterion -4.604178
Sum squared resid 0.862773 Schwarz criterion -4.572125
Log likelihood 3439.112 Hannan-Quinn criter. -4.592233
F-statistic 158.4127 Durbin-Watson stat 1.999790
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_KGHM RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_KGHM = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_KGHM = 1.25492109498*RAND_WIG20 - 0.57086606526*RAND_EUR_PLN - 0.000316371798273
Dependent Variable: RAND_KGHM
Method: Least Squares
Date: 05/20/17 Time: 20:44
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 1.254921 0.055079 22.78416 0.0000

RAND_EUR_PLN -0.570866 0.110995 -5.143192 0.0000
C -0.000316 0.000522 -0.605970 0.5446

R-squared 0.305576 Mean dependent var -0.000414

Adjusted R-squared 0.304647 S.D. dependent var 0.024232
S.E. of regression 0.020207 Akaike info criterion -4.963624
Sum squared resid 0.610413 Schwarz criterion -4.952986
Log likelihood 3720.754 Hannan-Quinn criter. -4.959661
F-statistic 328.9315 Durbin-Watson stat 1.861724
Prob(F-statistic) 0.000000

LOTUS

Null Hypothesis: RAND_LOTUS 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 -14.83072 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_LOTUS)
Method: Least Squares
Date: 05/21/17 Time: 09:56
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_LOTUS(-1) -1.061543 0.071577 -14.83072 0.0000

D(RAND_LOTUS(-1)) 0.099961 0.066678 1.499172 0.1340
D(RAND_LOTUS(-2)) 0.086778 0.061533 1.410274 0.1587
D(RAND_LOTUS(-3)) 0.105095 0.056238 1.868760 0.0619
D(RAND_LOTUS(-4)) 0.093299 0.050408 1.850879 0.0644
D(RAND_LOTUS(-5)) 0.093631 0.043963 2.129772 0.0334
D(RAND_LOTUS(-6)) 0.066239 0.036010 1.839461 0.0660
D(RAND_LOTUS(-7)) 0.057677 0.025966 2.221235 0.0265
C 7.17E-05 0.000528 0.135876 0.8919
R-squared 0.483095 Mean dependent var 2.47E-05
Adjusted R-squared 0.480303 S.D. dependent var 0.028261
S.E. of regression 0.020373 Akaike info criterion -4.943175
Sum squared resid 0.614712 Schwarz criterion -4.911122
Log likelihood 3691.666 Hannan-Quinn criter. -4.931230
F-statistic 173.0164 Durbin-Watson stat 1.997331
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_LOTUS RAND_WIG20 RAND_EUR_PLN RAND_OIL RAND_GAS C

Estimation Equation:
=========================
RAND_LOTUS = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)*RAND_OIL + C(4)*RAND_GAS + C(5)

Substituted Coefficients:
=========================
RAND_LOTUS = 0.813755368562*RAND_WIG20 - 0.482870679106*RAND_EUR_PLN +
0.0376393109212*RAND_OIL - 0.0231087081389*RAND_GAS + 0.000110778263156

Dependent Variable: RAND_LOTUS

Method: Least Squares
Date: 05/20/17 Time: 20:47
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.813755 0.050294 16.17999 0.0000

RAND_EUR_PLN -0.482871 0.102692 -4.702131 0.0000
RAND_OIL 0.037639 0.024507 1.535876 0.1248
RAND_GAS -0.023109 0.017289 -1.336594 0.1816
C 0.000111 0.000471 0.235315 0.8140

R-squared 0.201069 Mean dependent var 3.45E-05

Adjusted R-squared 0.198928 S.D. dependent var 0.020354
S.E. of regression 0.018218 Akaike info criterion -5.169536
Sum squared resid 0.495493 Schwarz criterion -5.151806
Log likelihood 3876.982 Hannan-Quinn criter. -5.162930
F-statistic 93.93675 Durbin-Watson stat 1.907060
Prob(F-statistic) 0.000000

LPP
Estimation Command:
=========================
LS RAND_LPP RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_LPP = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_LPP = 0.84119735464*RAND_WIG20 - 0.125818048028*RAND_EUR_PLN + 0.000742227788248

Dependent Variable: RAND_LPP

Method: Least Squares
Date: 05/20/17 Time: 20:48
Sample (adjusted): 1 1473
Included observations: 1473 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.841197 0.054263 15.50230 0.0000

RAND_EUR_PLN -0.125818 0.110803 -1.135510 0.2563
C 0.000742 0.000518 1.432444 0.1522

R-squared 0.156107 Mean dependent var 0.000678

Adjusted R-squared 0.154959 S.D. dependent var 0.021633
S.E. of regression 0.019886 Akaike info criterion -4.995568
Sum squared resid 0.581315 Schwarz criterion -4.984784
Log likelihood 3682.236 Hannan-Quinn criter. -4.991547
F-statistic 135.9640 Durbin-Watson stat 1.954133
Prob(F-statistic) 0.000000

MBANK

Null Hypothesis: RAND_MBANK 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 -14.52763 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_MBANK)
Method: Least Squares
Date: 05/21/17 Time: 09:56
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_MBANK(-1) -1.186185 0.081650 -14.52763 0.0000

D(RAND_MBANK(-1)) 0.183555 0.076113 2.411613 0.0160
D(RAND_MBANK(-2)) 0.105326 0.070147 1.501510 0.1334
 D(RAND_MBANK(-3)) 0.035418 0.062908 0.563009 0.5735
D(RAND_MBANK(-4)) 0.024581 0.055147 0.445730 0.6559
D(RAND_MBANK(-5)) -0.009491 0.046300 -0.204987 0.8376
D(RAND_MBANK(-6)) 0.037158 0.036766 1.010660 0.3123
D(RAND_MBANK(-7)) 0.036056 0.025967 1.388526 0.1652
C 8.48E-05 0.000520 0.163138 0.8704

R-squared 0.506664 Mean dependent var -3.09E-05

Adjusted R-squared 0.503999 S.D. dependent var 0.028476
S.E. of regression 0.020055 Akaike info criterion -4.974631
Sum squared resid 0.595677 Schwarz criterion -4.942578
Log likelihood 3715.100 Hannan-Quinn criter. -4.962686
F-statistic 190.1262 Durbin-Watson stat 1.997217
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_MBANK RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_MBANK = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_MBANK = 1.01796928767*RAND_WIG20 - 0.471546076301*RAND_EUR_PLN + 0.0001429664193

Dependent Variable: RAND_MBANK

Method: Least Squares
Date: 05/20/17 Time: 20:49
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 1.017969 0.046225 22.02200 0.0000

RAND_EUR_PLN -0.471546 0.093153 -5.062070 0.0000
C 0.000143 0.000438 0.326282 0.7443

R-squared 0.292055 Mean dependent var 6.33E-05

Adjusted R-squared 0.291108 S.D. dependent var 0.020142
S.E. of regression 0.016958 Akaike info criterion -5.314103
Sum squared resid 0.429945 Schwarz criterion -5.303465
Log likelihood 3983.263 Hannan-Quinn criter. -5.310139
F-statistic 308.3734 Durbin-Watson stat 2.097154
Prob(F-statistic) 0.000000

ORANGEPL
Estimation Command:
=========================
LS RAND_ORANGEPL RAND_WIG20 RAND_EUR_PLN C
Estimation Equation:
=========================
RAND_ORANGEPL = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_ORANGEPL = 0.57636244848*RAND_WIG20 - 0.108894781991*RAND_EUR_PLN - 0.00068698732545

Dependent Variable: RAND_ORANGEPL

Method: Least Squares
Date: 05/20/17 Time: 20:50
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.576362 0.051860 11.11374 0.0000

RAND_EUR_PLN -0.108895 0.104509 -1.041966 0.2976
C -0.000687 0.000492 -1.397493 0.1625

R-squared 0.086373 Mean dependent var -0.000730

Adjusted R-squared 0.085151 S.D. dependent var 0.019892
S.E. of regression 0.019026 Akaike info criterion -5.084039
Sum squared resid 0.541163 Schwarz criterion -5.073401
Log likelihood 3810.945 Hannan-Quinn criter. -5.080076
F-statistic 70.66783 Durbin-Watson stat 1.907379
Prob(F-statistic) 0.000000

PEKAO

Null Hypothesis: RAND_PEKAO 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 -14.85955 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_PEKAO)
Method: Least Squares
Date: 05/21/17 Time: 09:57
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_PEKAO(-1) -1.327901 0.089363 -14.85955 0.0000

 D(RAND_PEKAO(-1)) 0.266427 0.083090 3.206495 0.0014
D(RAND_PEKAO(-2)) 0.153083 0.075964 2.015221 0.0441
D(RAND_PEKAO(-3)) 0.063420 0.067979 0.932926 0.3510
D(RAND_PEKAO(-4)) 0.024395 0.058880 0.414315 0.6787
D(RAND_PEKAO(-5)) 0.016414 0.048789 0.336421 0.7366
D(RAND_PEKAO(-6)) 0.004180 0.037983 0.110048 0.9124
D(RAND_PEKAO(-7)) 0.019515 0.026022 0.749931 0.4534
C -0.000337 0.000465 -0.725854 0.4680

R-squared 0.532154 Mean dependent var -3.50E-06

Adjusted R-squared 0.529627 S.D. dependent var 0.026136
S.E. of regression 0.017925 Akaike info criterion -5.199212
Sum squared resid 0.475857 Schwarz criterion -5.167160
Log likelihood 3882.413 Hannan-Quinn criter. -5.187268
F-statistic 210.5715 Durbin-Watson stat 1.999448
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_PEKAO RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_PEKAO = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_PEKAO = 0.981116049174*RAND_WIG20 - 0.540677220946*RAND_EUR_PLN - 0.000162874278193

Dependent Variable: RAND_PEKAO

Method: Least Squares
Date: 05/20/17 Time: 20:51
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.981116 0.039650 24.74421 0.0000

RAND_EUR_PLN -0.540677 0.079903 -6.766643 0.0000
C -0.000163 0.000376 -0.433353 0.6648

R-squared 0.351079 Mean dependent var -0.000241

Adjusted R-squared 0.350210 S.D. dependent var 0.018045
S.E. of regression 0.014546 Akaike info criterion -5.620950
Sum squared resid 0.316337 Schwarz criterion -5.610313
Log likelihood 4213.092 Hannan-Quinn criter. -5.616987
F-statistic 404.4114 Durbin-Watson stat 2.175063
Prob(F-statistic) 0.000000

PGE

Null Hypothesis: RAND_PGE 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 -14.37667 0.0000

Test critical values: 1% level -3.434600
5% level -2.863304
10% level -2.567758

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_PGE)
Method: Least Squares
Date: 05/21/17 Time: 09:58
Sample (adjusted): 9 1475
Included observations: 1467 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_PGE(-1) -1.206685 0.083934 -14.37667 0.0000

D(RAND_PGE(-1)) 0.208947 0.078073 2.676290 0.0075
D(RAND_PGE(-2)) 0.138102 0.071093 1.942551 0.0523
D(RAND_PGE(-3)) 0.075085 0.063258 1.186965 0.2354
D(RAND_PGE(-4)) 0.006000 0.054948 0.109194 0.9131
D(RAND_PGE(-5)) -0.040684 0.046291 -0.878867 0.3796
D(RAND_PGE(-6)) -0.044337 0.036934 -1.200423 0.2302
D(RAND_PGE(-7)) 0.010952 0.026130 0.419140 0.6752
C -0.000659 0.000491 -1.341758 0.1799

R-squared 0.503884 Mean dependent var -2.99E-05

Adjusted R-squared 0.501161 S.D. dependent var 0.026514
S.E. of regression 0.018727 Akaike info criterion -5.111608
Sum squared resid 0.511309 Schwarz criterion -5.079148
Log likelihood 3758.365 Hannan-Quinn criter. -5.099502
F-statistic 185.1034 Durbin-Watson stat 2.003161
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_PGE RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_PGE = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_PGE = 0.887390268096*RAND_WIG20 - 0.270155466231*RAND_EUR_PLN - 0.000457499227399

Dependent Variable: RAND_PGE

Method: Least Squares
Date: 05/20/17 Time: 20:52
Sample (adjusted): 1 1475
Included observations: 1475 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.887390 0.044841 19.78978 0.0000

RAND_EUR_PLN -0.270155 0.091553 -2.950795 0.0032
C -0.000457 0.000428 -1.069173 0.2852

R-squared 0.241230 Mean dependent var -0.000529

Adjusted R-squared 0.240199 S.D. dependent var 0.018853
S.E. of regression 0.016433 Akaike info criterion -5.376987
Sum squared resid 0.397517 Schwarz criterion -5.366214
Log likelihood 3968.528 Hannan-Quinn criter. -5.372970
F-statistic 233.9910 Durbin-Watson stat 1.955655
Prob(F-statistic) 0.000000

PGNIG
Estimation Command:
=========================
LS RAND_PGNIG RAND_WIG20 RAND_EUR_PLN RAND_OIL RAND_GAS C

Estimation Equation:
=========================
RAND_PGNIG = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)*RAND_OIL + C(4)*RAND_GAS + C(5)

Substituted Coefficients:
=========================
RAND_PGNIG = 0.909544185506*RAND_WIG20 + 0.0147887764224*RAND_EUR_PLN +
0.0432773956544*RAND_OIL - 0.0182162547057*RAND_GAS + 0.000376953539339

Dependent Variable: RAND_PGNIG

Method: Least Squares
Date: 05/20/17 Time: 20:53
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.909544 0.045566 19.96083 0.0000

RAND_EUR_PLN 0.014789 0.093039 0.158953 0.8737
RAND_OIL 0.043277 0.022203 1.949178 0.0515
RAND_GAS -0.018216 0.015665 -1.162896 0.2451
C 0.000377 0.000427 0.883808 0.3769

R-squared 0.234484 Mean dependent var 0.000304

Adjusted R-squared 0.232433 S.D. dependent var 0.018839
S.E. of regression 0.016505 Akaike info criterion -5.366961
Sum squared resid 0.406721 Schwarz criterion -5.349232
Log likelihood 4024.854 Hannan-Quinn criter. -5.360356
F-statistic 114.3299 Durbin-Watson stat 2.174310
Prob(F-statistic) 0.000000

PKNORLEN
Estimation Command:
=========================
LS RAND_PKNORLEN RAND_WIG20 RAND_EUR_PLN RAND_OIL RAND_GAS C

Estimation Equation:
=========================
RAND_PKNORLEN = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)*RAND_OIL + C(4)*RAND_GAS +
C(5)

Substituted Coefficients:
=========================
RAND_PKNORLEN = 1.10594268741*RAND_WIG20 + 0.00904007821966*RAND_EUR_PLN -
0.0636728152093*RAND_OIL + 0.0100530823991*RAND_GAS + 0.000661361283044

Dependent Variable: RAND_PKNORLEN

Method: Least Squares
Date: 05/20/17 Time: 20:55
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 1.105943 0.035328 31.30494 0.0000

RAND_EUR_PLN 0.009040 0.086111 0.104981 0.9164
RAND_OIL -0.063673 0.019794 -3.216729 0.0013
RAND_GAS 0.010053 0.013963 0.719961 0.4717
C 0.000661 0.000380 1.740124 0.0820

R-squared 0.435768 Mean dependent var 0.000414

Adjusted R-squared 0.434256 S.D. dependent var 0.019551
S.E. of regression 0.014705 Akaike info criterion -5.597887
Sum squared resid 0.322854 Schwarz criterion -5.580157
Log likelihood 4197.817 Hannan-Quinn criter. -5.591282
F-statistic 288.2683 Durbin-Watson stat 1.980241
Prob(F-statistic) 0.000000

PKOBP

Null Hypothesis: RAND_PKOBP 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 -15.16441 0.0000

Test critical values: 1% level -3.434531
5% level -2.863274
10% level -2.567741

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_PKOBP)
Method: Least Squares
Date: 05/21/17 Time: 09:58
Sample (adjusted): 9 1498
Included observations: 1490 after adjustments
 Variable Coefficient Std. Error t-Statistic Prob.

RAND_PKOBP(-1) -1.250206 0.082443 -15.16441 0.0000

D(RAND_PKOBP(-1)) 0.263507 0.076749 3.433349 0.0006
D(RAND_PKOBP(-2)) 0.170016 0.070533 2.410458 0.0161
D(RAND_PKOBP(-3)) 0.104387 0.063168 1.652521 0.0986
D(RAND_PKOBP(-4)) 0.059213 0.055042 1.075768 0.2822
D(RAND_PKOBP(-5)) 0.035801 0.046203 0.774876 0.4385
D(RAND_PKOBP(-6)) 0.059666 0.036568 1.631643 0.1030
D(RAND_PKOBP(-7)) 0.065562 0.025964 2.525055 0.0117
C -0.000364 0.000436 -0.836210 0.4032

R-squared 0.500131 Mean dependent var -2.13E-06

Adjusted R-squared 0.497431 S.D. dependent var 0.023704
S.E. of regression 0.016804 Akaike info criterion -5.328372
Sum squared resid 0.418199 Schwarz criterion -5.296319
Log likelihood 3978.637 Hannan-Quinn criter. -5.316427
F-statistic 185.2222 Durbin-Watson stat 2.001124
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_PKOBP RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_PKOBP = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_PKOBP = 1.01534252146*RAND_WIG20 - 0.552581762766*RAND_EUR_PLN - 0.000210813956119

Dependent Variable: RAND_PKOBP

Method: Least Squares
Date: 05/20/17 Time: 20:57
Sample (adjusted): 1 1498
Included observations: 1498 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 1.015343 0.034914 29.08151 0.0000

RAND_EUR_PLN -0.552582 0.070358 -7.853855 0.0000
C -0.000211 0.000331 -0.637001 0.5242

R-squared 0.426950 Mean dependent var -0.000292

Adjusted R-squared 0.426184 S.D. dependent var 0.016909
S.E. of regression 0.012809 Akaike info criterion -5.875391
Sum squared resid 0.245272 Schwarz criterion -5.864753
Log likelihood 4403.668 Hannan-Quinn criter. -5.871428
F-statistic 556.9240 Durbin-Watson stat 2.047235
Prob(F-statistic) 0.000000

PZU
Estimation Command:
=========================
LS RAND_PZU RAND_WIG20 RAND_EUR_PLN C

Estimation Equation:
=========================
RAND_PZU = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)

Substituted Coefficients:
=========================
RAND_PZU = 0.821392642929*RAND_WIG20 - 0.118885927263*RAND_EUR_PLN - 0.00153948649329

Dependent Variable: RAND_PZU

Method: Least Squares
Date: 05/20/17 Time: 20:58
Sample (adjusted): 1 1474
Included observations: 1474 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.821393 0.167420 4.906185 0.0000

RAND_EUR_PLN -0.118886 0.341893 -0.347728 0.7281
C -0.001539 0.001598 -0.963293 0.3356

R-squared 0.018151 Mean dependent var -0.001602

Adjusted R-squared 0.016816 S.D. dependent var 0.061878
S.E. of regression 0.061355 Akaike info criterion -2.742244
Sum squared resid 5.537503 Schwarz criterion -2.731465
Log likelihood 2024.034 Hannan-Quinn criter. -2.738225
F-statistic 13.59686 Durbin-Watson stat 2.012433
Prob(F-statistic) 0.000001

TAUROPE

Null Hypothesis: RAND_TAUROMPE 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 -14.16185 0.0000

Test critical values: 1% level -3.434633
5% level -2.863319
10% level -2.567766

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

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RAND_TAUROMPE)
Method: Least Squares
Date: 05/21/17 Time: 09:58
Sample (adjusted): 9 1464
Included observations: 1456 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

 RAND_TAUROMPE(-1) -1.145941 0.080917 -14.16185 0.0000
D(RAND_TAUROMPE(-1)) 0.176416 0.075312 2.342469 0.0193
D(RAND_TAUROMPE(-2)) 0.108642 0.068821 1.578616 0.1146
D(RAND_TAUROMPE(-3)) 0.055550 0.061580 0.902076 0.3672
D(RAND_TAUROMPE(-4)) 0.002806 0.053793 0.052159 0.9584
D(RAND_TAUROMPE(-5)) -0.026951 0.045543 -0.591776 0.5541
D(RAND_TAUROMPE(-6)) -0.030707 0.036530 -0.840596 0.4007
D(RAND_TAUROMPE(-7)) 0.011731 0.026224 0.447328 0.6547
C -0.000600 0.000489 -1.227688 0.2198

R-squared 0.489837 Mean dependent var -3.64E-05

Adjusted R-squared 0.487016 S.D. dependent var 0.025956
S.E. of regression 0.018590 Akaike info criterion -5.126189
Sum squared resid 0.500083 Schwarz criterion -5.093531
Log likelihood 3740.866 Hannan-Quinn criter. -5.114005
F-statistic 173.6685 Durbin-Watson stat 2.001876
Prob(F-statistic) 0.000000

Estimation Command:
=========================
LS RAND_TAUROMPE RAND_WIG20 RAND_EUR_PLN RAND_OIL C

Estimation Equation:
=========================
RAND_TAUROMPE = C(1)*RAND_WIG20 + C(2)*RAND_EUR_PLN + C(3)*RAND_OIL + C(4)

Substituted Coefficients:
=========================
RAND_TAUROMPE = 0.860444250912*RAND_WIG20 - 0.318493874871*RAND_EUR_PLN +
0.0256144818427*RAND_OIL - 0.000450626759982

Dependent Variable: RAND_TAUROMPE

Method: Least Squares
Date: 05/20/17 Time: 20:59
Sample (adjusted): 1 1464
Included observations: 1464 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

RAND_WIG20 0.860444 0.044977 19.13078 0.0000

RAND_EUR_PLN -0.318494 0.091783 -3.470062 0.0005
RAND_OIL 0.025614 0.021825 1.173610 0.2407
C -0.000451 0.000425 -1.059306 0.2896

R-squared 0.242171 Mean dependent var -0.000522

Adjusted R-squared 0.240614 S.D. dependent var 0.018678
S.E. of regression 0.016276 Akaike info criterion -5.395503
Sum squared resid 0.386773 Schwarz criterion -5.381052
Log likelihood 3953.508 Hannan-Quinn criter. -5.390113
F-statistic 155.5185 Durbin-Watson stat 1.994555
Prob(F-statistic) 0.000000