Arithmetic random walk Parameter estimation

Exxon Mobil (XOM) stock prices drift (mu) -0.1697 Simulation

Date Price (Close) Price changes volatility (sigma) 3.1166 Path 1 Path 2 Path 3
24-Aug-07 $ 85.69 Initial price $ 68.21 $ 68.21 $ 68.21
31-Aug-07 $ 85.73 $ 0.04 1 #NAME? #NAME? #NAME?
7-Sep-07 $ 85.75 $ 0.02 2 #NAME? #NAME? #NAME?
14-Sep-07 $ 88.67 $ 2.92 3 #NAME? #NAME? #NAME?
21-Sep-07 $ 92.31 $ 3.64 4 #NAME? #NAME? #NAME?
28-Sep-07 $ 92.56 $ 0.25 5 #NAME? #NAME? #NAME?
5-Oct-07 $ 91.36 $ (1.20) 6 #NAME? #NAME? #NAME?
12-Oct-07 $ 93.48 $ 2.12 7 #NAME? #NAME? #NAME?
19-Oct-07 $ 92.14 $ (1.34) 8 #NAME? #NAME? #NAME?
26-Oct-07 $ 92.21 $ 0.07 9 #NAME? #NAME? #NAME?
2-Nov-07 $ 87.93 $ (4.28) 10 #NAME? #NAME? #NAME?
9-Nov-07 $ 86.85 $ (1.08) 11 #NAME? #NAME? #NAME?
16-Nov-07 $ 85.10 $ (1.75) 12 #NAME? #NAME? #NAME?
23-Nov-07 $ 88.29 $ 3.19 13 #NAME? #NAME? #NAME?
30-Nov-07 $ 89.16 $ 0.87 14 #NAME? #NAME? #NAME?
7-Dec-07 $ 91.50 $ 2.34 15 #NAME? #NAME? #NAME?
14-Dec-07 $ 91.18 $ (0.32) 16 #NAME? #NAME? #NAME?
21-Dec-07 $ 93.43 $ 2.25 17 #NAME? #NAME? #NAME?
28-Dec-07 $ 95.00 $ 1.57 18 #NAME? #NAME? #NAME?
4-Jan-08 $ 92.08 $ (2.92) 19 #NAME? #NAME? #NAME?
11-Jan-08 $ 90.30 $ (1.78) 20 #NAME? #NAME? #NAME?
18-Jan-08 $ 85.08 $ (5.22)
14-Aug-09 $ 68.21 $ (1.26)
Path 4 Path 5
$ 68.21 $ 68.21 $80.00
#NAME? #NAME?
#NAME? #NAME? $70.00
#NAME? #NAME?
#NAME? #NAME? $60.00
#NAME? #NAME?
$50.00
#NAME? #NAME?
#NAME? #NAME? $40.00
#NAME? #NAME?
#NAME? #NAME? $30.00
#NAME? #NAME?
#NAME? #NAME? $20.00
#NAME? #NAME?
#NAME? #NAME? $10.00
#NAME? #NAME?
$-
#NAME? #NAME?
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
17 18 19 20 21
Geometric random walk Parameter estimation
Exxon Mobil (XOM) stock prices drift (mu) -0.0014 Simulation
Date Price (Close) Ln((S_t+1)/S_t)volatility (sigma) 0.0411 Path 1 Path 2 Path 3
24-Aug-07 $ 85.69 Initial price $ 68.21 $ 68.21 $ 68.21
31-Aug-07 $ 85.73 $ 0.00 1 #NAME? #NAME? #NAME?
7-Sep-07 $ 85.75 $ 0.00 2 #NAME? #NAME? #NAME?
14-Sep-07 $ 88.67 $ 0.03 3 #NAME? #NAME? #NAME?
21-Sep-07 $ 92.31 $ 0.04 4 #NAME? #NAME? #NAME?
28-Sep-07 $ 92.56 $ 0.00 5 #NAME? #NAME? #NAME?
5-Oct-07 $ 91.36 $ (0.01) 6 #NAME? #NAME? #NAME?
12-Oct-07 $ 93.48 $ 0.02 7 #NAME? #NAME? #NAME?
19-Oct-07 $ 92.14 $ (0.01) 8 #NAME? #NAME? #NAME?
26-Oct-07 $ 92.21 $ 0.00 9 #NAME? #NAME? #NAME?
2-Nov-07 $ 87.93 $ (0.05) 10 #NAME? #NAME? #NAME?
9-Nov-07 $ 86.85 $ (0.01) 11 #NAME? #NAME? #NAME?
16-Nov-07 $ 85.10 $ (0.02) 12 #NAME? #NAME? #NAME?
23-Nov-07 $ 88.29 $ 0.04 13 #NAME? #NAME? #NAME?
30-Nov-07 $ 89.16 $ 0.01 14 #NAME? #NAME? #NAME?
7-Dec-07 $ 91.50 $ 0.03 15 #NAME? #NAME? #NAME?
14-Dec-07 $ 91.18 $ (0.00) 16 #NAME? #NAME? #NAME?
21-Dec-07 $ 93.43 $ 0.02 17 #NAME? #NAME? #NAME?
28-Dec-07 $ 95.00 $ 0.02 18 #NAME? #NAME? #NAME?
4-Jan-08 $ 92.08 $ (0.03) 19 #NAME? #NAME? #NAME?
11-Jan-08 $ 90.30 $ (0.02) 20 #NAME? #NAME? #NAME?
18-Jan-08 $ 85.08 $ (0.06)
14-Aug-09 $ 68.21 $ (0.02)
Path 4 Path 5
$ 68.21 $ 68.21 $80.00
#NAME? #NAME?
#NAME? #NAME? $70.00
#NAME? #NAME?
#NAME? #NAME? $60.00
#NAME? #NAME?
$50.00
#NAME? #NAME?
#NAME? #NAME? $40.00
#NAME? #NAME?
#NAME? #NAME? $30.00
#NAME? #NAME?
#NAME? #NAME? $20.00
#NAME? #NAME?
#NAME? #NAME? $10.00
#NAME? #NAME?
$-
#NAME? #NAME?
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
17 18 19 20 21
Mean reversion Parameter estimation
US/Euro Exchange Rate drift (mu) 1.4404 Simulation
Date Close Price changes volatility (sigma) 0.0248 Path 1 Path 2 Path 3
24-Aug-07 1.3679 -0.0051 speed (kappa) 0.0347 Initial price 1.42 1.42 1.42
31-Aug-07 1.3628 0.0138 1 #NAME? #NAME? #NAME?
7-Sep-07 1.3766 0.0107 2 #NAME? #NAME? #NAME?
14-Sep-07 1.3873 0.0216 3 #NAME? #NAME? #NAME?
21-Sep-07 1.4089 0.0182 4 #NAME? #NAME? #NAME?
28-Sep-07 1.4271 -0.0136 5 #NAME? #NAME? #NAME?
5-Oct-07 1.4135 0.0043 6 #NAME? #NAME? #NAME?
12-Oct-07 1.4178 0.0126 7 #NAME? #NAME? #NAME?
19-Oct-07 1.4304 0.0092 8 #NAME? #NAME? #NAME?
26-Oct-07 1.4396 0.0111 9 #NAME? #NAME? #NAME?
2-Nov-07 1.4507 0.0167 10 #NAME? #NAME? #NAME?
9-Nov-07 1.4674 -0.0017 11 #NAME? #NAME? #NAME?
16-Nov-07 1.4657 0.0178 12 #NAME? #NAME? #NAME?
23-Nov-07 1.4835 -0.0204 13 #NAME? #NAME? #NAME?
30-Nov-07 1.4631 0.0024 14 #NAME? #NAME? #NAME?
7-Dec-07 1.4655 -0.0238 15 #NAME? #NAME? #NAME?
14-Dec-07 1.4417 -0.0052 16 #NAME? #NAME? #NAME?
21-Dec-07 1.4365 0.0350 17 #NAME? #NAME? #NAME?
28-Dec-07 1.4715 0.0028 18 #NAME? #NAME? #NAME?
4-Jan-08 1.4743 0.0032 19 #NAME? #NAME? #NAME?
11-Jan-08 1.4775 -0.0166 20 #NAME? #NAME? #NAME?
18-Jan-08 1.4609 0.0061 21 #NAME? #NAME? #NAME?
14-Aug-09 1.4202
Path 4 Path 5
1.42 1.42 1.45
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME? 1.40
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME? 1.35
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME? 1.30
#NAME? #NAME?
#NAME? #NAME?
1.25
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
1.20
#NAME? #NAME? 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
9 20 21 22
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.1352228
R Square 0.0182852
Adjusted R Square 0.0085652
Standard Error 0.0248458
Observations 103

ANOVA
df SS MS F Significance F
Regression 1 0.0011613 0.0011613 1.8812028 0.173236838
Residual 101 0.0623486 0.0006173
Total 102 0.0635099

CoefficientsStandard Error t Stat P-value Lower 95% Upper 95%

Intercept 0.0500409 0.0361971 1.3824568 0.1698809 -0.02176435 0.1218461
Rate -0.0347416 0.0253298 -1.3715695 0.1732368 -0.08498914 0.0155059
Geometric mean reversion Parameter estimation
US/Euro Exchange Rate drift (mu) 1.4464 Simulation
Date Rate Percentage changesvolatility (sigma) 0.0177 Path 1 Path 2 Path 3
24-Aug-07 1.3679 -0.0037 speed (kappa) 0.0253 Initial price 1.42 1.42 1.42
31-Aug-07 1.3628 0.0101 1 #NAME? #NAME? #NAME?
7-Sep-07 1.3766 0.0078 2 #NAME? #NAME? #NAME?
14-Sep-07 1.3873 0.0156 3 #NAME? #NAME? #NAME?
21-Sep-07 1.4089 0.0129 4 #NAME? #NAME? #NAME?
28-Sep-07 1.4271 -0.0095 5 #NAME? #NAME? #NAME?
5-Oct-07 1.4135 0.0030 6 #NAME? #NAME? #NAME?
12-Oct-07 1.4178 0.0089 7 #NAME? #NAME? #NAME?
19-Oct-07 1.4304 0.0064 8 #NAME? #NAME? #NAME?
26-Oct-07 1.4396 0.0077 9 #NAME? #NAME? #NAME?
2-Nov-07 1.4507 0.0115 10 #NAME? #NAME? #NAME?
9-Nov-07 1.4674 -0.0012 11 #NAME? #NAME? #NAME?
16-Nov-07 1.4657 0.0121 12 #NAME? #NAME? #NAME?
23-Nov-07 1.4835 -0.0138 13 #NAME? #NAME? #NAME?
30-Nov-07 1.4631 0.0016 14 #NAME? #NAME? #NAME?
7-Dec-07 1.4655 -0.0162 15 #NAME? #NAME? #NAME?
14-Dec-07 1.4417 -0.0036 16 #NAME? #NAME? #NAME?
21-Dec-07 1.4365 0.0244 17 #NAME? #NAME? #NAME?
28-Dec-07 1.4715 0.0019 18 #NAME? #NAME? #NAME?
4-Jan-08 1.4743 0.0022 19 #NAME? #NAME? #NAME?
11-Jan-08 1.4775 -0.0112 20 #NAME? #NAME? #NAME?
18-Jan-08 1.4609 0.0042 21 #NAME? #NAME? #NAME?
14-Aug-09 1.4202
Path 4 Path 5
1.42 1.42 1.45
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME? 1.40
#NAME? #NAME?
#NAME? #NAME? 1.35
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME? 1.30
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME? 1.25
#NAME? #NAME?
#NAME? #NAME? 1.20
#NAME? #NAME? 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.13797198
R Square 0.01903627
Adjusted R Square 0.00932376
Standard Error 0.01772511
Observations 103

ANOVA
df SS MS F Significance F
Regression 1 0.000615783 0.0006158 1.9599736 0.164580421
Residual 101 0.031732124 0.0003142
Total 102 0.032347908

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

Intercept 0.0365913 0.02582317 1.416995 0.1595617 -0.014634919 0.0878175
Rate -0.0252984 0.018070426 -1.3999906 0.1645804 -0.061145288 0.0105484