Search found 2 matches
- Wed Apr 06, 2011 1:22 am
- Forum: Data Manipulation
- Topic: Splitting positive and negative values within same timeserie
- Replies: 3
- Views: 4533
Re: Splitting positive and negative values within same times
the full regression i am trying to run is: change in vix = bo + b1VIXt-1 + SPXret+ + SPXret- + DevMA5+ + DevMA5- + e I have data from 2006 to 2010. I am looking at the effect contemporaneous index returns has on the VIX (looking at leverage effect). I have a full series of data for SPX returns but i...
- Tue Apr 05, 2011 12:08 pm
- Forum: Data Manipulation
- Topic: Splitting positive and negative values within same timeserie
- Replies: 3
- Views: 4533
Splitting positive and negative values within same timeserie
Hello, I am running a time-series regression where I have to split index returns in to positive and negative variables whilst keeping them on the same dates. If I split them up prior (through using excel) the regression doesn't want to run so I'm assuming there is a command to split them up througho...