Testing over/underreaction to negative/positive shocks
Posted: Fri May 22, 2015 3:20 pm
Hello,
Distinct members , I'am really new to eviews, and I would like to ask if is someone is kind enough to help me. Ho knows how I might run these condition in eviews:
Ri,t+ >AVG(Ri(-60,-11)+2*STDV(Ri(-60,-11)
Where : Ri is return of a index in day t+
AVG(Ri(-60,-11) is the average daily return, for a period that starts 60 days befor t+ and ends 11 days before t+
STDV(Ri(-60,-11) is the standard deviation for the same period.
Distinct members , I'am really new to eviews, and I would like to ask if is someone is kind enough to help me. Ho knows how I might run these condition in eviews:
Ri,t+ >AVG(Ri(-60,-11)+2*STDV(Ri(-60,-11)
Where : Ri is return of a index in day t+
AVG(Ri(-60,-11) is the average daily return, for a period that starts 60 days befor t+ and ends 11 days before t+
STDV(Ri(-60,-11) is the standard deviation for the same period.