1.

05%

5Y Yield Rate Return

GARCH(1,1) Model
EWMA Model
Historical Date SPX Index Log Return Sigma() Log-Likelihood Sigma() Log-Likelihood
2011-01-03
1,272
2011-01-04
1,270
-0.13%
1.05%
1.05%
2011-01-05
1,277
0.50%
0.97%
4.50
1.01%
4.47
2011-01-06
1,274
-0.21%
0.92%
4.66
0.98%
4.60
2011-01-07
1,272
-0.18%
0.87%
4.73
0.94%
4.65
2011-01-10
1,270
-0.14%
0.81%
4.80
0.90%
4.69
2011-01-11
1,274
0.37%
0.77%
4.75
0.87%
4.65
2011-01-12
1,286
0.90%
0.74%
4.17
0.84%
4.21
2011-01-13
1,284
-0.17%
0.77%
4.84
0.85%
4.75
2011-01-14
1,293
0.74%
0.73%
4.41
0.81%
4.40
2011-01-18
1,295
0.14%
0.75%
4.88
0.81%
4.80
2011-01-19
1,282
-1.02%
0.71%
3.92
0.78%
4.00
2011-01-20
1,280
-0.13%
0.77%
4.85
0.80%
4.82
2011-01-21
1,283
0.24%
0.73%
4.86
0.77%
4.82
2011-01-24
1,291
0.58%
0.70%
4.62
0.74%
4.60
2011-01-25
1,291
0.03%
0.70%
4.96
0.73%
4.92
2011-01-26
1,297
0.42%
0.67%
4.81
0.70%
4.78
2011-01-27
1,300
0.22%
0.66%
4.97
0.68%
4.93
2011-01-28
1,276
-1.80%
0.64%
1.05
0.66%
1.28
2011-01-31
1,286
0.76%
0.90%
4.35
0.81%
4.37
2011-02-01
1,308
1.66%
0.89%
2.99
0.80%
2.70
2011-02-02
1,304
-0.27%
1.03%
4.54
0.90%
4.66
2011-02-03
1,307
0.24%
0.96%
4.61
0.87%
4.71
2011-02-04
1,311
0.29%
0.90%
4.66
0.84%
4.73
2011-02-07
1,319
0.62%
0.85%
4.50
0.81%
4.52
2011-02-08
1,325
0.42%
0.83%
4.67
0.79%
4.70
2011-02-09
1,321
-0.28%
0.79%
4.78
0.77%
4.80
2011-02-10
1,322
0.07%
0.75%
4.88
0.74%
4.90
2011-02-11
1,329
0.55%
0.71%
4.65
0.72%
4.65
2011-02-14
1,332
0.24%
0.71%
4.89
0.70%
4.90
2011-02-15
1,328
-0.32%
0.68%
4.88
0.68%
4.88
2011-02-16
1,336
0.62%
0.66%
4.57
0.66%
4.57
2011-02-17
1,340
0.31%
0.67%
4.90
0.66%
4.92
2011-02-18
1,343
0.19%
0.65%
4.99
0.64%
5.01
2011-02-22
1,315
-2.07%
0.63%
-0.32
0.61%
-0.64
2011-02-23
1,307
-0.61%
0.98%
4.43
0.83%
4.52
2011-02-24
1,306
-0.10%
0.94%
4.67
0.81%
4.81
2011-02-25
1,320
1.05%
0.87%
4.02
0.78%
3.95
2011-02-28
1,327
0.55%
0.90%
4.52
0.80%
4.59
2011-03-01
1,306
-1.59%
0.87%
3.08
0.79%
2.81
2011-03-02
1,308
0.16%
1.00%
4.59
0.88%
4.72
2011-03-03
1,331
1.71%
0.93%
3.00
0.84%
2.72
2011-03-04
1,321
-0.74%
1.07%
4.30
0.94%
4.36
2011-03-07
1,310
-0.84%
1.03%
4.24
0.92%
4.27
2011-03-08
1,322
0.89%
1.00%
4.21
0.92%
4.22
2011-03-09
1,320
-0.14%
0.99%
4.61
0.92%
4.68
2011-03-10
1,295
-1.91%
0.92%
2.55
0.88%
2.39
2011-03-11
1,304
0.71%
1.11%
4.30
1.00%
4.36
2011-03-14
1,296
-0.61%
1.06%
4.38
0.98%
4.43
2011-03-15
1,282
-1.13%
1.01%
3.97
0.96%
3.96
2011-03-16
1,257
-1.97%
1.02%
2.73
0.97%
2.57
2011-03-17
1,274
1.33%
1.19%
3.81
1.08%
3.77
2011-03-18
1,279
0.43%
1.21%
4.36
1.10%
4.43
2011-03-21
1,298
1.49%
1.12%
3.61
1.07%
3.57
2011-03-22
1,294
-0.36%
1.17%
4.40
1.10%
4.45
2011-03-23
1,298
0.29%
1.09%
4.48
1.06%
4.50
2011-03-24
1,310
0.93%
1.01%
4.17
1.03%
4.17
2011-03-25
1,314
0.32%
1.00%
4.55
1.02%
4.54
2011-03-28
1,310
-0.28%
0.94%
4.63
0.98%
4.58
2011-03-29
1,319
0.70%
0.88%
4.41
0.95%
4.38
2011-03-30
1,328
0.67%
0.86%
4.45
0.93%
4.42
2011-03-31
1,326
-0.18%
0.85%
4.75
0.91%
4.68

GARCH(1,1) Volatility

The return series is assu

distribution with zero m
return(i) ~ N(0, sigm

The variance for the ret

following recursive proc
sigma(i)^2 = + *

GARCH(1,1) Volatility
Model Parameters
Lambda,
Alpha,
Beta,
tationary, +
/(1--)
long term vol
Total Log-Likelihood

Pre dicte d Volatility

Std. Dev.:

4.00%

3.00%

2.00%

1.00%

-1.00%

-2.00%

2011-04-01
2011-04-04
2011-04-05
2011-04-06
2011-04-07
2011-04-08
2011-04-11
2011-04-12
2011-04-13
2011-04-14
2011-04-15
2011-04-18
2011-04-19
2011-04-20
2011-04-21
2011-04-25
2011-04-26
2011-04-27
2011-04-28
2011-04-29
2011-05-02
2011-05-03
2011-05-04
2011-05-05
2011-05-06
2011-05-09
2011-05-10
2011-05-11
2011-05-12
2011-05-13
2011-05-16
2011-05-17
2011-05-18
2011-05-19
2011-05-20
2011-05-23
2011-05-24
2011-05-25
2011-05-26
2011-05-27
2011-05-31
2011-06-01
2011-06-02
2011-06-03
2011-06-06
2011-06-07
2011-06-08
2011-06-09
2011-06-10
2011-06-13
2011-06-14
2011-06-15
2011-06-16
2011-06-17
2011-06-20
2011-06-21
2011-06-22
2011-06-23
2011-06-24
2011-06-27
2011-06-28
2011-06-29
2011-06-30
2011-07-01
2011-07-05
2011-07-06

1,332
1,333
1,333
1,336
1,334
1,328
1,324
1,314
1,314
1,315
1,320
1,305
1,313
1,330
1,337
1,335
1,347
1,356
1,360
1,364
1,361
1,357
1,347
1,335
1,340
1,346
1,357
1,342
1,349
1,338
1,329
1,329
1,341
1,344
1,333
1,317
1,316
1,320
1,326
1,331
1,345
1,315
1,313
1,300
1,286
1,285
1,280
1,289
1,271
1,272
1,288
1,265
1,268
1,272
1,278
1,296
1,287
1,284
1,268
1,280
1,297
1,307
1,321
1,340
1,338
1,339

0.50%
0.03%
-0.02%
0.22%
-0.15%
-0.40%
-0.28%
-0.78%
0.02%
0.01%
0.39%
-1.11%
0.57%
1.34%
0.53%
-0.16%
0.89%
0.62%
0.35%
0.23%
-0.18%
-0.34%
-0.69%
-0.91%
0.38%
0.45%
0.80%
-1.12%
0.49%
-0.81%
-0.62%
-0.04%
0.88%
0.22%
-0.77%
-1.20%
-0.08%
0.32%
0.39%
0.41%
1.05%
-2.30%
-0.12%
-0.98%
-1.08%
-0.10%
-0.42%
0.74%
-1.41%
0.07%
1.25%
-1.76%
0.18%
0.30%
0.54%
1.33%
-0.65%
-0.28%
-1.18%
0.91%
1.29%
0.82%
1.01%
1.43%
-0.13%
0.10%

0.80%
0.77%
0.73%
0.69%
0.67%
0.64%
0.63%
0.62%
0.66%
0.64%
0.61%
0.61%
0.72%
0.71%
0.84%
0.81%
0.77%
0.80%
0.78%
0.75%
0.72%
0.68%
0.67%
0.69%
0.74%
0.71%
0.70%
0.73%
0.80%
0.78%
0.79%
0.78%
0.74%
0.77%
0.73%
0.75%
0.84%
0.79%
0.75%
0.73%
0.71%
0.78%
1.12%
1.04%
1.03%
1.03%
0.96%
0.91%
0.89%
0.98%
0.91%
0.97%
1.11%
1.03%
0.96%
0.92%
0.99%
0.95%
0.89%
0.94%
0.94%
0.99%
0.97%
0.98%
1.05%
0.98%

4.64
4.86
4.92
4.92
4.99
4.85
4.96
4.29
5.02
5.06
4.89
3.45
4.62
3.17
4.58
4.79
4.19
4.53
4.75
4.84
4.91
4.86
4.48
4.10
4.78
4.74
4.30
3.75
4.64
4.31
4.53
4.85
4.20
4.83
4.36
3.62
4.78
4.76
4.75
4.77
3.84
0.45
4.48
4.12
4.02
4.57
4.55
4.37
3.47
4.62
3.75
2.99
4.49
4.53
4.49
3.63
4.40
4.61
3.84
4.19
3.73
4.27
4.10
3.56
4.55
4.62

0.88%
0.85%
0.82%
0.79%
0.76%
0.73%
0.71%
0.69%
0.69%
0.67%
0.64%
0.62%
0.67%
0.67%
0.74%
0.73%
0.70%
0.72%
0.71%
0.69%
0.66%
0.64%
0.62%
0.63%
0.65%
0.64%
0.62%
0.64%
0.69%
0.68%
0.69%
0.68%
0.66%
0.68%
0.65%
0.66%
0.72%
0.69%
0.67%
0.65%
0.64%
0.68%
0.91%
0.88%
0.89%
0.90%
0.87%
0.84%
0.83%
0.89%
0.86%
0.89%
0.99%
0.95%
0.92%
0.89%
0.93%
0.92%
0.88%
0.91%
0.91%
0.94%
0.94%
0.94%
0.99%
0.95%

4.58
4.76
4.80
4.81
4.86
4.77
4.87
4.33
4.97
5.01
4.86
3.50
4.64
2.98
4.65
4.90
4.15
4.56
4.82
4.92
4.98
4.91
4.47
4.02
4.86
4.80
4.25
3.53
4.73
4.28
4.57
4.99
4.13
4.95
4.33
3.37
4.93
4.87
4.83
4.84
3.68
-0.79
4.69
4.11
3.98
4.70
4.63
4.40
3.36
4.72
3.69
2.78
4.60
4.60
4.52
3.60
4.43
4.65
3.84
4.19
3.70
4.28
4.09
3.51
4.61
4.65

2011-07-07
2011-07-08
2011-07-11
2011-07-12
2011-07-13
2011-07-14
2011-07-15
2011-07-18
2011-07-19
2011-07-20
2011-07-21
2011-07-22
2011-07-25
2011-07-26
2011-07-27
2011-07-28
2011-07-29
2011-08-01
2011-08-02
2011-08-03
2011-08-04
2011-08-05
2011-08-08
2011-08-09
2011-08-10
2011-08-11
2011-08-12
2011-08-15
2011-08-16
2011-08-17
2011-08-18
2011-08-19
2011-08-22
2011-08-23
2011-08-24
2011-08-25
2011-08-26
2011-08-29
2011-08-30
2011-08-31
2011-09-01
2011-09-02
2011-09-06
2011-09-07
2011-09-08
2011-09-09
2011-09-12
2011-09-13
2011-09-14
2011-09-15
2011-09-16
2011-09-19
2011-09-20
2011-09-21
2011-09-22
2011-09-23
2011-09-26
2011-09-27
2011-09-28
2011-09-29
2011-09-30
2011-10-03
2011-10-04
2011-10-05
2011-10-06
2011-10-07

1,353
1,344
1,319
1,314
1,318
1,309
1,316
1,305
1,327
1,326
1,344
1,345
1,337
1,332
1,305
1,301
1,292
1,287
1,254
1,260
1,200
1,199
1,119
1,173
1,121
1,173
1,179
1,204
1,193
1,194
1,141
1,124
1,124
1,162
1,178
1,159
1,177
1,210
1,213
1,219
1,204
1,174
1,165
1,199
1,186
1,154
1,162
1,173
1,189
1,209
1,216
1,204
1,202
1,167
1,130
1,136
1,163
1,175
1,151
1,160
1,131
1,099
1,124
1,144
1,165
1,155

1.04%
-0.70%
-1.83%
-0.44%
0.31%
-0.67%
0.55%
-0.82%
1.62%
-0.07%
1.35%
0.09%
-0.57%
-0.41%
-2.05%
-0.32%
-0.65%
-0.41%
-2.59%
0.50%
-4.90%
-0.06%
-6.90%
4.63%
-4.52%
4.53%
0.52%
2.16%
-0.98%
0.09%
-4.56%
-1.51%
0.03%
3.37%
1.30%
-1.57%
1.50%
2.79%
0.23%
0.49%
-1.19%
-2.56%
-0.75%
2.82%
-1.07%
-2.71%
0.69%
0.91%
1.34%
1.70%
0.57%
-0.99%
-0.17%
-2.98%
-3.24%
0.61%
2.31%
1.06%
-2.09%
0.81%
-2.53%
-2.89%
2.22%
1.77%
1.81%
-0.82%

0.91%
0.93%
0.91%
1.08%
1.01%
0.95%
0.92%
0.88%
0.88%
1.01%
0.94%
1.01%
0.94%
0.90%
0.85%
1.10%
1.02%
0.98%
0.92%
1.29%
1.20%
2.12%
1.93%
3.09%
3.28%
3.41%
3.52%
3.20%
3.01%
2.76%
2.50%
2.83%
2.63%
2.39%
2.50%
2.33%
2.19%
2.07%
2.15%
1.96%
1.79%
1.70%
1.81%
1.68%
1.85%
1.74%
1.87%
1.73%
1.61%
1.56%
1.56%
1.44%
1.37%
1.26%
1.60%
1.89%
1.73%
1.80%
1.69%
1.72%
1.60%
1.74%
1.91%
1.92%
1.87%
1.83%

4.05
4.40
2.67
4.44
4.55
4.41
4.51
4.30
3.03
4.59
3.64
4.59
4.49
4.61
1.87
4.47
4.38
4.54
0.76
4.28
-3.96
3.86
-2.45
2.35
2.47
2.50
3.34
3.22
3.45
3.59
2.03
3.42
3.64
2.74
3.55
3.53
3.59
2.97
3.83
3.90
3.80
2.94
3.92
2.67
3.82
2.84
3.91
3.92
3.78
3.56
4.10
4.01
4.28
1.56
2.08
3.92
3.17
3.84
3.31
3.95
2.89
2.67
3.28
3.53
3.51
3.90

0.91%
0.92%
0.91%
1.01%
0.98%
0.94%
0.92%
0.90%
0.89%
0.97%
0.93%
0.97%
0.93%
0.91%
0.88%
1.02%
0.98%
0.96%
0.93%
1.15%
1.11%
1.73%
1.67%
2.50%
2.73%
2.91%
3.06%
2.95%
2.89%
2.79%
2.68%
2.87%
2.79%
2.68%
2.74%
2.65%
2.59%
2.52%
2.54%
2.44%
2.35%
2.28%
2.30%
2.22%
2.27%
2.20%
2.25%
2.17%
2.10%
2.05%
2.02%
1.95%
1.89%
1.82%
1.93%
2.06%
1.99%
2.02%
1.96%
1.97%
1.90%
1.96%
2.05%
2.06%
2.04%
2.02%

4.05
4.40
2.68
4.50
4.58
4.41
4.50
4.30
3.08
4.63
3.63
4.63
4.49
4.60
2.02
4.53
4.40
4.55
0.82
4.37
-5.20
4.05
-4.47
1.97
2.23
2.33
3.47
3.26
3.49
3.58
2.17
3.41
3.58
2.83
3.48
3.45
3.49
3.07
3.67
3.69
3.62
3.15
3.72
3.00
3.67
3.06
3.75
3.74
3.66
3.54
3.86
3.81
3.96
2.66
2.54
3.84
3.25
3.76
3.36
3.84
3.08
2.85
3.30
3.51
3.50
3.82

2011-10-10
2011-10-11
2011-10-12
2011-10-13
2011-10-14
2011-10-17
2011-10-18
2011-10-19
2011-10-20
2011-10-21
2011-10-24
2011-10-25
2011-10-26
2011-10-27
2011-10-28
2011-10-31
2011-11-01
2011-11-02
2011-11-03
2011-11-04
2011-11-07
2011-11-08
2011-11-09
2011-11-10
2011-11-11
2011-11-14
2011-11-15
2011-11-16
2011-11-17
2011-11-18
2011-11-21
2011-11-22
2011-11-23
2011-11-25
2011-11-28
2011-11-29
2011-11-30
2011-12-01
2011-12-02
2011-12-05
2011-12-06
2011-12-07
2011-12-08
2011-12-09
2011-12-12
2011-12-13
2011-12-14
2011-12-15
2011-12-16
2011-12-19
2011-12-20
2011-12-21
2011-12-22
2011-12-23
2011-12-27
2011-12-28
2011-12-29
2011-12-30
2012-01-03
2012-01-04
2012-01-05
2012-01-06
2012-01-09
2012-01-10
2012-01-11
2012-01-12

1,195
1,196
1,207
1,204
1,225
1,201
1,225
1,210
1,215
1,238
1,254
1,229
1,242
1,285
1,285
1,253
1,218
1,238
1,261
1,253
1,261
1,276
1,229
1,240
1,264
1,252
1,258
1,237
1,216
1,216
1,193
1,188
1,162
1,159
1,193
1,195
1,247
1,245
1,244
1,257
1,258
1,261
1,234
1,255
1,236
1,226
1,212
1,216
1,220
1,205
1,241
1,244
1,254
1,265
1,265
1,250
1,263
1,258
1,277
1,277
1,281
1,278
1,281
1,292
1,292
1,296

3.36%
0.05%
0.97%
-0.30%
1.72%
-1.96%
2.02%
-1.27%
0.45%
1.86%
1.28%
-2.02%
1.05%
3.37%
0.04%
-2.50%
-2.83%
1.60%
1.86%
-0.63%
0.63%
1.17%
-3.74%
0.86%
1.93%
-0.96%
0.48%
-1.68%
-1.69%
-0.04%
-1.88%
-0.41%
-2.23%
-0.27%
2.88%
0.22%
4.24%
-0.19%
-0.02%
1.02%
0.11%
0.20%
-2.14%
1.67%
-1.50%
-0.87%
-1.14%
0.32%
0.32%
-1.18%
2.94%
0.19%
0.82%
0.90%
0.01%
-1.26%
1.07%
-0.43%
1.54%
0.02%
0.29%
-0.25%
0.23%
0.88%
0.03%
0.23%

1.70%
1.99%
1.81%
1.69%
1.55%
1.55%
1.59%
1.64%
1.57%
1.44%
1.49%
1.45%
1.52%
1.45%
1.82%
1.66%
1.77%
1.93%
1.85%
1.82%
1.68%
1.55%
1.49%
1.94%
1.79%
1.78%
1.67%
1.53%
1.53%
1.54%
1.41%
1.47%
1.35%
1.49%
1.37%
1.64%
1.51%
2.08%
1.90%
1.73%
1.63%
1.49%
1.36%
1.48%
1.49%
1.47%
1.39%
1.34%
1.24%
1.15%
1.14%
1.51%
1.39%
1.31%
1.25%
1.15%
1.16%
1.14%
1.06%
1.14%
1.05%
0.98%
0.91%
0.86%
0.87%
0.81%

2.13
3.92
3.87
4.06
3.55
3.37
3.33
3.81
4.11
3.41
3.84
3.26
3.95
1.52
4.01
2.96
2.76
3.61
3.48
3.94
4.02
3.88
1.04
3.85
3.44
3.88
4.05
3.58
3.57
4.18
3.37
4.18
2.94
4.19
2.07
4.10
0.23
3.87
3.96
3.88
4.12
4.20
3.07
3.57
3.70
4.04
3.94
4.28
4.36
3.94
1.17
4.18
4.10
4.10
4.38
3.87
4.04
4.40
3.50
4.48
4.52
4.59
4.66
4.23
4.75
4.77

1.96%
2.10%
2.02%
1.96%
1.88%
1.87%
1.87%
1.89%
1.85%
1.78%
1.78%
1.75%
1.77%
1.73%
1.91%
1.83%
1.89%
1.98%
1.95%
1.95%
1.88%
1.81%
1.77%
1.99%
1.93%
1.93%
1.87%
1.80%
1.79%
1.79%
1.72%
1.73%
1.66%
1.72%
1.65%
1.78%
1.71%
2.02%
1.94%
1.86%
1.81%
1.74%
1.67%
1.71%
1.71%
1.70%
1.65%
1.61%
1.55%
1.49%
1.47%
1.63%
1.57%
1.52%
1.49%
1.43%
1.41%
1.39%
1.34%
1.36%
1.30%
1.25%
1.21%
1.16%
1.14%
1.10%

2.46
3.86
3.79
3.92
3.55
3.43
3.40
3.74
3.96
3.48
3.77
3.38
3.86
2.15
3.96
3.06
2.85
3.60
3.48
3.89
3.92
3.80
1.80
3.82
3.45
3.82
3.94
3.58
3.57
4.02
3.46
4.03
3.19
4.05
2.58
4.02
0.98
3.90
3.94
3.83
4.01
4.04
3.28
3.59
3.68
3.94
3.87
4.11
4.14
3.89
2.22
4.11
4.02
4.01
4.21
3.86
3.98
4.23
3.66
4.30
4.32
4.36
4.40
4.17
4.47
4.49

2012-01-13
2012-01-17
2012-01-18
2012-01-19
2012-01-20
2012-01-23
2012-01-24
2012-01-25
2012-01-26
2012-01-27
2012-01-30
2012-01-31
2012-02-01
2012-02-02
2012-02-03
2012-02-06
2012-02-07
2012-02-08
2012-02-09
2012-02-10
2012-02-13
2012-02-14
2012-02-15
2012-02-16
2012-02-17
2012-02-21
2012-02-22
2012-02-23
2012-02-24
2012-02-27
2012-02-28
2012-02-29
2012-03-01
2012-03-02
2012-03-05
2012-03-06
2012-03-07
2012-03-08
2012-03-09
2012-03-12
2012-03-13
2012-03-14
2012-03-15
2012-03-16
2012-03-19
2012-03-20
2012-03-21
2012-03-22
2012-03-23
2012-03-26
2012-03-27
2012-03-28
2012-03-29
2012-03-30
2012-04-02
2012-04-03
2012-04-04
2012-04-05
2012-04-09
2012-04-10
2012-04-11
2012-04-12
2012-04-13
2012-04-16
2012-04-17
2012-04-18

1,289
1,294
1,308
1,315
1,315
1,316
1,315
1,326
1,318
1,316
1,313
1,312
1,324
1,326
1,345
1,344
1,347
1,350
1,352
1,343
1,352
1,351
1,343
1,358
1,361
1,362
1,358
1,363
1,366
1,368
1,372
1,366
1,374
1,370
1,364
1,343
1,353
1,366
1,371
1,371
1,396
1,394
1,403
1,404
1,410
1,406
1,403
1,393
1,397
1,417
1,413
1,406
1,403
1,408
1,419
1,413
1,399
1,398
1,382
1,359
1,369
1,388
1,370
1,370
1,391
1,385

-0.50%
0.35%
1.10%
0.49%
0.07%
0.05%
-0.10%
0.86%
-0.58%
-0.16%
-0.25%
-0.05%
0.89%
0.11%
1.45%
-0.04%
0.20%
0.22%
0.15%
-0.69%
0.68%
-0.09%
-0.54%
1.10%
0.23%
0.07%
-0.33%
0.43%
0.17%
0.14%
0.34%
-0.47%
0.61%
-0.33%
-0.39%
-1.55%
0.69%
0.98%
0.36%
0.02%
1.80%
-0.12%
0.59%
0.11%
0.40%
-0.30%
-0.19%
-0.72%
0.31%
1.38%
-0.28%
-0.50%
-0.16%
0.37%
0.75%
-0.40%
-1.03%
-0.06%
-1.14%
-1.72%
0.74%
1.37%
-1.26%
-0.05%
1.54%
-0.41%

0.77%
0.75%
0.72%
0.80%
0.77%
0.73%
0.69%
0.66%
0.71%
0.71%
0.68%
0.65%
0.63%
0.69%
0.66%
0.83%
0.78%
0.74%
0.70%
0.67%
0.69%
0.71%
0.67%
0.67%
0.76%
0.72%
0.69%
0.67%
0.66%
0.64%
0.61%
0.61%
0.61%
0.63%
0.62%
0.62%
0.83%
0.82%
0.85%
0.81%
0.76%
0.98%
0.91%
0.88%
0.82%
0.79%
0.75%
0.71%
0.73%
0.70%
0.84%
0.80%
0.77%
0.73%
0.71%
0.73%
0.71%
0.77%
0.73%
0.81%
0.99%
0.96%
1.03%
1.06%
0.98%
1.07%

4.66
4.78
3.76
4.64
4.86
4.92
4.96
4.17
4.62
4.92
4.93
5.03
4.07
4.97
2.59
4.79
4.82
4.87
4.93
4.47
4.49
4.94
4.68
3.68
4.83
4.92
4.86
4.80
4.99
5.04
4.94
4.80
4.59
4.93
4.89
1.94
4.45
4.09
4.68
4.82
2.08
4.62
4.49
4.73
4.68
4.77
4.86
4.43
4.83
3.03
4.72
4.64
4.84
4.79
4.39
4.77
3.90
4.86
3.69
2.55
4.33
3.63
3.83
4.55
3.40
4.46

1.05%
1.02%
0.99%
1.00%
0.97%
0.93%
0.89%
0.86%
0.86%
0.84%
0.81%
0.78%
0.75%
0.76%
0.73%
0.81%
0.78%
0.75%
0.72%
0.69%
0.69%
0.69%
0.67%
0.66%
0.70%
0.68%
0.65%
0.63%
0.62%
0.59%
0.57%
0.56%
0.55%
0.56%
0.54%
0.53%
0.67%
0.67%
0.70%
0.68%
0.65%
0.80%
0.77%
0.76%
0.73%
0.71%
0.69%
0.66%
0.67%
0.65%
0.73%
0.70%
0.69%
0.66%
0.65%
0.66%
0.64%
0.68%
0.65%
0.70%
0.83%
0.82%
0.88%
0.91%
0.87%
0.94%

4.44
4.52
3.99
4.49
4.64
4.68
4.71
4.25
4.53
4.76
4.77
4.85
4.19
4.87
2.94
4.82
4.82
4.85
4.91
4.47
4.49
4.96
4.68
3.63
4.91
4.99
4.90
4.84
5.05
5.10
4.99
4.83
4.58
5.02
4.96
0.99
4.48
3.94
4.83
4.99
1.23
4.81
4.57
4.87
4.77
4.86
4.94
4.42
4.90
2.76
4.85
4.71
4.95
4.86
4.37
4.84
3.77
4.99
3.49
1.94
4.39
3.41
3.71
4.70
3.20
4.57

2012-04-19
2012-04-20
2012-04-23
2012-04-24
2012-04-25
2012-04-26
2012-04-27
2012-04-30
2012-05-01
2012-05-02
2012-05-03
2012-05-04
2012-05-07
2012-05-08
2012-05-09
2012-05-10
2012-05-11
2012-05-14
2012-05-15
2012-05-16
2012-05-17
2012-05-18
2012-05-21
2012-05-22
2012-05-23
2012-05-24
2012-05-25
2012-05-29
2012-05-30
2012-05-31
2012-06-01
2012-06-04
2012-06-05
2012-06-06
2012-06-07
2012-06-08
2012-06-11
2012-06-12
2012-06-13
2012-06-14
2012-06-15
2012-06-18
2012-06-19
2012-06-20
2012-06-21
2012-06-22
2012-06-25
2012-06-26
2012-06-27
2012-06-28
2012-06-29
2012-07-02
2012-07-03
2012-07-05
2012-07-06
2012-07-09
2012-07-10
2012-07-11
2012-07-12
2012-07-13
2012-07-16
2012-07-17
2012-07-18
2012-07-19
2012-07-20
2012-07-23

1,377
1,379
1,367
1,372
1,391
1,400
1,403
1,398
1,406
1,402
1,392
1,369
1,370
1,364
1,355
1,358
1,353
1,338
1,331
1,325
1,305
1,295
1,316
1,317
1,319
1,321
1,318
1,332
1,313
1,310
1,278
1,278
1,286
1,315
1,315
1,326
1,309
1,324
1,315
1,329
1,343
1,345
1,358
1,356
1,326
1,335
1,314
1,320
1,332
1,329
1,362
1,366
1,374
1,368
1,355
1,352
1,341
1,341
1,335
1,357
1,354
1,364
1,373
1,377
1,363
1,351

-0.60%
0.12%
-0.84%
0.37%
1.36%
0.67%
0.24%
-0.39%
0.56%
-0.25%
-0.77%
-1.63%
0.04%
-0.43%
-0.67%
0.25%
-0.34%
-1.12%
-0.58%
-0.44%
-1.52%
-0.74%
1.59%
0.05%
0.17%
0.14%
-0.22%
1.10%
-1.44%
-0.23%
-2.50%
0.01%
0.57%
2.28%
-0.01%
0.81%
-1.27%
1.16%
-0.70%
1.08%
1.03%
0.14%
0.98%
-0.17%
-2.25%
0.71%
-1.61%
0.48%
0.89%
-0.21%
2.46%
0.25%
0.62%
-0.47%
-0.95%
-0.16%
-0.82%
-0.00%
-0.50%
1.64%
-0.23%
0.74%
0.67%
0.27%
-1.01%
-0.89%

1.01%
0.96%
0.89%
0.89%
0.84%
0.94%
0.91%
0.85%
0.81%
0.79%
0.75%
0.77%
0.94%
0.88%
0.84%
0.82%
0.78%
0.75%
0.82%
0.80%
0.77%
0.92%
0.90%
1.02%
0.95%
0.89%
0.83%
0.79%
0.84%
0.95%
0.89%
1.24%
1.14%
1.08%
1.30%
1.20%
1.14%
1.16%
1.15%
1.09%
1.09%
1.07%
1.00%
0.99%
0.92%
1.20%
1.13%
1.20%
1.12%
1.09%
1.01%
1.31%
1.20%
1.13%
1.06%
1.04%
0.97%
0.95%
0.89%
0.85%
1.00%
0.93%
0.91%
0.88%
0.83%
0.87%

4.42
4.64
4.27
4.63
3.49
4.42
4.67
4.66
4.57
4.79
4.37
2.61
4.67
4.62
4.46
4.75
4.76
3.78
4.56
4.68
2.92
4.36
3.14
4.58
4.64
4.71
4.76
3.86
3.31
4.62
0.81
4.39
4.35
2.29
4.34
4.20
3.85
3.96
4.28
4.03
4.07
4.53
4.13
4.60
1.72
4.25
3.47
4.34
4.17
4.50
1.63
4.32
4.29
4.39
4.15
4.55
4.28
4.66
4.57
2.91
4.58
4.36
4.43
4.68
4.05
4.22

0.91%
0.89%
0.86%
0.86%
0.83%
0.88%
0.87%
0.83%
0.81%
0.79%
0.76%
0.76%
0.86%
0.83%
0.81%
0.80%
0.77%
0.74%
0.78%
0.76%
0.74%
0.83%
0.82%
0.91%
0.87%
0.84%
0.81%
0.78%
0.81%
0.87%
0.84%
1.07%
1.02%
1.00%
1.15%
1.10%
1.08%
1.10%
1.10%
1.08%
1.08%
1.07%
1.03%
1.03%
0.99%
1.14%
1.11%
1.16%
1.12%
1.10%
1.06%
1.23%
1.18%
1.15%
1.11%
1.10%
1.06%
1.04%
1.00%
0.97%
1.04%
1.00%
0.98%
0.96%
0.92%
0.93%

4.48
4.71
4.27
4.67
3.46
4.45
4.71
4.68
4.57
4.79
4.37
2.61
4.75
4.66
4.47
4.78
4.77
3.77
4.58
4.71
2.83
4.39
2.94
4.70
4.72
4.77
4.78
3.85
3.22
4.71
0.37
4.54
4.43
1.99
4.47
4.24
3.84
3.96
4.30
4.03
4.08
4.53
4.13
4.56
2.02
4.28
3.45
4.37
4.17
4.49
1.85
4.38
4.30
4.38
4.14
4.50
4.25
4.57
4.48
3.21
4.54
4.33
4.39
4.61
4.09
4.21

2012-07-24
2012-07-25
2012-07-26
2012-07-27
2012-07-30
2012-07-31
2012-08-01
2012-08-02
2012-08-03
2012-08-06
2012-08-07
2012-08-08
2012-08-09
2012-08-10
2012-08-13
2012-08-14
2012-08-15
2012-08-16
2012-08-17
2012-08-20
2012-08-21
2012-08-22
2012-08-23
2012-08-24
2012-08-27
2012-08-28
2012-08-29
2012-08-30
2012-08-31
2012-09-04
2012-09-05
2012-09-06
2012-09-07
2012-09-10
2012-09-11
2012-09-12
2012-09-13
2012-09-14
2012-09-17
2012-09-18
2012-09-19
2012-09-20
2012-09-21
2012-09-24
2012-09-25
2012-09-26
2012-09-27
2012-09-28
2012-10-01
2012-10-02
2012-10-03
2012-10-04
2012-10-05
2012-10-08
2012-10-09
2012-10-10
2012-10-11
2012-10-12
2012-10-15
2012-10-16
2012-10-17
2012-10-18
2012-10-19
2012-10-22
2012-10-23
2012-10-24

1,338
1,338
1,360
1,386
1,385
1,379
1,375
1,365
1,391
1,394
1,401
1,402
1,403
1,406
1,404
1,404
1,406
1,416
1,418
1,418
1,413
1,413
1,402
1,411
1,410
1,409
1,410
1,399
1,407
1,405
1,403
1,432
1,438
1,429
1,434
1,437
1,460
1,466
1,461
1,459
1,461
1,460
1,460
1,457
1,442
1,433
1,447
1,441
1,444
1,446
1,451
1,461
1,461
1,456
1,441
1,433
1,433
1,429
1,440
1,455
1,461
1,457
1,433
1,434
1,413
1,409

-0.91%
-0.03%
1.64%
1.89%
-0.05%
-0.43%
-0.30%
-0.74%
1.89%
0.23%
0.51%
0.06%
0.04%
0.22%
-0.13%
-0.01%
0.11%
0.71%
0.19%
-0.00%
-0.35%
0.02%
-0.81%
0.64%
-0.05%
-0.08%
0.08%
-0.78%
0.51%
-0.12%
-0.11%
2.02%
0.40%
-0.62%
0.31%
0.21%
1.62%
0.40%
-0.31%
-0.13%
0.12%
-0.05%
-0.01%
-0.22%
-1.06%
-0.58%
0.96%
-0.45%
0.26%
0.09%
0.36%
0.71%
-0.03%
-0.35%
-0.99%
-0.62%
0.02%
-0.30%
0.80%
1.02%
0.41%
-0.24%
-1.67%
0.04%
-1.45%
-0.31%

0.88%
0.89%
0.83%
0.99%
1.15%
1.06%
1.00%
0.93%
0.91%
1.10%
1.02%
0.97%
0.90%
0.84%
0.79%
0.75%
0.71%
0.68%
0.70%
0.67%
0.64%
0.63%
0.61%
0.66%
0.67%
0.65%
0.62%
0.60%
0.65%
0.65%
0.63%
0.61%
0.95%
0.90%
0.87%
0.82%
0.78%
0.94%
0.89%
0.84%
0.79%
0.75%
0.71%
0.67%
0.65%
0.74%
0.73%
0.78%
0.75%
0.72%
0.68%
0.67%
0.69%
0.66%
0.65%
0.72%
0.72%
0.69%
0.66%
0.70%
0.77%
0.74%
0.71%
0.91%
0.85%
0.96%

4.20
4.73
2.83
2.78
4.46
4.46
4.56
4.36
2.56
4.49
4.46
4.64
4.71
4.75
4.83
4.89
4.94
4.45
4.93
5.01
4.90
5.07
4.21
4.55
5.00
5.03
5.07
4.26
4.73
5.02
5.06
-0.47
4.57
4.48
4.68
4.77
2.68
4.57
4.66
4.77
4.83
4.89
4.95
4.94
3.72
4.61
4.05
4.69
4.83
4.93
4.84
4.44
4.97
4.88
3.86
4.56
4.93
4.89
4.28
3.90
4.73
4.85
2.17
4.70
3.31
4.59

0.93%
0.93%
0.89%
0.97%
1.07%
1.03%
0.99%
0.96%
0.94%
1.05%
1.01%
0.98%
0.94%
0.90%
0.87%
0.84%
0.80%
0.77%
0.77%
0.74%
0.71%
0.69%
0.66%
0.67%
0.67%
0.64%
0.62%
0.59%
0.61%
0.60%
0.58%
0.56%
0.78%
0.76%
0.75%
0.72%
0.70%
0.81%
0.78%
0.76%
0.73%
0.70%
0.67%
0.64%
0.62%
0.67%
0.66%
0.69%
0.67%
0.65%
0.62%
0.61%
0.62%
0.59%
0.58%
0.62%
0.62%
0.60%
0.58%
0.60%
0.64%
0.63%
0.61%
0.75%
0.72%
0.80%

4.20
4.68
3.02
2.74
4.54
4.49
4.56
4.35
2.66
4.53
4.47
4.63
4.67
4.68
4.74
4.79
4.82
4.44
4.84
4.91
4.83
4.98
4.27
4.54
5.00
5.04
5.08
4.26
4.75
5.09
5.13
-1.36
4.72
4.55
4.81
4.89
2.26
4.70
4.77
4.87
4.91
4.96
5.00
4.98
3.64
4.64
3.96
4.77
4.92
5.03
4.91
4.41
5.09
4.96
3.67
4.58
5.08
5.00
4.18
3.66
4.84
5.00
1.30
4.90
2.87
4.76

2012-10-25
2012-10-26
2012-10-31
2012-11-01
2012-11-02
2012-11-05
2012-11-06
2012-11-07
2012-11-08
2012-11-09
2012-11-12
2012-11-13
2012-11-14
2012-11-15
2012-11-16
2012-11-19
2012-11-20
2012-11-21
2012-11-23
2012-11-26
2012-11-27
2012-11-28
2012-11-29
2012-11-30
2012-12-03
2012-12-04
2012-12-05
2012-12-06
2012-12-07
2012-12-10
2012-12-11
2012-12-12
2012-12-13
2012-12-14
2012-12-17
2012-12-18
2012-12-19
2012-12-20
2012-12-21
2012-12-24
2012-12-26
2012-12-27
2012-12-28
2012-12-31
2013-01-02
2013-01-03
2013-01-04
2013-01-07
2013-01-08
2013-01-09
2013-01-10
2013-01-11
2013-01-14
2013-01-15
2013-01-16
2013-01-17
2013-01-18
2013-01-22
2013-01-23
2013-01-24
2013-01-25
2013-01-28
2013-01-29
2013-01-30
2013-01-31
2013-02-01

1,413
1,412
1,412
1,428
1,414
1,417
1,428
1,395
1,378
1,380
1,380
1,375
1,355
1,353
1,360
1,387
1,388
1,391
1,409
1,406
1,399
1,410
1,416
1,416
1,409
1,407
1,409
1,414
1,418
1,419
1,428
1,428
1,419
1,414
1,430
1,447
1,436
1,444
1,430
1,427
1,420
1,418
1,402
1,426
1,462
1,459
1,466
1,462
1,457
1,461
1,472
1,472
1,471
1,472
1,473
1,481
1,486
1,493
1,495
1,495
1,503
1,500
1,508
1,502
1,498
1,513

0.30%
-0.07%
0.02%
1.09%
-0.94%
0.22%
0.78%
-2.40%
-1.23%
0.17%
0.01%
-0.40%
-1.39%
-0.16%
0.48%
1.97%
0.07%
0.23%
1.29%
-0.20%
-0.52%
0.78%
0.43%
0.02%
-0.48%
-0.17%
0.16%
0.33%
0.29%
0.03%
0.65%
0.04%
-0.63%
-0.41%
1.18%
1.14%
-0.76%
0.55%
-0.94%
-0.24%
-0.48%
-0.12%
-1.11%
1.68%
2.51%
-0.21%
0.49%
-0.31%
-0.32%
0.27%
0.76%
-0.00%
-0.09%
0.11%
0.02%
0.56%
0.34%
0.44%
0.15%
0.00%
0.54%
-0.19%
0.51%
-0.39%
-0.26%
1.00%

0.90%
0.85%
0.80%
0.75%
0.82%
0.84%
0.80%
0.80%
1.16%
1.16%
1.08%
1.00%
0.94%
1.01%
0.94%
0.90%
1.11%
1.02%
0.95%
1.01%
0.94%
0.90%
0.89%
0.84%
0.79%
0.77%
0.73%
0.69%
0.67%
0.65%
0.63%
0.65%
0.62%
0.65%
0.64%
0.75%
0.83%
0.83%
0.80%
0.83%
0.79%
0.76%
0.72%
0.80%
0.97%
1.29%
1.19%
1.11%
1.04%
0.97%
0.91%
0.89%
0.83%
0.78%
0.74%
0.70%
0.70%
0.68%
0.67%
0.64%
0.62%
0.63%
0.61%
0.62%
0.62%
0.60%

4.65
4.76
4.83
3.85
4.14
4.74
4.35
0.36
3.90
4.44
4.53
4.53
3.56
4.58
4.53
2.31
4.50
4.56
3.73
4.58
4.51
4.33
4.61
4.77
4.66
4.85
4.90
4.86
4.91
5.03
4.53
5.03
4.56
4.84
3.35
3.74
4.37
4.58
4.14
4.75
4.66
4.86
3.75
2.62
1.32
4.33
4.35
4.46
4.52
4.60
4.35
4.72
4.78
4.84
4.90
4.64
4.84
4.78
4.98
5.05
4.70
5.02
4.75
4.88
5.00
3.73

0.77%
0.75%
0.72%
0.69%
0.73%
0.75%
0.72%
0.72%
0.96%
0.99%
0.95%
0.91%
0.88%
0.93%
0.90%
0.87%
1.00%
0.96%
0.93%
0.96%
0.92%
0.90%
0.89%
0.86%
0.83%
0.81%
0.78%
0.75%
0.72%
0.70%
0.67%
0.67%
0.64%
0.64%
0.63%
0.69%
0.73%
0.73%
0.72%
0.74%
0.72%
0.70%
0.67%
0.72%
0.83%
1.06%
1.02%
0.99%
0.96%
0.92%
0.89%
0.88%
0.84%
0.81%
0.78%
0.75%
0.74%
0.71%
0.70%
0.67%
0.64%
0.64%
0.61%
0.61%
0.59%
0.57%

4.79
4.89
4.94
3.73
4.08
4.86
4.34
-0.57
3.83
4.60
4.66
4.60
3.48
4.66
4.57
2.20
4.60
4.62
3.70
4.62
4.52
4.33
4.61
4.75
4.63
4.80
4.84
4.80
4.85
4.96
4.53
5.00
4.56
4.84
3.30
3.60
4.38
4.64
4.08
4.85
4.72
4.95
3.64
2.19
0.25
4.53
4.47
4.56
4.59
4.65
4.36
4.73
4.77
4.80
4.85
4.61
4.81
4.75
4.94
5.01
4.69
5.02
4.75
4.90
5.04
3.64

2013-02-04
2013-02-05
2013-02-06
2013-02-07
2013-02-08
2013-02-11
2013-02-12
2013-02-13
2013-02-14
2013-02-15
2013-02-19
2013-02-20
2013-02-21
2013-02-22
2013-02-25
2013-02-26
2013-02-27
2013-02-28
2013-03-01
2013-03-04
2013-03-05
2013-03-06
2013-03-07
2013-03-08
2013-03-11
2013-03-12
2013-03-13
2013-03-14
2013-03-15
2013-03-18
2013-03-19
2013-03-20
2013-03-21
2013-03-22
2013-03-25
2013-03-26
2013-03-27
2013-03-28
2013-04-01
2013-04-02
2013-04-03
2013-04-04
2013-04-05
2013-04-08
2013-04-09
2013-04-10
2013-04-11
2013-04-12
2013-04-15
2013-04-16
2013-04-17
2013-04-18
2013-04-19
2013-04-22
2013-04-23
2013-04-24
2013-04-25
2013-04-26
2013-04-29
2013-04-30
2013-05-01
2013-05-02
2013-05-03
2013-05-06
2013-05-07
2013-05-08

1,496
1,511
1,512
1,509
1,518
1,517
1,519
1,520
1,521
1,520
1,531
1,512
1,502
1,516
1,488
1,497
1,516
1,515
1,518
1,525
1,540
1,541
1,544
1,551
1,556
1,552
1,555
1,563
1,561
1,552
1,548
1,559
1,546
1,557
1,552
1,564
1,563
1,569
1,562
1,570
1,554
1,560
1,553
1,563
1,569
1,588
1,593
1,589
1,552
1,575
1,552
1,542
1,555
1,563
1,579
1,579
1,585
1,582
1,594
1,598
1,583
1,598
1,614
1,618
1,626
1,633

-1.16%
1.04%
0.05%
-0.18%
0.56%
-0.06%
0.16%
0.06%
0.07%
-0.10%
0.73%
-1.25%
-0.63%
0.87%
-1.85%
0.61%
1.26%
-0.09%
0.23%
0.46%
0.95%
0.11%
0.18%
0.45%
0.32%
-0.24%
0.13%
0.56%
-0.16%
-0.55%
-0.24%
0.67%
-0.83%
0.71%
-0.33%
0.78%
-0.06%
0.40%
-0.45%
0.52%
-1.06%
0.40%
-0.43%
0.63%
0.35%
1.21%
0.35%
-0.28%
-2.32%
1.42%
-1.44%
-0.67%
0.88%
0.47%
1.04%
0.00%
0.40%
-0.18%
0.72%
0.25%
-0.94%
0.94%
1.05%
0.19%
0.52%
0.41%

0.69%
0.79%
0.83%
0.78%
0.74%
0.73%
0.70%
0.67%
0.64%
0.62%
0.60%
0.64%
0.77%
0.76%
0.79%
1.01%
0.96%
1.01%
0.94%
0.88%
0.84%
0.86%
0.81%
0.76%
0.74%
0.71%
0.68%
0.66%
0.66%
0.64%
0.65%
0.63%
0.65%
0.70%
0.72%
0.69%
0.72%
0.68%
0.67%
0.66%
0.66%
0.75%
0.72%
0.70%
0.71%
0.69%
0.79%
0.76%
0.73%
1.10%
1.14%
1.18%
1.12%
1.08%
1.02%
1.02%
0.95%
0.89%
0.84%
0.83%
0.78%
0.82%
0.84%
0.88%
0.83%
0.80%

3.56
3.98
4.79
4.82
4.61
4.91
4.94
5.01
5.05
5.08
4.37
3.14
4.53
4.22
2.10
4.41
3.78
4.59
4.64
4.60
4.14
4.74
4.79
4.70
4.81
4.89
4.97
4.66
4.99
4.68
4.97
4.51
4.22
4.44
4.83
4.35
4.93
4.81
4.78
4.71
3.74
4.75
4.75
4.56
4.82
3.43
4.74
4.81
-0.19
3.68
3.67
4.28
4.18
4.43
4.07
4.59
4.57
4.70
4.42
4.75
4.14
4.15
4.00
4.71
4.60
4.70

0.62%
0.67%
0.71%
0.68%
0.66%
0.65%
0.62%
0.60%
0.58%
0.55%
0.53%
0.55%
0.63%
0.63%
0.66%
0.81%
0.80%
0.84%
0.81%
0.78%
0.76%
0.78%
0.75%
0.72%
0.70%
0.68%
0.66%
0.63%
0.63%
0.60%
0.60%
0.58%
0.59%
0.61%
0.62%
0.60%
0.62%
0.59%
0.58%
0.57%
0.57%
0.62%
0.61%
0.59%
0.60%
0.58%
0.65%
0.63%
0.61%
0.88%
0.93%
0.98%
0.96%
0.95%
0.92%
0.93%
0.90%
0.87%
0.84%
0.83%
0.80%
0.81%
0.82%
0.84%
0.81%
0.79%

3.32
3.82
4.95
4.95
4.66
5.03
5.04
5.11
5.15
5.18
4.29
2.64
4.56
4.11
1.05
4.53
3.58
4.77
4.77
4.68
4.10
4.85
4.87
4.74
4.85
4.93
5.00
4.67
5.04
4.69
5.03
4.49
4.13
4.41
4.94
4.28
5.08
4.90
4.85
4.76
3.42
4.87
4.85
4.57
4.95
2.98
4.88
4.96
-2.06
3.42
3.47
4.39
4.23
4.53
4.06
4.67
4.61
4.72
4.42
4.75
4.14
4.15
3.99
4.75
4.61
4.70

2013-05-09
2013-05-10
2013-05-13
2013-05-14
2013-05-15
2013-05-16
2013-05-17
2013-05-20
2013-05-21
2013-05-22
2013-05-23
2013-05-24
2013-05-28
2013-05-29
2013-05-30
2013-05-31
2013-06-03
2013-06-04
2013-06-05
2013-06-06
2013-06-07
2013-06-10
2013-06-11
2013-06-12
2013-06-13
2013-06-14
2013-06-17
2013-06-18
2013-06-19
2013-06-20
2013-06-21
2013-06-24
2013-06-25
2013-06-26
2013-06-27
2013-06-28
2013-07-01
2013-07-02
2013-07-03
2013-07-05
2013-07-08
2013-07-09
2013-07-10
2013-07-11
2013-07-12
2013-07-15
2013-07-16
2013-07-17
2013-07-18
2013-07-19
2013-07-22
2013-07-23
2013-07-24
2013-07-25
2013-07-26
2013-07-29
2013-07-30
2013-07-31
2013-08-01
2013-08-02
2013-08-05
2013-08-06
2013-08-07
2013-08-08
2013-08-09
2013-08-12

1,627
1,634
1,634
1,650
1,659
1,650
1,667
1,666
1,669
1,655
1,651
1,650
1,660
1,648
1,654
1,631
1,640
1,631
1,609
1,623
1,643
1,643
1,626
1,613
1,636
1,627
1,639
1,652
1,629
1,588
1,592
1,573
1,588
1,603
1,613
1,606
1,615
1,614
1,615
1,632
1,640
1,652
1,653
1,675
1,680
1,683
1,676
1,681
1,689
1,692
1,696
1,692
1,686
1,690
1,692
1,685
1,686
1,686
1,707
1,710
1,707
1,697
1,691
1,697
1,691
1,689

-0.37%
0.43%
0.00%
1.01%
0.51%
-0.50%
1.02%
-0.07%
0.17%
-0.83%
-0.29%
-0.06%
0.63%
-0.71%
0.37%
-1.44%
0.59%
-0.55%
-1.39%
0.85%
1.27%
-0.03%
-1.02%
-0.84%
1.47%
-0.59%
0.75%
0.78%
-1.39%
-2.53%
0.27%
-1.22%
0.95%
0.95%
0.62%
-0.43%
0.54%
-0.05%
0.08%
1.02%
0.52%
0.72%
0.02%
1.35%
0.31%
0.14%
-0.37%
0.28%
0.50%
0.16%
0.20%
-0.19%
-0.38%
0.26%
0.08%
-0.37%
0.04%
-0.01%
1.25%
0.16%
-0.15%
-0.57%
-0.38%
0.39%
-0.36%
-0.12%

0.77%
0.74%
0.72%
0.68%
0.75%
0.74%
0.72%
0.78%
0.74%
0.70%
0.74%
0.71%
0.67%
0.69%
0.70%
0.68%
0.84%
0.82%
0.80%
0.91%
0.90%
0.97%
0.90%
0.92%
0.91%
1.01%
0.96%
0.94%
0.92%
1.00%
1.32%
1.21%
1.21%
1.17%
1.13%
1.07%
1.00%
0.95%
0.89%
0.83%
0.87%
0.83%
0.83%
0.78%
0.89%
0.84%
0.79%
0.75%
0.72%
0.71%
0.68%
0.65%
0.63%
0.62%
0.61%
0.59%
0.59%
0.57%
0.56%
0.71%
0.68%
0.65%
0.66%
0.65%
0.64%
0.63%

4.75
4.74
4.94
3.90
4.66
4.68
3.92
4.85
4.88
4.26
4.83
4.95
4.56
4.45
4.82
2.77
4.53
4.58
3.32
4.27
3.71
4.64
4.07
4.27
3.40
4.42
4.34
4.33
3.54
1.40
4.31
3.90
4.11
4.12
4.33
4.46
4.46
4.65
4.72
4.04
4.57
4.41
4.80
3.36
4.67
4.77
4.73
4.82
4.69
4.92
4.95
4.99
4.88
4.99
5.09
4.93
5.13
5.16
2.70
4.92
4.96
4.64
4.85
4.86
4.89
5.05

0.77%
0.74%
0.72%
0.70%
0.72%
0.71%
0.70%
0.73%
0.70%
0.67%
0.69%
0.66%
0.64%
0.64%
0.64%
0.63%
0.72%
0.71%
0.70%
0.78%
0.78%
0.83%
0.80%
0.82%
0.82%
0.89%
0.87%
0.86%
0.85%
0.91%
1.12%
1.08%
1.09%
1.08%
1.07%
1.04%
1.01%
0.98%
0.94%
0.90%
0.91%
0.89%
0.88%
0.84%
0.89%
0.86%
0.83%
0.80%
0.77%
0.76%
0.73%
0.70%
0.68%
0.66%
0.64%
0.61%
0.60%
0.57%
0.55%
0.63%
0.61%
0.59%
0.58%
0.57%
0.56%
0.55%

4.75
4.73
4.93
3.92
4.68
4.70
3.88
4.92
4.93
4.24
4.89
5.01
4.56
4.44
4.88
2.42
4.59
4.64
3.01
4.27
3.52
4.79
4.01
4.28
3.20
4.50
4.37
4.35
3.43
0.81
4.46
3.89
4.14
4.14
4.37
4.48
4.45
4.62
4.66
4.08
4.53
4.39
4.74
3.50
4.66
4.74
4.69
4.77
4.65
4.86
4.88
4.93
4.84
4.95
5.05
4.91
5.12
5.16
2.63
5.03
5.07
4.66
4.93
4.93
4.98
5.19

2013-08-13
2013-08-14
2013-08-15
2013-08-16
2013-08-19
2013-08-20
2013-08-21
2013-08-22
2013-08-23
2013-08-26
2013-08-27
2013-08-28
2013-08-29
2013-08-30
2013-09-03
2013-09-04
2013-09-05
2013-09-06
2013-09-09
2013-09-10
2013-09-11
2013-09-12
2013-09-13
2013-09-16
2013-09-17
2013-09-18
2013-09-19
2013-09-20
2013-09-23
2013-09-24
2013-09-25
2013-09-26
2013-09-27
2013-09-30
2013-10-01
2013-10-02
2013-10-03
2013-10-04
2013-10-07
2013-10-08
2013-10-09
2013-10-10
2013-10-11
2013-10-14
2013-10-15
2013-10-16
2013-10-17
2013-10-18
2013-10-21
2013-10-22
2013-10-23
2013-10-24
2013-10-25
2013-10-28
2013-10-29
2013-10-30
2013-10-31
2013-11-01
2013-11-04
2013-11-05
2013-11-06
2013-11-07
2013-11-08
2013-11-11
2013-11-12
2013-11-13

1,694
1,685
1,661
1,656
1,646
1,652
1,643
1,657
1,664
1,657
1,630
1,635
1,638
1,633
1,640
1,653
1,655
1,655
1,672
1,684
1,689
1,683
1,688
1,698
1,705
1,726
1,722
1,710
1,702
1,697
1,693
1,699
1,692
1,682
1,695
1,694
1,679
1,691
1,676
1,655
1,656
1,693
1,703
1,710
1,698
1,722
1,733
1,745
1,745
1,755
1,746
1,752
1,760
1,762
1,772
1,763
1,757
1,762
1,768
1,763
1,770
1,747
1,771
1,772
1,768
1,782

0.28%
-0.52%
-1.44%
-0.33%
-0.59%
0.38%
-0.58%
0.86%
0.39%
-0.40%
-1.60%
0.27%
0.20%
-0.32%
0.42%
0.81%
0.12%
0.01%
0.99%
0.73%
0.30%
-0.34%
0.27%
0.57%
0.42%
1.21%
-0.18%
-0.72%
-0.47%
-0.26%
-0.27%
0.35%
-0.41%
-0.60%
0.80%
-0.07%
-0.90%
0.70%
-0.85%
-1.24%
0.06%
2.16%
0.63%
0.41%
-0.71%
1.37%
0.67%
0.65%
0.01%
0.57%
-0.47%
0.33%
0.44%
0.13%
0.56%
-0.49%
-0.38%
0.29%
0.36%
-0.28%
0.43%
-1.33%
1.33%
0.07%
-0.24%
0.81%

0.61%
0.60%
0.61%
0.79%
0.76%
0.75%
0.72%
0.72%
0.75%
0.73%
0.71%
0.89%
0.84%
0.79%
0.76%
0.73%
0.76%
0.72%
0.68%
0.75%
0.76%
0.73%
0.70%
0.67%
0.68%
0.67%
0.78%
0.74%
0.75%
0.73%
0.70%
0.67%
0.66%
0.65%
0.66%
0.70%
0.67%
0.72%
0.73%
0.76%
0.85%
0.80%
1.10%
1.04%
0.98%
0.94%
1.02%
0.97%
0.94%
0.87%
0.85%
0.81%
0.77%
0.75%
0.71%
0.71%
0.70%
0.68%
0.66%
0.64%
0.63%
0.63%
0.78%
0.88%
0.83%
0.78%

5.00
4.74
2.32
4.75
4.58
4.76
4.61
4.22
4.75
4.77
2.39
4.67
4.75
4.76
4.73
4.31
4.87
4.94
3.93
4.42
4.80
4.82
4.89
4.64
4.80
3.36
4.83
4.43
4.69
4.86
4.88
4.87
4.83
4.60
4.29
4.96
4.10
4.46
4.24
3.55
4.76
1.19
4.35
4.49
4.37
3.61
4.37
4.41
4.67
4.53
4.62
4.73
4.70
4.88
4.64
4.71
4.81
4.90
4.88
4.95
4.84
2.82
3.38
4.73
4.75
4.32

0.53%
0.51%
0.51%
0.63%
0.62%
0.61%
0.60%
0.60%
0.62%
0.61%
0.59%
0.72%
0.70%
0.67%
0.65%
0.64%
0.65%
0.63%
0.60%
0.64%
0.65%
0.63%
0.61%
0.59%
0.59%
0.58%
0.65%
0.63%
0.64%
0.62%
0.60%
0.58%
0.57%
0.56%
0.56%
0.58%
0.56%
0.59%
0.60%
0.63%
0.69%
0.67%
0.88%
0.86%
0.84%
0.83%
0.88%
0.87%
0.85%
0.82%
0.80%
0.78%
0.76%
0.74%
0.71%
0.70%
0.68%
0.66%
0.64%
0.63%
0.61%
0.59%
0.68%
0.75%
0.72%
0.70%

5.11
4.76
1.32
4.92
4.63
4.90
4.65
4.09
4.88
4.88
1.50
4.86
4.92
4.89
4.83
4.25
5.01
5.07
3.75
4.40
4.93
4.92
5.00
4.67
4.88
2.97
4.99
4.40
4.78
4.99
5.01
4.96
4.91
4.60
4.18
5.14
3.89
4.43
4.11
3.11
4.97
-0.23
4.48
4.64
4.42
3.42
4.44
4.46
4.77
4.56
4.65
4.77
4.72
4.90
4.64
4.72
4.83
4.92
4.89
4.97
4.86
2.63
3.07
4.89
4.88
4.30

2013-11-14
2013-11-15
2013-11-18
2013-11-19
2013-11-20
2013-11-21
2013-11-22
2013-11-25
2013-11-26
2013-11-27
2013-11-29
2013-12-02
2013-12-03
2013-12-04
2013-12-05
2013-12-06
2013-12-09
2013-12-10
2013-12-11
2013-12-12
2013-12-13
2013-12-16
2013-12-17
2013-12-18
2013-12-19
2013-12-20
2013-12-23
2013-12-24
2013-12-26
2013-12-27
2013-12-30
2013-12-31

1,791
1,798
1,792
1,788
1,781
1,796
1,805
1,802
1,803
1,807
1,806
1,801
1,795
1,793
1,785
1,805
1,808
1,803
1,782
1,776
1,775
1,787
1,781
1,811
1,810
1,818
1,828
1,833
1,842
1,841
1,841
1,848

0.48%
0.42%
-0.37%
-0.20%
-0.36%
0.81%
0.49%
-0.13%
0.01%
0.25%
-0.08%
-0.27%
-0.32%
-0.13%
-0.43%
1.12%
0.18%
-0.32%
-1.14%
-0.38%
-0.01%
0.63%
-0.31%
1.65%
-0.06%
0.48%
0.53%
0.29%
0.47%
-0.03%
-0.02%
0.40%

0.80%
0.77%
0.74%
0.72%
0.69%
0.67%
0.71%
0.70%
0.67%
0.64%
0.62%
0.60%
0.59%
0.59%
0.57%
0.58%
0.70%
0.67%
0.65%
0.75%
0.73%
0.69%
0.70%
0.68%
0.89%
0.83%
0.80%
0.78%
0.74%
0.73%
0.69%
0.66%

4.65
4.72
4.78
4.90
4.84
4.28
4.71
4.95
5.01
4.98
5.07
5.01
4.99
5.12
4.87
3.30
4.93
4.89
3.51
4.76
4.92
4.56
4.87
2.01
4.72
4.62
4.61
4.79
4.70
4.93
4.98
4.84

0.71%
0.69%
0.67%
0.66%
0.63%
0.62%
0.63%
0.62%
0.60%
0.58%
0.56%
0.54%
0.52%
0.51%
0.49%
0.48%
0.56%
0.54%
0.53%
0.60%
0.58%
0.56%
0.57%
0.55%
0.70%
0.67%
0.66%
0.65%
0.63%
0.62%
0.59%
0.57%

4.72
4.79
4.85
4.98
4.90
4.23
4.76
5.06
5.12
5.06
5.18
5.10
5.07
5.25
4.93
2.67
5.13
5.05
2.91
4.92
5.15
4.55
5.02
0.69
4.96
4.75
4.70
4.93
4.78
5.08
5.12
4.93

RCH(1,1) Volatility Process:

EWMA Volatility Process:

e return series is assumed to follow a normal

tribution with zero mean and time dependent variance:
return(i) ~ N(0, sigma(i)^2)

e variance for the return series is assumed to have the

owing recursive process:
sigma(i)^2 = + * sigma(i-1)^2 + * return(i-1)^2

GARCH(1,1) Volatility
Model Parameters
###
0.8197
0.1357
0.9554
0.00009727
0.986%

The return series is assumed to follow a normal

distribution with zero mean and time dependent
variance:
return(i) ~ N(0, sigma(i)^2)

The variance for the return series is assumed to h

the following recursive process:
sigma(i)^2 = * sigma(i-1)^2 + (1-) * return(
1)^2

1-day Predicted Volatility

@ 2013-12-31
###

EWMAVolatility
Model Parameter
Lambda, 0.9222
1- 0.0778

Total Log-Likelihood
3171.20

1-day Predicted Volatility

@ 2013-12-31

Total Log-Likelihood
3158.07

00%

18.00%

00%

EWMA Predicted Volatility

Index Return

Inde x Re turn

Column E
14.00%

00%

10.00%

00%

6.00%

2.00%

00%

-2.00%

00%

-6.00%

ss:

med to follow a normal

an and time dependent

i)^2)

rn series is assumed to have

ocess:
a(i-1)^2 + (1-) * return(i1-day Predicted Volatility
@ 2013-12-31
###