Rendement et volatilité en présence de noise traders

Les annexes

Annexe 1 : volatilité des rendements

Annexe 2 : la statistique descriptive

		R		RT		SENT		DSENT		ARMS		DARMS
Mean		-0.018178		-4.38E-05		1.927944		-0.000730		1.405674		7.99E-05
Median		-0.017272		0.001024		1.000000		-0.032967		1.043451		0.001116
Maximum		0.123454		0.125354		19.00000		18.82353		14.17600		0.125354
Minimum		-0.137544		-0.129944		0.000000		-18.82353		0.000000		-0.129944
Std. Dev.		0.026614		0.020932		3.020416		4.340877		1.359710		0.020684
Skewness		0.014087		-0.428522		4.126153		0.037712		4.409032		-0.402657
Kurtosis		5.163188		9.670878		22.55244		12.23135		35.23675		9.830639
Jarque-Bera		100.4288		970.6706		9664.798		1828.755		23968.23		1015.111
Probability		0.000000		0.000000		0.000000		0.000000		0.000000		0.000000
Sum		-9.361662		-0.022562		992.8911		-0.375925		723.9219		0.041163
Sum Sq. Dev.		0.364067		0.225207		4689.179		9685.410		950.2894		0.219902
Observations		515		515		515		515		515		515

Annexe 3 : la stationnarité de l'excès du rendement

Null Hypothesis: R has a unit root
Exogenous: Constant
Lag Length: 5 (Automatic - based on SIC, maxlag=18)
			t-Statistic	Prob.*
Augmented Dickey-Fuller test statistic			-3.878325	0.0024
Test critical values:	1% level		-3.442845
	5% level		-2.866943
	10% level		-2.569709
*MacKinnon (1996) one-sided p-values.