Multiple Linear Regression - Estimated Regression Equation |
EUR/USD[t] = + 0.309173908189271 + 0.00547113591987539`EUR/JPY`[t] -0.0732152190415344`EUR/DAK`[t] -0.0427294912371332`EUR/SWK`[t] + 1.30494431434585`EUR/GBP`[t] + 0.00882211905829047`EUR/NOK`[t] -0.331036242803307`EUR/CHF`[t] + 0.057282817623541`EUR/CAD`[t] -0.0549529463886572`EUR/AUD`[t] + 0.00606260847246574`EUR/NZD`[t] + 0.0659618164617436`EUR/CHY`[t] + e[t] |
Multiple Linear Regression - Ordinary Least Squares | |||||
Variable | Parameter | S.D. | T-STAT H0: parameter = 0 | 2-tail p-value | 1-tail p-value |
(Intercept) | 0.309173908189271 | 2.822637 | 0.1095 | 0.91304 | 0.45652 |
`EUR/JPY` | 0.00547113591987539 | 0.000458 | 11.9433 | 0 | 0 |
`EUR/DAK` | -0.0732152190415344 | 0.375136 | -0.1952 | 0.845731 | 0.422866 |
`EUR/SWK` | -0.0427294912371332 | 0.012192 | -3.5047 | 0.000736 | 0.000368 |
`EUR/GBP` | 1.30494431434585 | 0.088116 | 14.8094 | 0 | 0 |
`EUR/NOK` | 0.00882211905829047 | 0.015655 | 0.5635 | 0.574574 | 0.287287 |
`EUR/CHF` | -0.331036242803307 | 0.076215 | -4.3434 | 3.9e-05 | 1.9e-05 |
`EUR/CAD` | 0.057282817623541 | 0.055341 | 1.0351 | 0.303596 | 0.151798 |
`EUR/AUD` | -0.0549529463886572 | 0.057814 | -0.9505 | 0.344576 | 0.172288 |
`EUR/NZD` | 0.00606260847246574 | 0.043106 | 0.1406 | 0.888487 | 0.444243 |
`EUR/CHY` | 0.0659618164617436 | 0.009192 | 7.176 | 0 | 0 |
Multiple Linear Regression - Regression Statistics | |
Multiple R | 0.97667530750816 |
R-squared | 0.953894656296159 |
Adjusted R-squared | 0.948405924902845 |
F-TEST (value) | 173.791462533231 |
F-TEST (DF numerator) | 10 |
F-TEST (DF denominator) | 84 |
p-value | 0 |
Multiple Linear Regression - Residual Statistics | |
Residual Standard Deviation | 0.0225522618014278 |
Sum Squared Residuals | 0.0427227790382519 |
Multiple Linear Regression - Actuals, Interpolation, and Residuals | |||
Time or Index | Actuals | Interpolation Forecast | Residuals Prediction Error |
1 | 1.2613 | 1.2716674045655 | -0.0103674045654983 |
2 | 1.2646 | 1.25732717251996 | 0.00727282748004476 |
3 | 1.2262 | 1.21429397314064 | 0.0119060268593566 |
4 | 1.1985 | 1.17432128407193 | 0.024178715928074 |
5 | 1.2007 | 1.21687705252504 | -0.0161770525250446 |
6 | 1.2138 | 1.2113369774349 | 0.00246302256509904 |
7 | 1.2266 | 1.22402216873766 | 0.00257783126233848 |
8 | 1.2176 | 1.21980668121891 | -0.00220668121890916 |
9 | 1.2218 | 1.23706949615962 | -0.0152694961596155 |
10 | 1.249 | 1.27453684858549 | -0.0255368485854857 |
11 | 1.2991 | 1.32185009115036 | -0.022750091150364 |
12 | 1.3408 | 1.35414384586336 | -0.0133438458633645 |
13 | 1.3119 | 1.31728716118542 | -0.00538716118542392 |
14 | 1.3014 | 1.30572885131265 | -0.00432885131265439 |
15 | 1.3201 | 1.32930360100527 | -0.0092036010052659 |
16 | 1.2938 | 1.29951097102213 | -0.00571097102213468 |
17 | 1.2694 | 1.26840355767614 | 0.00099644232385885 |
18 | 1.2165 | 1.19863762334962 | 0.0178623766503821 |
19 | 1.2037 | 1.20882563028746 | -0.00512563028746252 |
20 | 1.2292 | 1.2217384035693 | 0.00746159643070151 |
21 | 1.2256 | 1.2084275633038 | 0.0171724366961998 |
22 | 1.2015 | 1.20599780341479 | -0.00449780341478747 |
23 | 1.1786 | 1.19290586365931 | -0.014305863659309 |
24 | 1.1856 | 1.20684641585163 | -0.0212464158516276 |
25 | 1.2103 | 1.22941109890411 | -0.0191110989041095 |
26 | 1.1938 | 1.21517502327348 | -0.0213750232734798 |
27 | 1.202 | 1.22029270739015 | -0.0182927073901468 |
28 | 1.2271 | 1.25361034490699 | -0.0265103449069861 |
29 | 1.277 | 1.2672552113522 | 0.00974478864779688 |
30 | 1.265 | 1.27867417592856 | -0.0136741759285636 |
31 | 1.2684 | 1.29025114512316 | -0.0218511451231586 |
32 | 1.2811 | 1.28923598215654 | -0.00813598215653775 |
33 | 1.2727 | 1.2782453767965 | -0.0055453767964963 |
34 | 1.2611 | 1.27056526597626 | -0.00946526597625876 |
35 | 1.2881 | 1.29820416521781 | -0.0101041652178125 |
36 | 1.3213 | 1.33367783630432 | -0.0123778363043212 |
37 | 1.2999 | 1.31143178402088 | -0.0115317840208796 |
38 | 1.3074 | 1.3150581049497 | -0.00765810494970298 |
39 | 1.3242 | 1.32560133543074 | -0.00140133543073699 |
40 | 1.3516 | 1.36182074543011 | -0.0102207454301063 |
41 | 1.3511 | 1.36762870084684 | -0.016528700846843 |
42 | 1.3419 | 1.35147071575872 | -0.00957071575871508 |
43 | 1.3716 | 1.37758960792583 | -0.00598960792582953 |
44 | 1.3622 | 1.33248095229446 | 0.0297190477055439 |
45 | 1.3896 | 1.35667587207428 | 0.0329241279257248 |
46 | 1.4227 | 1.40523526725053 | 0.0174647327494681 |
47 | 1.4684 | 1.42879610455455 | 0.0396038954454518 |
48 | 1.457 | 1.42849197922441 | 0.0285080207755869 |
49 | 1.4718 | 1.44566938471601 | 0.0261306152839947 |
50 | 1.4748 | 1.44929658092373 | 0.0255034190762692 |
51 | 1.5527 | 1.51243377955687 | 0.040266220443133 |
52 | 1.575 | 1.56320098668455 | 0.0117990133154547 |
53 | 1.5557 | 1.5447915492392 | 0.0109084507608035 |
54 | 1.5553 | 1.56209329968667 | -0.00679329968666991 |
55 | 1.577 | 1.57567394676499 | 0.00132605323500831 |
56 | 1.4975 | 1.51160008502139 | -0.014100085021391 |
57 | 1.437 | 1.431491847964 | 0.00550815203600369 |
58 | 1.3322 | 1.26970056659449 | 0.06249943340551 |
59 | 1.2732 | 1.23484260071555 | 0.0383573992844526 |
60 | 1.3449 | 1.33575394139797 | 0.00914605860203141 |
61 | 1.3239 | 1.34205569496705 | -0.0181556949670507 |
62 | 1.2785 | 1.26082774772681 | 0.0176722522731932 |
63 | 1.305 | 1.35323561906589 | -0.0482356190658892 |
64 | 1.319 | 1.35832962694587 | -0.0393296269458735 |
65 | 1.365 | 1.38467117177227 | -0.0196711717722702 |
66 | 1.4016 | 1.37505728298716 | 0.0265427170128407 |
67 | 1.4088 | 1.37131906237019 | 0.0374809376298102 |
68 | 1.4268 | 1.41633411239209 | 0.0104658876079136 |
69 | 1.4562 | 1.46023734019676 | -0.00403734019676425 |
70 | 1.4816 | 1.50271227210132 | -0.0211122721013212 |
71 | 1.4914 | 1.48300669888353 | 0.00839330111647364 |
72 | 1.4614 | 1.45819202989774 | 0.00320797010226181 |
73 | 1.4272 | 1.43152942923821 | -0.00432942923821397 |
74 | 1.3686 | 1.3697665239768 | -0.00116652397680068 |
75 | 1.3569 | 1.41026201393869 | -0.0533620139386886 |
76 | 1.3406 | 1.38638486575738 | -0.0457848657573813 |
77 | 1.2565 | 1.27614011702264 | -0.0196401170226437 |
78 | 1.2208 | 1.21048527703335 | 0.0103147229666521 |
79 | 1.277 | 1.26263051307406 | 0.0143694869259367 |
80 | 1.2894 | 1.25025681829628 | 0.0391431817037234 |
81 | 1.3067 | 1.29835743409813 | 0.00834256590186939 |
82 | 1.3898 | 1.3841843910889 | 0.00561560891110238 |
83 | 1.3661 | 1.338185664373 | 0.027914335627001 |
84 | 1.322 | 1.32489256611531 | -0.00289256611531468 |
85 | 1.336 | 1.33245423517978 | 0.003545764820222 |
86 | 1.3649 | 1.35502874189206 | 0.00987125810793545 |
87 | 1.3999 | 1.40309910426324 | -0.00319910426324288 |
88 | 1.4442 | 1.46728349425332 | -0.0230834942533212 |
89 | 1.4349 | 1.44881895639264 | -0.0139189563926349 |
90 | 1.4388 | 1.4651356300705 | -0.0263356300705027 |
91 | 1.4264 | 1.44957173678859 | -0.023171736788594 |
92 | 1.4343 | 1.44000641701975 | -0.00570641701975462 |
93 | 1.377 | 1.35629897815892 | 0.0207010218410776 |
94 | 1.3706 | 1.33881340426704 | 0.0317865957329578 |
95 | 1.3556 | 1.3134405144273 | 0.0421594855726951 |
Goldfeld-Quandt test for Heteroskedasticity | |||
p-values | Alternative Hypothesis | ||
breakpoint index | greater | 2-sided | less |
14 | 5.83358958391742e-06 | 1.16671791678348e-05 | 0.999994166410416 |
15 | 9.44373502678206e-08 | 1.88874700535641e-07 | 0.99999990556265 |
16 | 1.39645793135457e-09 | 2.79291586270913e-09 | 0.999999998603542 |
17 | 4.64812482193756e-11 | 9.29624964387513e-11 | 0.999999999953519 |
18 | 6.75133010993233e-13 | 1.35026602198647e-12 | 0.999999999999325 |
19 | 1.75073799994854e-10 | 3.50147599989709e-10 | 0.999999999824926 |
20 | 8.24913493841431e-06 | 1.64982698768286e-05 | 0.999991750865062 |
21 | 3.27864166440295e-06 | 6.55728332880589e-06 | 0.999996721358336 |
22 | 6.12530454219033e-07 | 1.22506090843807e-06 | 0.999999387469546 |
23 | 1.46666345984402e-07 | 2.93332691968803e-07 | 0.999999853333654 |
24 | 2.8361275997801e-08 | 5.67225519956019e-08 | 0.999999971638724 |
25 | 8.61065409476097e-09 | 1.72213081895219e-08 | 0.999999991389346 |
26 | 3.34703614393602e-09 | 6.69407228787204e-09 | 0.999999996652964 |
27 | 6.46414428997695e-10 | 1.29282885799539e-09 | 0.999999999353586 |
28 | 1.43005876198153e-10 | 2.86011752396306e-10 | 0.999999999856994 |
29 | 2.58814949823141e-11 | 5.17629899646283e-11 | 0.999999999974118 |
30 | 6.31319058544716e-12 | 1.26263811708943e-11 | 0.999999999993687 |
31 | 1.82673582444524e-12 | 3.65347164889049e-12 | 0.999999999998173 |
32 | 5.78421869427863e-13 | 1.15684373885573e-12 | 0.999999999999422 |
33 | 9.60466349653668e-13 | 1.92093269930734e-12 | 0.99999999999904 |
34 | 2.08601875404632e-12 | 4.17203750809264e-12 | 0.999999999997914 |
35 | 6.06864119996496e-12 | 1.21372823999299e-11 | 0.999999999993931 |
36 | 1.20645522167669e-11 | 2.41291044335338e-11 | 0.999999999987935 |
37 | 4.78676761471718e-12 | 9.57353522943436e-12 | 0.999999999995213 |
38 | 3.83096589939402e-12 | 7.66193179878803e-12 | 0.999999999996169 |
39 | 2.48081372782524e-10 | 4.96162745565047e-10 | 0.999999999751919 |
40 | 2.40523005562857e-09 | 4.81046011125714e-09 | 0.99999999759477 |
41 | 2.3828532769692e-08 | 4.7657065539384e-08 | 0.999999976171467 |
42 | 5.91957091257177e-08 | 1.18391418251435e-07 | 0.999999940804291 |
43 | 6.47871060606201e-07 | 1.2957421212124e-06 | 0.999999352128939 |
44 | 0.000783447965914346 | 0.00156689593182869 | 0.999216552034086 |
45 | 0.0228501101812129 | 0.0457002203624259 | 0.977149889818787 |
46 | 0.0367879924204103 | 0.0735759848408207 | 0.96321200757959 |
47 | 0.444362030397189 | 0.888724060794378 | 0.555637969602811 |
48 | 0.622884958296298 | 0.754230083407405 | 0.377115041703702 |
49 | 0.899344080043328 | 0.201311839913344 | 0.100655919956672 |
50 | 0.956903192235407 | 0.0861936155291855 | 0.0430968077645927 |
51 | 0.976517733497195 | 0.0469645330056099 | 0.0234822665028049 |
52 | 0.987715716134868 | 0.024568567730264 | 0.012284283865132 |
53 | 0.985065179450983 | 0.0298696410980336 | 0.0149348205490168 |
54 | 0.992613940749065 | 0.0147721185018703 | 0.00738605925093517 |
55 | 0.99173312473375 | 0.0165337505324998 | 0.00826687526624989 |
56 | 0.993324756070438 | 0.0133504878591242 | 0.00667524392956211 |
57 | 0.992169417611527 | 0.0156611647769458 | 0.00783058238847291 |
58 | 0.99569934655431 | 0.00860130689137997 | 0.00430065344568998 |
59 | 0.997101185887823 | 0.00579762822435387 | 0.00289881411217693 |
60 | 0.999874551192382 | 0.000250897615235709 | 0.000125448807617854 |
61 | 0.999880253296912 | 0.000239493406176995 | 0.000119746703088497 |
62 | 0.999917382283219 | 0.000165235433561394 | 8.26177167806968e-05 |
63 | 0.999961160855488 | 7.76782890236701e-05 | 3.88391445118351e-05 |
64 | 0.999981401106033 | 3.71977879333135e-05 | 1.85988939666567e-05 |
65 | 0.999989085608903 | 2.18287821948979e-05 | 1.0914391097449e-05 |
66 | 0.999991916425228 | 1.61671495435345e-05 | 8.08357477176724e-06 |
67 | 0.999987912019227 | 2.41759615466913e-05 | 1.20879807733457e-05 |
68 | 0.99997429450227 | 5.14109954609004e-05 | 2.57054977304502e-05 |
69 | 0.999929389682315 | 0.000141220635369056 | 7.06103176845278e-05 |
70 | 0.999847453501961 | 0.000305092996078037 | 0.000152546498039019 |
71 | 0.999628662079964 | 0.000742675840072873 | 0.000371337920036436 |
72 | 0.999455027782055 | 0.00108994443588915 | 0.000544972217944574 |
73 | 0.998738095685696 | 0.00252380862860692 | 0.00126190431430346 |
74 | 0.996863121176854 | 0.00627375764629178 | 0.00313687882314589 |
75 | 0.994531815180864 | 0.0109363696382717 | 0.00546818481913583 |
76 | 0.987333527336323 | 0.0253329453273536 | 0.0126664726636768 |
77 | 0.984982875759721 | 0.0300342484805579 | 0.0150171242402789 |
78 | 0.973116252967345 | 0.0537674940653092 | 0.0268837470326546 |
79 | 0.982110494352458 | 0.0357790112950843 | 0.0178895056475421 |
80 | 0.971355168431357 | 0.0572896631372869 | 0.0286448315686434 |
81 | 0.97486016439424 | 0.0502796712115195 | 0.0251398356057597 |
Meta Analysis of Goldfeld-Quandt test for Heteroskedasticity | |||
Description | # significant tests | % significant tests | OK/NOK |
1% type I error level | 48 | 0.705882352941177 | NOK |
5% type I error level | 60 | 0.882352941176471 | NOK |
10% type I error level | 65 | 0.955882352941177 | NOK |