Forecasting of Exxon Stock Price

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exxoneq

shelleq

dowjones

Mean

83.62992481

Mean

23.81966165

Mean

17580.17922

Standard Error

0.276114178

Standard Error

0.142222222

Standard Error

34.57001966

Median

84.22

Median

23.32

Median

17749.31

Mode

85.21

Mode

22.54

Mode

18533.05

Standard Deviation

5.515376381

Standard Deviation

2.840886659

Standard Deviation

690.535602

Sample Variance

30.41937663

Sample Variance

8.070637008

Sample Variance

476839.4176

Kurtosis

-0.452208081

Kurtosis

-0.72978688

Kurtosis

0.076752374

Skewness

-0.291729148

Skewness

0.229271898

Skewness

-0.925163434

Range

26.41

Range

12.77

Range

2975.87

Minimum

68.71

Minimum

16.67

Minimum

15660.18

Maximum

95.12

Maximum

29.44

Maximum

18636.05

Sum

33368.34

Sum

9504.045

Sum

7014491.51

Count

399

Count

399

Count

399

gold

Mean

1196.223734

Standard Error

4.10516698

Median

1193.57

Mode

1272.61

Standard Deviation

82.0006462

Sample Variance

6724.105977

Kurtosis

-0.81389925

Skewness

0.25901619

Range

313.39

Minimum

1052.94

Maximum

1366.33

Sum

477293.27

Count

399

MODELLING PROCEDURE:

- We propose a linear model, we first do linear fit, check DW which tends to 0, so we do LM test, which confirms autocorrelation, then we use lagged dependent variable (T-1) in the model. remove insignificant variables and finally narrow down the variable list and obtain coefficients

- Iteration 1

[pic 6]

- DW is very close to 0 so we have to check for auto-correlation

- LM Test Result

- Hence we will now add (t-1) value of exxonmobil’s equity as a parameter in regression[pic 7]

- Iteration 2

[pic 8]

- Dw is acceptable at 1.73 close to 2

- Model is not false as F prob is 0

- R^2 is high, so good model

- T stat of some parameters shows they are not significant

-