2 A brief overview of the classical linear regression model 27 2.1 What is a regression model? 27 2.2 Regression versus correlation 28 2.3 Simple regression 28 2.4 Some further terminology 37 2.5 Simple linear regression in EViews -- estimation of an optimal hedge ratio 40 2.6 The assumptions underlying the classical linear regression model 43 2.7 Properties of the OLS estimator 44 2.8 Precision and standard errors 46 2.9 An introduction to statistical inference 51
Lawrence G. McMillan Archives | Email alerts July 1, 2013, 5:00 p.m. EDT Don’t count on a summer rally Commentary: Indicators suggest further declines Stories You Might Like European stocks recover ahead of U.S. data How is Barron's all-star investing team doing? Newest hotel amenity: In-room rice cooker? 22 Comments Tweet FB.XFBML.parse(); document.write('\x3Cscript type="IN/Share" data-url="http://www.marketwatch.com/story/dont-count-on-a-summer-rally-2013-07-01" data-counter="top"\x3C/script'); MarketWatch.loadScript('https://platform.linkedin.com/in.js'); 2 in Share (function() { var po = document.createElement('script'); po.type = 'text/javascript'; po.async = true; po.src = 'http://apis.google.com/js/plusone.js'; var s = document.getElementsByTagName('script') ; s.parentNode.insertBefore(po, s); })(); new Portfolio Relevance LEARN MORE Want to see how this story relates to your portfolio? Just add items to create a portfolio now: X Add SP 500 Index (SPX) X Add CBOE Volatility Index (VIX) X Add CBOE SP 100 Volatility Index (VXO) Add Create Portfolio or Cancel Already have a portfolio? Log In $('#socialbuttons div').hover( function () { $(this).find('.countBox').show(); if ($(this).hasClass('facebook')) { $(this).find('.countBox').css('visibility', 'visible'); } }, function () { $(this).find('.countBox').hide(); if ($(this).hasClass('facebook')) { $(this).find('.countBox').css('visibility', 'hidden'); } } ); chainEmbeddedVideos = true; By Lawrence G. McMillan The stock market, as measured by the Standard Poor’s 500 Index rallied strongly for four of the last five days. Does this mean the decline of mid-June is over, or do the bears have some ammunition left? Admittedly, the bulls have made a good case, but the reality of the situation is that further declines could still be possible. The main reason I say this is that the market was severely oversold a weak ago, so that condition has fueled the rally as much as anything. We are still awaiting confirmation from technical indicators turning truly bullish — not merely rallying from an oversold condition — and that hasn’t been completely forthcoming. Let’s start with the chart of SP 500 /quotes/zigman/3870025 SPX +0.54% itself. The decline formed a V-bottom last Tuesday, at 1,560, so that is support. The previous breakdown had gapped down from 1,630, and the declining 20-day moving average of SPX is at 1,620, so there is resistance in the 1,620-1,630 area. In an oversold rally, it is quite common for the rally to carry past the 20-day moving average. That was accomplished today, when SPX reached 1,626 before starting to fall back somewhat. So the SPX chart is no longer oversold, having retraced to the 20-day moving average. It is also interesting to note that a new downtrend line has formed, connecting the recent tops, and it is near 1,630. A close solidly above 1,630 would turn the chart bullish. Equity-only put-call ratios have not turned bullish, despite the oversold rally that has lasted a week. The weighted ratio, in particular, hasn't wavered at all as it continues to climb straight upward. Eventually it will reach oversold extremes, but it hasn't done so yet. The standard ratio did waver a bit, but it also hasn't given a buy signal — at least not according to the computer programs that we use to analyze these charts. The Total put-call ratio is similar to the standard, in that it appears to be trying to form a buy signal, but hasn’t yet been able to do so. Market breadth indicators have turned bearish. They reached extremely oversold conditions last week, but have reversed their bearishness as the rally has been broad, with advances swamping declines rather handily. These breadth indicators are the first to swing in either direction, and while they correctly identify extremely oversold or overbought conditions, they often need confirmation from another indicator in order to give a more intermediate-term signal. Volatility indexes /quotes/zigman/2766221 VIX -2.91% /quotes/zigman/2754753 XX:VXO -7.13% rose sharply when the market declined in late June, with VIX reaching a peak at 21.60 a week ago Monday. Spike peaks in VIX are short-term buy signals for the stock market, and this was no exception. On Tuesday, June 25, VIX closed at 18.47 — more than three points below its intraday high of the day before. That was a buy signal that has worked out quite well. However, not everything is bullish about VIX. The overall chart of VIX is still in an uptrend, and when volatility is trending higher, that is bearish for stocks. So the short-term buy signal issued by VIX last week hasn't overcome the bigger picture of an upward-trending volatility. If VIX closed below 16, though, that would be quite bullish, in my opinion, for it would potentially negate the uptrend in VIX. The construct of VIX futures is the one indicator that has stayed somewhat bullish all the way through the correction. Actually, it has been in a bullish mode since late 2011. The VIX futures are all trading at premiums to VIX, so that is positive for the stock market. In addition, the term structure of the VIX futures continues to slope upward, and that is bullish for stocks as well. In summary, despite the strong rally, the buy signals are from breadth (which is always the first to turn) and the VIX spike peak buy signal. While that signal is generally quite profitable, the larger issues of resistance on SPX, support on VIX, and equity-only put-call ratios remain bearish. Until they change, the current rally can only be regarded as an oversold bounce and not a change back to a bullish intermediate-term picture. Lawrence G. McMillan is president of McMillan Analysis Corp. He is an experienced trader and money manager and is the author of the best-selling book , “Options as a Strategic Investment” and editor of the “MarketWatch Options Trader” newsletter. /quotes/zigman/3870025 Add to portfolio SPX SP 500 Index US : SP Base CME 1,614.96 +8.68 +0.54% Volume: 518.23M July 1, 2013 4:36p var embeddedchart124732823Chart = new EmbeddedChart('#embeddedchart124732823', NormalChartStyleNoDecimals, 240, 80, '1dy', '5mi', null, null, null, 'US:SPX'); jQuery.data($('#embeddedchart124732823').get(0), 'embeddedchart', embeddedchart124732823Chart); /quotes/zigman/2766221 Add to portfolio VIX CBOE Volatility Index US : MDX CBOE IND 16.37 -0.49 -2.91% Volume: 0.00 July 1, 2013 3:14p var embeddedchart1085120985Chart = new EmbeddedChart('#embeddedchart1085120985', NormalChartStyleNoDecimals, 240, 80, '1dy', '5mi', null, null, null, 'US:VIX'); jQuery.data($('#embeddedchart1085120985').get(0), 'embeddedchart', embeddedchart1085120985Chart); /quotes/zigman/2754753 Add to portfolio XX:VXO CBOE SP 100 Volatility Index XX : MDX CBOE IND 16.01 -1.23 -7.13% Volume: 0.00 July 1, 2013 3:14p var embeddedchart677259603Chart = new EmbeddedChart('#embeddedchart677259603', NormalChartStyleNoDecimals, 240, 80, '1dy', '5mi', null, null, null, 'XX:VXO'); jQuery.data($('#embeddedchart677259603').get(0), 'embeddedchart', embeddedchart677259603Chart); //$(document).ready(function() { var storywidth = $('#mainstory').width(); var maxwidth = storywidth; $('#maincontent pre').each(function (index, value) { var thiswidth = $(value).width(); if (thiswidth maxwidth) maxwidth = thiswidth; }); var offset = maxwidth - storywidth; if (offset 0) { var margin = 13; var contentwidth = $('#maincontent').width(); $('#maincontent').width(contentwidth + offset + margin); $('#mainstory').width(storywidth + offset + margin); } //}); Get news alerts on SP 500 Index and CBOE Volatility Index — or create your own.
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