I know someone already posted this issue but it has been a while since someone actively commented something on there.
I'm unable to reproduce the spread results in page 125. I get a beta of 0.3946 and a level of 3.2386.
I have done the analyisis with close and adjusted prices and still get similar results around 0.3 and 3 respectively.
What I find interesting is, that the spread plot I'm getting looks very similar only that the scale of the y axis goes from around 0 to 10 and the one in the book ranges from -200 to -50.
Thus, I infer that, this is due to AAPL price differences i'm getting are far more smaller than those in the book. Don't know why this is happening so, if someone is getting the correct results and could attach a .csv file for the prices that reproduce this would be amazing.
I know someone already posted this issue but it has been a while since someone actively commented something on there.
I'm unable to reproduce the spread results in page 125. I get a beta of 0.3946 and a level of 3.2386. I have done the analyisis with close and adjusted prices and still get similar results around 0.3 and 3 respectively.
What I find interesting is, that the spread plot I'm getting looks very similar only that the scale of the y axis goes from around 0 to 10 and the one in the book ranges from -200 to -50.
Thus, I infer that, this is due to AAPL price differences i'm getting are far more smaller than those in the book. Don't know why this is happening so, if someone is getting the correct results and could attach a .csv file for the prices that reproduce this would be amazing.