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Q19 VR study PROVEN + Q20 eigenanalysis PROVEN (EVIDENCE#034/#035)

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zhaoli
2026-08-20 05:19:09 +00:00
parent befcc33702
commit 6145cfeb62
10 changed files with 792 additions and 4 deletions
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book/data/evidence/q19-vr/VR_stats.csv
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symbol,n_days,VR_5d,z_5d,p_5d,VR_10d,z_10d,p_10d,VR_20d,z_20d,p_20d
AGG,2924,0.9097,-2.34,0.0194,0.8609,-2.4,0.0163,0.8397,-1.91,0.0567
ARKK,2924,0.9864,-0.34,0.7357,0.9354,-1.07,0.284,0.9442,-0.63,0.532
BIL,2658,0.7672,-6.26,0.0,0.5346,-9.73,0.0,0.1342,-24.56,0.0
BND,2924,0.8574,-3.8,0.0001,0.8383,-2.83,0.0047,0.8216,-2.14,0.0322
DBA,2921,1.055,1.32,0.1868,0.9978,-0.04,0.9715,0.9522,-0.53,0.5945
DBC,2923,1.021,0.51,0.6078,1.0126,0.2,0.8414,1.0324,0.35,0.7294
DIA,2924,0.8656,-3.57,0.0004,0.8399,-2.8,0.0051,0.8225,-2.13,0.0329
EEM,2924,0.8788,-3.19,0.0014,0.8293,-3.01,0.0027,0.7882,-2.6,0.0093
EFA,2924,0.9588,-1.04,0.2987,0.9409,-0.98,0.329,0.8853,-1.33,0.1838
EMB,2924,1.056,1.35,0.1785,1.0907,1.39,0.164,1.1128,1.17,0.2435
ESPO,1958,0.6191,-9.78,0.0,0.5412,-8.12,0.0,0.5161,-5.96,0.0
EWA,2672,0.8081,-5.02,0.0,0.814,-3.13,0.0017,0.8024,-2.28,0.0226
EWG,2672,1.0308,0.72,0.4744,1.0339,0.51,0.6103,1.0125,0.13,0.8972
EWJ,2672,0.9185,-2.0,0.0451,0.8644,-2.23,0.0258,0.7457,-3.05,0.0023
EWU,2672,0.9757,-0.58,0.5624,0.9338,-1.05,0.2954,0.8919,-1.19,0.2352
EWY,2672,0.8729,-3.21,0.0013,0.8266,-2.92,0.0035,0.8406,-1.8,0.0711
EWZ,2672,0.8651,-3.42,0.0006,0.8822,-1.92,0.0548,0.9524,-0.51,0.6115
FDN,2923,0.9523,-1.21,0.2275,0.8836,-1.98,0.0473,0.8566,-1.69,0.0916
FXI,2672,0.8852,-2.87,0.004,0.8312,-2.82,0.0047,0.7516,-2.96,0.003
GDX,2672,0.9159,-2.07,0.0384,0.8388,-2.69,0.0071,0.8019,-2.28,0.0226
GLD,2924,0.9712,-0.72,0.4704,0.9144,-1.43,0.152,0.8802,-1.37,0.1695
HYG,2924,1.0529,1.27,0.2031,0.9766,-0.38,0.7043,0.9166,-0.95,0.3418
IBB,2924,0.9412,-1.49,0.1359,0.8999,-1.68,0.0921,0.7981,-2.44,0.0146
ICLN,2924,1.0298,0.73,0.4682,1.0343,0.54,0.5891,1.1145,1.18,0.2369
IEF,2924,0.8899,-2.88,0.004,0.8662,-2.3,0.0215,0.8838,-1.34,0.18
IGV,2924,0.9889,-0.28,0.7822,0.9954,-0.07,0.9415,0.9952,-0.05,0.9582
INDA,2672,0.7818,-5.82,0.0,0.7803,-3.81,0.0001,0.816,-2.12,0.0343
ITA,2908,0.9747,-0.63,0.528,0.9891,-0.18,0.8606,0.9957,-0.05,0.9626
ITB,2672,1.0153,0.36,0.7198,0.9751,-0.39,0.6999,1.002,0.02,0.9837
IWM,2924,0.9602,-1.0,0.3163,0.9483,-0.85,0.3949,0.9469,-0.6,0.5518
IWV,2665,0.808,-5.03,0.0,0.7791,-3.82,0.0001,0.7672,-2.75,0.006
JNK,2924,1.1001,2.36,0.0184,1.0612,0.95,0.341,1.0189,0.2,0.8382
KRE,2672,0.9209,-1.94,0.0518,0.9524,-0.75,0.4555,0.9833,-0.18,0.861
KWEB,2672,0.9051,-2.35,0.0186,0.8517,-2.46,0.0139,0.8147,-2.14,0.0326
LQD,2924,1.0826,1.96,0.0499,1.037,0.58,0.5606,0.9921,-0.09,0.9312
MDY,2924,0.9161,-2.17,0.0304,0.8976,-1.73,0.0832,0.8979,-1.18,0.24
QQQ,2924,0.8369,-4.4,0.0,0.7887,-3.81,0.0001,0.7654,-2.92,0.0035
REM,2920,1.2256,5.03,0.0,1.2122,3.09,0.002,1.3822,3.54,0.0004
SHY,2924,0.8209,-4.88,0.0,0.7856,-3.87,0.0001,0.7764,-2.76,0.0058
SLV,2924,1.0275,0.67,0.5034,0.9628,-0.61,0.544,0.9051,-1.08,0.2794
SMH,2924,0.8999,-2.6,0.0092,0.8786,-2.08,0.0379,0.8669,-1.56,0.1191
SOXX,2924,0.9364,-1.62,0.105,0.933,-1.11,0.266,0.9293,-0.8,0.4238
SPY,2491,0.9373,-1.48,0.1401,0.8716,-2.03,0.0419,0.7884,-2.4,0.0165
TAN,2924,1.0551,1.32,0.1856,1.0388,0.61,0.5414,1.035,0.38,0.7075
TIP,2672,0.9749,-0.6,0.5489,0.9029,-1.57,0.1173,0.7982,-2.36,0.0185
TLT,2924,0.8357,-4.43,0.0,0.7992,-3.59,0.0003,0.7999,-2.43,0.0153
UNG,2924,0.9046,-2.48,0.0133,0.8158,-3.27,0.0011,0.7691,-2.87,0.0041
USO,2858,0.3304,-28.43,0.0,0.2495,-23.78,0.0,0.2036,-18.98,0.0
VEA,2924,0.9586,-1.04,0.2966,0.9471,-0.87,0.3833,0.9091,-1.04,0.299
VNQ,2672,0.9886,-0.27,0.7861,0.9616,-0.6,0.5489,0.9241,-0.82,0.4107
VOO,2924,0.8533,-3.92,0.0001,0.8196,-3.19,0.0014,0.8044,-2.38,0.0175
VT,2924,0.8973,-2.68,0.0074,0.8755,-2.13,0.033,0.853,-1.73,0.0828
VTI,2924,0.8758,-3.28,0.001,0.8448,-2.71,0.0068,0.8333,-1.99,0.0466
VWO,2924,0.8939,-2.77,0.0056,0.8628,-2.37,0.0179,0.8211,-2.15,0.0314
XAR,2872,1.0054,0.13,0.895,0.9676,-0.52,0.6008,0.9755,-0.27,0.7891
XBI,2924,0.9248,-1.93,0.0538,0.8984,-1.72,0.0861,0.8613,-1.62,0.1043
XHB,2672,1.0099,0.23,0.8166,0.9724,-0.43,0.6689,0.9967,-0.03,0.9729
XLB,2924,0.9752,-0.62,0.536,0.9536,-0.76,0.4466,0.9725,-0.3,0.7606
XLC,2053,0.839,-3.64,0.0003,0.7846,-3.27,0.0011,0.7814,-2.26,0.0237
XLE,2924,0.9831,-0.42,0.674,1.0235,0.37,0.7098,1.0652,0.69,0.4916
XLF,2924,0.9032,-2.51,0.012,0.904,-1.62,0.106,0.9029,-1.11,0.2658
XLI,2924,0.9322,-1.73,0.0832,0.9285,-1.19,0.2346,0.9444,-0.62,0.5326
XLK,2924,0.8964,-2.7,0.0069,0.9027,-1.64,0.1007,0.9224,-0.88,0.3783
XLP,2924,0.8261,-4.72,0.0,0.783,-3.93,0.0001,0.7475,-3.18,0.0015
XLRE,2731,0.9439,-1.38,0.1683,0.9153,-1.37,0.17,0.8546,-1.66,0.0973
XLU,2924,1.0033,0.08,0.9347,1.0101,0.16,0.8725,1.0192,0.21,0.8352
XLV,2924,0.888,-2.92,0.0034,0.8251,-3.08,0.0021,0.7321,-3.39,0.0007
XLY,2924,0.9771,-0.57,0.5666,0.9599,-0.66,0.5119,0.9994,-0.01,0.9947
XME,2672,0.9908,-0.22,0.828,0.9907,-0.14,0.8873,1.041,0.41,0.6787
XOP,2221,0.8552,-3.37,0.0008,0.8266,-2.66,0.0079,0.7578,-2.63,0.0085
XRT,2672,0.914,-2.12,0.0338,0.8823,-1.92,0.0552,0.9414,-0.63,0.5299
1 symbol n_days VR_5d z_5d p_5d VR_10d z_10d p_10d VR_20d z_20d p_20d
2 AGG 2924 0.9097 -2.34 0.0194 0.8609 -2.4 0.0163 0.8397 -1.91 0.0567
3 ARKK 2924 0.9864 -0.34 0.7357 0.9354 -1.07 0.284 0.9442 -0.63 0.532
4 BIL 2658 0.7672 -6.26 0.0 0.5346 -9.73 0.0 0.1342 -24.56 0.0
5 BND 2924 0.8574 -3.8 0.0001 0.8383 -2.83 0.0047 0.8216 -2.14 0.0322
6 DBA 2921 1.055 1.32 0.1868 0.9978 -0.04 0.9715 0.9522 -0.53 0.5945
7 DBC 2923 1.021 0.51 0.6078 1.0126 0.2 0.8414 1.0324 0.35 0.7294
8 DIA 2924 0.8656 -3.57 0.0004 0.8399 -2.8 0.0051 0.8225 -2.13 0.0329
9 EEM 2924 0.8788 -3.19 0.0014 0.8293 -3.01 0.0027 0.7882 -2.6 0.0093
10 EFA 2924 0.9588 -1.04 0.2987 0.9409 -0.98 0.329 0.8853 -1.33 0.1838
11 EMB 2924 1.056 1.35 0.1785 1.0907 1.39 0.164 1.1128 1.17 0.2435
12 ESPO 1958 0.6191 -9.78 0.0 0.5412 -8.12 0.0 0.5161 -5.96 0.0
13 EWA 2672 0.8081 -5.02 0.0 0.814 -3.13 0.0017 0.8024 -2.28 0.0226
14 EWG 2672 1.0308 0.72 0.4744 1.0339 0.51 0.6103 1.0125 0.13 0.8972
15 EWJ 2672 0.9185 -2.0 0.0451 0.8644 -2.23 0.0258 0.7457 -3.05 0.0023
16 EWU 2672 0.9757 -0.58 0.5624 0.9338 -1.05 0.2954 0.8919 -1.19 0.2352
17 EWY 2672 0.8729 -3.21 0.0013 0.8266 -2.92 0.0035 0.8406 -1.8 0.0711
18 EWZ 2672 0.8651 -3.42 0.0006 0.8822 -1.92 0.0548 0.9524 -0.51 0.6115
19 FDN 2923 0.9523 -1.21 0.2275 0.8836 -1.98 0.0473 0.8566 -1.69 0.0916
20 FXI 2672 0.8852 -2.87 0.004 0.8312 -2.82 0.0047 0.7516 -2.96 0.003
21 GDX 2672 0.9159 -2.07 0.0384 0.8388 -2.69 0.0071 0.8019 -2.28 0.0226
22 GLD 2924 0.9712 -0.72 0.4704 0.9144 -1.43 0.152 0.8802 -1.37 0.1695
23 HYG 2924 1.0529 1.27 0.2031 0.9766 -0.38 0.7043 0.9166 -0.95 0.3418
24 IBB 2924 0.9412 -1.49 0.1359 0.8999 -1.68 0.0921 0.7981 -2.44 0.0146
25 ICLN 2924 1.0298 0.73 0.4682 1.0343 0.54 0.5891 1.1145 1.18 0.2369
26 IEF 2924 0.8899 -2.88 0.004 0.8662 -2.3 0.0215 0.8838 -1.34 0.18
27 IGV 2924 0.9889 -0.28 0.7822 0.9954 -0.07 0.9415 0.9952 -0.05 0.9582
28 INDA 2672 0.7818 -5.82 0.0 0.7803 -3.81 0.0001 0.816 -2.12 0.0343
29 ITA 2908 0.9747 -0.63 0.528 0.9891 -0.18 0.8606 0.9957 -0.05 0.9626
30 ITB 2672 1.0153 0.36 0.7198 0.9751 -0.39 0.6999 1.002 0.02 0.9837
31 IWM 2924 0.9602 -1.0 0.3163 0.9483 -0.85 0.3949 0.9469 -0.6 0.5518
32 IWV 2665 0.808 -5.03 0.0 0.7791 -3.82 0.0001 0.7672 -2.75 0.006
33 JNK 2924 1.1001 2.36 0.0184 1.0612 0.95 0.341 1.0189 0.2 0.8382
34 KRE 2672 0.9209 -1.94 0.0518 0.9524 -0.75 0.4555 0.9833 -0.18 0.861
35 KWEB 2672 0.9051 -2.35 0.0186 0.8517 -2.46 0.0139 0.8147 -2.14 0.0326
36 LQD 2924 1.0826 1.96 0.0499 1.037 0.58 0.5606 0.9921 -0.09 0.9312
37 MDY 2924 0.9161 -2.17 0.0304 0.8976 -1.73 0.0832 0.8979 -1.18 0.24
38 QQQ 2924 0.8369 -4.4 0.0 0.7887 -3.81 0.0001 0.7654 -2.92 0.0035
39 REM 2920 1.2256 5.03 0.0 1.2122 3.09 0.002 1.3822 3.54 0.0004
40 SHY 2924 0.8209 -4.88 0.0 0.7856 -3.87 0.0001 0.7764 -2.76 0.0058
41 SLV 2924 1.0275 0.67 0.5034 0.9628 -0.61 0.544 0.9051 -1.08 0.2794
42 SMH 2924 0.8999 -2.6 0.0092 0.8786 -2.08 0.0379 0.8669 -1.56 0.1191
43 SOXX 2924 0.9364 -1.62 0.105 0.933 -1.11 0.266 0.9293 -0.8 0.4238
44 SPY 2491 0.9373 -1.48 0.1401 0.8716 -2.03 0.0419 0.7884 -2.4 0.0165
45 TAN 2924 1.0551 1.32 0.1856 1.0388 0.61 0.5414 1.035 0.38 0.7075
46 TIP 2672 0.9749 -0.6 0.5489 0.9029 -1.57 0.1173 0.7982 -2.36 0.0185
47 TLT 2924 0.8357 -4.43 0.0 0.7992 -3.59 0.0003 0.7999 -2.43 0.0153
48 UNG 2924 0.9046 -2.48 0.0133 0.8158 -3.27 0.0011 0.7691 -2.87 0.0041
49 USO 2858 0.3304 -28.43 0.0 0.2495 -23.78 0.0 0.2036 -18.98 0.0
50 VEA 2924 0.9586 -1.04 0.2966 0.9471 -0.87 0.3833 0.9091 -1.04 0.299
51 VNQ 2672 0.9886 -0.27 0.7861 0.9616 -0.6 0.5489 0.9241 -0.82 0.4107
52 VOO 2924 0.8533 -3.92 0.0001 0.8196 -3.19 0.0014 0.8044 -2.38 0.0175
53 VT 2924 0.8973 -2.68 0.0074 0.8755 -2.13 0.033 0.853 -1.73 0.0828
54 VTI 2924 0.8758 -3.28 0.001 0.8448 -2.71 0.0068 0.8333 -1.99 0.0466
55 VWO 2924 0.8939 -2.77 0.0056 0.8628 -2.37 0.0179 0.8211 -2.15 0.0314
56 XAR 2872 1.0054 0.13 0.895 0.9676 -0.52 0.6008 0.9755 -0.27 0.7891
57 XBI 2924 0.9248 -1.93 0.0538 0.8984 -1.72 0.0861 0.8613 -1.62 0.1043
58 XHB 2672 1.0099 0.23 0.8166 0.9724 -0.43 0.6689 0.9967 -0.03 0.9729
59 XLB 2924 0.9752 -0.62 0.536 0.9536 -0.76 0.4466 0.9725 -0.3 0.7606
60 XLC 2053 0.839 -3.64 0.0003 0.7846 -3.27 0.0011 0.7814 -2.26 0.0237
61 XLE 2924 0.9831 -0.42 0.674 1.0235 0.37 0.7098 1.0652 0.69 0.4916
62 XLF 2924 0.9032 -2.51 0.012 0.904 -1.62 0.106 0.9029 -1.11 0.2658
63 XLI 2924 0.9322 -1.73 0.0832 0.9285 -1.19 0.2346 0.9444 -0.62 0.5326
64 XLK 2924 0.8964 -2.7 0.0069 0.9027 -1.64 0.1007 0.9224 -0.88 0.3783
65 XLP 2924 0.8261 -4.72 0.0 0.783 -3.93 0.0001 0.7475 -3.18 0.0015
66 XLRE 2731 0.9439 -1.38 0.1683 0.9153 -1.37 0.17 0.8546 -1.66 0.0973
67 XLU 2924 1.0033 0.08 0.9347 1.0101 0.16 0.8725 1.0192 0.21 0.8352
68 XLV 2924 0.888 -2.92 0.0034 0.8251 -3.08 0.0021 0.7321 -3.39 0.0007
69 XLY 2924 0.9771 -0.57 0.5666 0.9599 -0.66 0.5119 0.9994 -0.01 0.9947
70 XME 2672 0.9908 -0.22 0.828 0.9907 -0.14 0.8873 1.041 0.41 0.6787
71 XOP 2221 0.8552 -3.37 0.0008 0.8266 -2.66 0.0079 0.7578 -2.63 0.0085
72 XRT 2672 0.914 -2.12 0.0338 0.8823 -1.92 0.0552 0.9414 -0.63 0.5299