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1. Microsoft (MSFT) Augusto Pucci

3. Microsoft Campus

4. Microsoft: Company Overview

9. MSFT – Return Analysis

10. Adj_Close from 03/13/1986 to 02/05/2009 9/11 Win95 Win98 monopoly accuse European antitrust action 5,000 emp. layoffs

11. RT from 03/13/1986 to 02/05/2009 9/11 Win95 Win98 monopoly accuse European antitrust action 5,000 emp. layoffs

12. Windows 95 & Windows 98 Win95 Win98

13. Windows 95 & Windows 98 Win95 Win98

14. Dot.Com Bubble & 9/11 9/11 monopoly accuse

15. Dot.Com Bubble & 9/11 9/11 monopoly accuse

16. European antitrust accuse & massive layoffs European antitrust action 5,000 emp. layoffs

17. European antitrust accuse & massive layoffs European antitrust action 5,000 emp. layoffs

18. RT - Histogram

19. Windows 95 & Windows 98

20. Dot.Com Bubble & 9/11

21. RT Synth - Histogram

22. RT Vs. RT Synth 5776 5776 Observations 9143113. 9136709. Sum Sq. Dev. 8686.960 8147.096 Sum 0.000000 0.066684 Probability 51406.45 5.415586 Jarque-Bera 17.56243 3.076041 Kurtosis -0.619675 -0.064653 Skewness 39.78974 39.77580 Std. Dev. -602.4211 -154.1308 Minimum 283.3044 143.1277 Maximum 0.000000 1.712924 Median 1.503975 1.410508 Mean RT RT_SYNTH

23. RT Synth

24. RT Vs. RT Synth [2]

25. RT Vs. RT Synth [3]

26. RT - Correlogram Sign. Level (5%) = ± 0.025

27. RT 2 - Correlogram Sign. Level (5%) = ± 0.025

28. abs(RT) - Correlogram Sign. Level (5%) = ± 0.025

29. RT 2

30. RT 2 - Histogram

31. abs(RT)

32. abs(RT) - Histogram

33. RT – AR(2) model

34. RTF - AR(2) Static Forecast

35. RT Vs. RTF AR(2) Static Forecast

36. RTF - AR(2) Dynamic Forecast

37. RT AR(2) – Residual Plot

38. RT AR(2) – Residual Plot [2]

39. RT AR(2) – Residual Histogram

40. RT AR(2) – Residual Correlogram Sign. Level (5%) = ± 0.025

41. RT AR(2) – Residual ARCH Test

42. RT – AR(2) – ARCH(1) model

43. RT – AR(2) – ARCH(1) model σ 2 = 1,618.1026 σ = 40.225647

44. RT – ARCH(1) Residual Plot

45. RT – ARCH(1) Conditional Variance Plot

46. RT – ARCH(1) Residual Vs. Conditional Variance Plot

47. RT – ARCH(1) Std. Residual Plot

48. RT – ARCH(1) Residuals Vs. Std. Residuals Plot

49. RT – ARCH(1) Std. Residuals Vs. Residuals

50. RT – ARCH(1) Conditional Variance Vs. Std. Residuals

51. RT – ARCH(1) Residual Histogram

52. RT – ARCH(1) Std. Residual Correlogram Sign. Level (5%) = ± 0.025

53. RT – ARCH(1) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025

54. RT ARCH(1) – Residual ARCH Test

55. RT – AR(2) – ARCH(2) model

56. RT – AR(2) – ARCH(2) model σ 2 = 1,635.1865 σ = 40.437440

57. RT – ARCH(2) Residual Plot

58. RT – ARCH(2) Conditional Variance Plot

59. RT – ARCH(2) Residual Vs. Conditional Variance Plot

60. RT – ARCH(2) Std. Residual Plot

61. RT – ARCH(2) Residuals Vs. Std. Residuals Plot

62. RT – ARCH(2) Std. Residuals Vs. Residuals

63. RT – ARCH(2) Conditional Variance Vs. Std. Residuals

64. RT – ARCH(2) Residual Histogram

65. RT – ARCH(2) Std. Residual Correlogram Sign. Level (5%) = ± 0.025

66. RT – ARCH(2) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025

67. RT ARCH(2) – Residual ARCH Test

68. RT – AR(2) – GARCH(1,1) model

69. RT – AR(2) – GARCH(1,1) model σ 2 = 2,391.1118 σ = 48.898996

70. RT – GARCH(1,1) Residual Plot

71. RT – GARCH(1,1) Conditional Variance Plot

72. RT – GARCH(1,1) Residual Vs. Conditional Variance Plot

73. RT – GARCH(1,1) Std. Residual Plot

74. RT – GARCH(1,1) Residuals Vs. Std. Residuals Plot

75. RT – GARCH(1,1) Std. Residuals Vs. Residuals

76. RT – GARCH(1,1) Conditional Variance Vs. Std. Residuals

77. RT – GARCH(1,1) Residual Histogram

78. RT – GARCH(1,1) Std. Residual Correlogram Sign. Level (5%) = ± 0.025

79. RT – GARCH(1,1) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025

80. RT GARCH(1,1) – Residual ARCH Test

81. RT GARCH(1,1) - Sign Bias Test

82. RT GARCH(1,1) – Negative Size Bias Test

83. RT – AR(2) – TGARCH(1,1) model

84. RT – AR(2) – TGARCH(1,1) model σ 2 = 2,656.5854 σ = 51.542074

85. RT – TGARCH(1,1) Residual Plot

86. RT – TGARCH(1,1) Conditional Variance Plot

87. RT – TGARCH(1,1) Residual Vs. Conditional Variance Plot

88. RT – TGARCH(1,1) Std. Residual Plot

89. RT – TGARCH(1,1) Residuals Vs. Std. Residuals Plot

90. RT – TGARCH(1,1) Std. Residuals Vs. Residuals

91. RT – TGARCH(1,1) Conditional Variance Vs. Std. Residuals

92. RT – TGARCH(1,1) Residual Histogram

93. RT – TGARCH(1,1) Std. Residual Correlogram Sign. Level (5%) = ± 0.025

94. RT – TGARCH(1,1) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025

95. RT TGARCH(1,1) – Residual ARCH Test

97. Range 2 model

98. E[ Range 2 t | I (t-1) ] (from Range MEM)

99. Range 2 t Vs. E[ Range 2 t | I (t-1) ]

100. abs(RT) model -> RT 2 model

101. RT 2 model

102. E[ RT 2 t | I (t-1) ] (from abs(RT) MEM)

103. RT 2 t Vs. E[ RT 2 t | I (t-1) ]

104. RT – GARCH(1,1) model Extended…

105. RT – GARCH(1,1) eXt. model

106. RT – GARCH(1,1) eXt. Residual Plot

107. RT – GARCH(1,1) eXt. Conditional Variance Plot

108. RT – GARCH(1,1) eXt. Residual Vs. Conditional Variance Plot

109. RT – GARCH(1,1) eXt. Std. Residual Plot

110. RT – GARCH(1,1) eXt. Residuals Vs. Std. Residuals Plot

111. RT – GARCH(1,1) eXt. Std. Residuals Vs. Residuals

112. RT – GARCH(1,1) eXt. Conditional Variance Vs. Std. Residuals

113. RT – GARCH(1,1) eXt. Residual Histogram

114. RT – GARCH(1,1) eXt. Std. Residual Correlogram Sign. Level (5%) = ± 0.025

115. RT – GARCH(1,1) eXt. Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025

116. RT - GARCH(1,1) eXt – Residual ARCH Test

117. RT – GARCH(1,1) model Extended 2…

118. RT – GARCH(1,1) eXt.2 model

119. RT – GARCH(1,1) eXt.2 Residual Plot

120. RT – GARCH(1,1) eXt.2 Conditional Variance Plot

121. RT – GARCH(1,1) eXt.2 Residual Vs. Conditional Variance Plot

122. RT – GARCH(1,1) eXt.2 Std. Residual Plot

123. RT – GARCH(1,1) eXt.2 Residuals Vs. Std. Residuals Plot

124. RT – GARCH(1,1) eXt.2 Std. Residuals Vs. Residuals

125. RT – GARCH(1,1) eXt.2 Conditional Variance Vs. Std. Residuals

126. RT – GARCH(1,1) eXt.2 Residual Histogram

127. RT – GARCH(1,1) eXt.2 Std. Residual Correlogram Sign. Level (5%) = ± 0.025

128. RT – GARCH(1,1) eXt.2 Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025

129. RT - GARCH(1,1) eXt.2 – Residual ARCH Test

130. RT – AR(2) – TGARCH(1,1) ShortFall

131. RT Vs. Expected Loss [ -1.000*sqr(GARCH) ] Z α = 1.000

132. Shortfall [ min{rt-loss_hat,0}] Z α = 1.000

133. Shortfall Histogram [12.1406 %] Z α = 1.000 [12.1406 %]

134. RT Vs. Expected Loss [ -2.000*sqr(GARCH) ] Z α = 2.000

135. Shortfall [ min{rt-loss_hat,0}] Z α = 2.000

136. Shortfall Histogram [1.9050 %] Z α = 2.000 [1.9050 %]

137. RT Vs. Expected Loss [ -2.250*sqr(GARCH) ] Z α = 2.250

138. Shortfall [ min{rt-loss_hat,0}] Z α = 2.250

139. Shortfall Histogram [1.3508 %] Z α = 2.250 [1.3508 %]

140. RT Vs. Expected Loss [ -2.250*sqr(GARCH) ] Z α = 2.426

141. Shortfall [ min{rt-loss_hat,0}] Z α = 2.426

142. Shortfall Histogram [1.0737 %] Z α = 2.426 [1.0737 %]

143. RT Vs. Expected Loss [ -3.000*sqr(GARCH) ] Z α = 3.000

144. Shortfall [ min{rt-loss_hat,0}] Z α = 3.000

145. Shortfall Histogram [0.5542 %] Z α = 3.000 0.5542 %]

146. RT Vs. Expected Loss [ -4.000*sqr(GARCH) ] Z α = 4.000

147. Shortfall [ min{rt-loss_hat,0}] Z α = 4.000

148. Shortfall Histogram [0.1383 %] Z α = 4.000 [0.1383 %]

149. Volatility Forecasting from: TGARCH(1,1) model

150. TGARCH(1,1) - Plot RT ± 2 σ

151. TGARCH(1,1) – Variance Dynamic Forecast (out of the sample) 02/06/2009 - 02/06/2010

152. TGARCH(1,1) - Plot RT ± 2 σ Variance Dynamic Forecast (out of the sample)

153. TGARCH(1,1) – Variance Dynamic Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009

154. TGARCH(1,1) - Plot RT ± 2 σ Variance Dynamic Forecast (in the sample)

155. TGARCH(1,1) – Variance Static Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009

156. TGARCH(1,1) - Plot RT ± 2 σ Variance Static Forecast (in the sample)

157. Volatility Forecasting from: Range 2 model

158. Range 2 - Plot RT ± 2 σ

159. Range 2 – Variance Dynamic Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009

160. Range 2 - Plot RT ± 2 σ Variance Dynamic Forecast (in the sample)

161. Range 2 – Variance Static Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009

162. Range 2 - Plot RT ± 2 σ Variance Static Forecast (in the sample)

163. Volatility Forecasting from: GARCH(1,1) eXt. model

164. GARCH(1,1) eXt.2 - Plot RT ± 2 σ

165. GARCH(1,1) eXt.2 – Variance Dynamic Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009

166. GARCH(1,1) eXt.2 - Plot RT ± 2 σ Variance Dynamic Forecast (in the sample)

167. GARCH(1,1) eXt.2 – Variance Static Forecast (in the sample) Training Set: 03/13/1986 - 12/31/2007 Test Set: 01/01/2008 - 02/05/2009

168. GARCH(1,1) eXt.2 - Plot RT ± 2 σ Variance Static Forecast (in the sample)

169. Conditional Variance Comparisons

170. Extra Stuff…

171. S&P 500

172. RT MSFT Vs. RM S&P500

173. RX = RT - RM 9/11 Win95 Win98 monopoly accuse European antitrust action 5,000 emp. layoffs

174. RX - Histogram

175. RX - Correlogram Sign. Level (5%) = ± 0.025

176. RX 2 - Correlogram Sign. Level (5%) = ± 0.025

177. RX – AR(2) model

178. RXF - AR(2) Static Forecast

179. RX Vs. RXF AR(2) Static Forecast

180. RXF - AR(2) Dynamic Forecast

181. RX AR(2) – Residual Plot

182. RX AR(2) – Residual Plot [2]

183. RX AR(2) – Residual Histogram

184. RX AR(2) – Residual Correlogram Sign. Level (5%) = ± 0.025

185. RX AR(2) – Squared Residual Correlogram Sign. Level (5%) = ± 0.025

186. RX AR(2) – Residual ARCH Test

187. RX – AR(2) – GARCH(1,1) model

188. RX – AR(2) – GARCH(1,1) model σ 2 = 1,055.5790 σ = 32.489675

189. RX – AR(2) - GARCH(1,1) Residual Plot

190. RX – AR(2) - GARCH(1,1) Conditional Variance Plot

191. RX – AR(2) – GARCH(1,1) Residual Vs. Conditional Variance Plot

192. RX – AR(2) -GARCH(1,1) Std. Residual Plot

193. RX – AR(2) - GARCH(1,1) Residuals Vs. Std. Residuals Plot

194. RX – AR(2) - GARCH(1,1) Std. Residuals Vs. Residuals

195. RX – AR(2) - GARCH(1,1) Conditional Variance Vs. Std. Residuals

196. RX – AR(2) - GARCH(1,1) Residual Histogram

197. RX – AR(2) - GARCH(1,1) Std. Residual Correlogram Sign. Level (5%) = ± 0.025

198. RX – AR(2) - GARCH(1,1) Squared Std. Residual Correlogram Sign. Level (5%) = ± 0.025

199. RX - AR(2) - GARCH(1,1) – Residual ARCH Test

200. RX - AR(2) - GARCH(1,1) – Variance Dynamic Forecast

201. Grazie dell’Attenzione !!!