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    AnalisisUnivariadoyMultivariado Eje 3 Analisis de Datos

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    joana
    The document contains daily price data from February 3, 2020 to March 31, 2020 for Ecopetrol stock, the EUR/USD exchange rate, Colombia's representative market rate (TRM), Brent crude oil prices, gold prices, and their respective returns. It also includes correlation and covariance analysis of the returns for these assets.

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    AnalisisUnivariadoyMultivariado Eje 3 Analisis de Datos

    Uploaded by

    joana
    12 views8 pages
    The document contains daily price data from February 3, 2020 to March 31, 2020 for Ecopetrol stock, the EUR/USD exchange rate, Colombia's representative market rate (TRM), Brent crude oil prices, gold prices, and their respective returns. It also includes correlation and covariance analysis of the returns for these assets.

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    AnalisisUnivariadoyMultivariado eje 3 analisis de datos.xlsx

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    The document contains daily price data from February 3, 2020 to March 31, 2020 for Ecopetrol stock, the EUR/USD exchange rate, Colombia's representative market rate (TRM), Brent crude oil prices, gold prices, and their respective returns. It also includes correlation and covariance analysis of the returns for these assets.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    12 views8 pages

    AnalisisUnivariadoyMultivariado Eje 3 Analisis de Datos

    Uploaded by

    joana
    The document contains daily price data from February 3, 2020 to March 31, 2020 for Ecopetrol stock, the EUR/USD exchange rate, Colombia's representative market rate (TRM), Brent crude oil prices, gold prices, and their respective returns. It also includes correlation and covariance analysis of the returns for these assets.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 8

    Cotizaciones

    Fecha Ecopetrol Eur/Usd TRM Brent Oro Fecha


    3/2/2020 3,060.00 1.1134 3,462.00 51.9 1,599.50 3/2/2020
    3/3/2020 3,040.00 1.1173 3,463.22 51.86 1,648.90 3/3/2020
    3/4/2020 3,160.00 1.1136 3,476.00 51.13 1,647.20 3/4/2020
    3/5/2020 3,175.00 1.1241 3,537.00 49.99 1,672.00 3/5/2020
    3/6/2020 2,965.00 1.1286 3,589.25 45.27 1,676.10 3/6/2020
    3/9/2020 2,370.00 1.1449 3,813.01 34.36 1,678.60 3/9/2020
    3/10/2020 2,330.00 1.128 3,765.00 37.22 1,663.30 3/10/2020
    3/11/2020 2,230.00 1.1269 3,891.50 35.79 1,645.40 3/11/2020
    3/12/2020 1,485.00 1.1185 4,028.00 33.22 1,593.20 3/12/2020
    3/13/2020 1,485.00 1.1106 4,031.00 33.85 1,519.50 3/13/2020
    3/16/2020 1,725.00 1.1183 4,080.00 30.05 1,488.60 3/16/2020
    3/17/2020 1,575.00 1.0997 3,998.50 28.73 1,528.10 3/17/2020
    3/18/2020 1,380.00 1.0943 4,158.00 24.88 1,480.60 3/18/2020
    3/19/2020 1,420.00 1.0691 4,089.22 28.47 1,482.30 3/19/2020
    3/20/2020 1,485.00 1.0695 4,118.00 26.98 1,488.10 3/20/2020
    3/23/2020 1,485.00 1.0723 4,180.00 27.03 1,572.70 3/23/2020
    3/24/2020 1,615.00 1.0789 4,111.88 27.15 1,663.30 3/24/2020
    3/25/2020 1,810.00 1.0882 4,066.00 27.39 1,634.30 3/25/2020
    3/26/2020 1,990.00 1.103 3,981.00 26.34 1,660.30 3/26/2020
    3/27/2020 1,860.00 1.1142 4,025.00 24.93 1,654.10 3/27/2020
    3/30/2020 1,830.00 1.1048 4,063.00 22.76 1,643.20 3/30/2020
    3/31/2020 1,900.00 1.1031 4,060.00 22.74 1,596.60 3/31/2020
    Retornos
    Ecopetrol Eur/Usd TRM Brent Oro

    -0.66% 0.35% 0.04% -0.08% 3.04%


    3.87% -0.33% 0.37% -1.42% -0.10%
    0.47% 0.94% 1.74% -2.25% 1.49%
    -6.84% 0.40% 1.47% -9.92% 0.24%
    -22.40% 1.43% 6.05% -27.58% 0.15%
    -1.70% -1.49% -1.27% 8.00% -0.92%
    -4.39% -0.10% 3.30% -3.92% -1.08%
    -40.66% -0.75% 3.45% -7.45% -3.22%
    0.00% -0.71% 0.07% 1.88% -4.74%
    14.98% 0.69% 1.21% -11.91% -2.05%
    -9.10% -1.68% -2.02% -4.49% 2.62%
    -13.22% -0.49% 3.91% -14.39% -3.16%
    2.86% -2.33% -1.67% 13.48% 0.11%
    4.48% 0.04% 0.70% -5.38% 0.39%
    0.00% 0.26% 1.49% 0.19% 5.53%
    8.39% 0.61% -1.64% 0.44% 5.60%
    11.40% 0.86% -1.12% 0.88% -1.76%
    9.48% 1.35% -2.11% -3.91% 1.58%
    -6.76% 1.01% 1.10% -5.50% -0.37%
    -1.63% -0.85% 0.94% -9.11% -0.66%
    3.75% -0.15% -0.07% -0.09% -2.88%
    Retornos dependiente independiente
    Dia Brent (x) Ecopetrol (y) Media
    3/2/2020 51.9 3,060.00 Maximo
    3/3/2020 51.86 3,040.00 Minimo
    3/4/2020 51.13 3,160.00
    3/5/2020 49.99 3,175.00 Coeficiente de correlación
    3/6/2020 45.27 2,965.00 Coeficiente de determinación
    3/9/2020 34.36 2,370.00
    3/10/2020 37.22 2,330.00
    3/11/2020 35.79 2,230.00
    3/12/2020 33.22 1,485.00
    3/13/2020 33.85 1,485.00
    3/16/2020 30.05 1,725.00
    3/17/2020 28.73 1,575.00
    3/18/2020 24.88 1,380.00
    3/19/2020 28.47 1,420.00
    3/20/2020 26.98 1,485.00
    3/23/2020 27.03 1,485.00
    3/24/2020 27.15 1,615.00
    3/25/2020 27.39 1,810.00
    3/26/2020 26.34 1,990.00
    3/27/2020 24.93 1,860.00
    3/30/2020 22.76 1,830.00
    3/31/2020 22.74 1,900.00
    Brent (x) Ecopetrol (y)
    31.40 1,905.48
    51.90 3,175.00
    22.74 1,380.00

    89.17% >70% fuerte


    79.50% lineal entre 40 y 70 semifuerte
    <40% debil
    Ecopetrol (y)
    3,500.00

    3,000.00 f(x) = 56.6808708765793 x + 150.705753397413


    R² = 0.795044297156027
    2,500.00

    2,000.00

    1,500.00

    1,000.00

    500.00

    0.00
    20 25 30 35 40 45 50 55

    Ecopetrol (y)
    3,500.00

    3,000.00
    f(x) = 1983.0357510336 ln(x) − 4839.97991605651
    R² = 0.743702232672634
    2,500.00

    2,000.00

    1,500.00

    1,000.00

    500.00

    0.00
    20 25 30 35 40 45 50 55
    Estimación
    Precio del petroleo 60
    Precio de Ecopetrol 3,551.57

    Estimación
    Precio del petroleo 60
    Precio de Ecopetrol 3,279.09

    Estimación
    Precio del petroleo 60
    Precio de Ecopetrol 3,279.09
    Coeficiente de correlación
    Ecopetrol Eur/Usd TRM Brent Oro datos de los retornos
    Ecopetrol 1.0000 0.1732 -0.6364 0.4383 0.2348
    Eur/Usd 0.1732 1.0000 0.2910 -0.4963 0.2156
    TRM -0.6364 0.2910 1.0000 -0.7518 -0.2879
    Brent 0.4383 -0.4963 -0.7518 1.0000 0.1409
    Oro 0.2348 0.2156 -0.2879 0.1409 1.0000

    Coeficiente de determinación
    Ecopetrol Eur/Usd TRM Brent Oro
    Ecopetrol 1.0000 0.0300 0.4050 0.1921 0.0551
    Eur/Usd 0.0300 1.0000 0.0847 0.2463 0.0465
    TRM 0.4050 0.0847 1.0000 0.5653 0.0829
    Brent 0.1921 0.2463 0.5653 1.0000 0.0199
    Oro 0.0551 0.0465 0.0829 0.0199 1.0000

    Covarianza
    Ecopetrol Eur/Usd TRM Brent Oro
    Ecopetrol 0.0143 0.0002 -0.0016 0.0043 0.0007
    Eur/Usd 0.0002 0.0001 0.0001 -0.0004 0.0001
    TRM -0.0016 0.0001 0.0004 -0.0013 -0.0002
    Brent 0.0043 -0.0004 -0.0013 0.0066 0.0003
    Oro 0.0007 0.0001 -0.0002 0.0003 0.0007

    Distribucion 20% 20% 20% 20% 20%


    portafolio

    Varianza 0.1059% MMULT(MMULT(B29:F29;B22:F26);TRANSPONER(B29:F29))

    Desv Estandar 3.2549%


    datos de los retornos

    ONER(B29:F29))

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