From: | 2019-03-21 | To: | 2021-10-01 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
LEVI | Levi Strauss & Co Class A | Consumer Cyclical | Apparel Manufacturing | 8394 | 0.0228 | 21.09 | 2251796 |
RL | Ralph Lauren Corp Class A | Consumer Cyclical | Apparel Manufacturing | 10745 | 0.0178 | 166.93 | 877820 |
Here we apply an orthogonal regression (also known as total least squares) to both price series. We are interested in some key statistical properties (like β, ...) and in analysing orthogonal residuals:
In this section, Engle-Granger cointegration test is performed using OLS regression method in both directions. Residuals of the regression are plotted and analyzed further: