From: | 2022-05-04 | To: | 2024-04-19 |
Symbol | Title | Sector | Industry | M.Cap.[M] | Div Yield | Last Close | AvgVol 200d |
JEPQ | JPMorgan Nasdaq Equity Premium Income ETF | 0 | 54.27 | 5259706 | |||
QYLD | Global X NASDAQ 100 Covered Call ETF | 0.1191 | 16.7 | 5777176 |
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: