MVARiPartSIP01_NVDA_20161003 starting at 08-Nov-2018 06:47:57

MVARiPartSIP01_NVDA_20161003 secondFactor=1
Setting polynomials
name=p0; deg=0; n=1; kOffset=0; vNames=p0d0.
name=p1; deg=0; n=9; kOffset=1; vNames=p1d0.
Reading data for secondFactor=1 (08-Nov-2018 06:47:57)
20161003 NVDA   5977 observations (4544 with nonzero price changes and 9am-5pm)
20161003 NVDA   5641 observations (4063 with nonzero price changes and 9am-5pm)
20161003 NVDA   5963 observations (4538 with nonzero price changes and 9am-5pm)
20161003 NVDA   5627 observations (4061 with nonzero price changes and 9am-5pm)
Data read finished for NVDA 20161003. secondFactor=1. Elapsed time is 4.1446 sec.
starting estimates secondFactor=1. 08-Nov-2018 06:48:01
(nbbPart nboPart nbbSIP nboSIP)
setValid (computing largest possible range)
     nbbPart            1 (00:00:01) to        64800 (18:00:00)
     nboPart            1 (00:00:01) to        64800 (18:00:00)
      nbbSIP            1 (00:00:01) to        64800 (18:00:00)
      nboSIP            1 (00:00:01) to        64800 (18:00:00)
valid range:        35100 (09:45:00) to        57600 (16:00:00)
     nbbPart       4544 total observations,       4145 in valid range.
     nboPart       4063 total observations,       3820 in valid range.
      nbbSIP       4538 total observations,       4139 in valid range.
      nboSIP       4061 total observations,       3818 in valid range.
eVecMeans: -0.013393  1.8947e-18   -0.013393
buildzpzSparsePDLpar (nCPU=0)
Across the full parfor loop, the start to finish elapsed time is 19.88 sec.
VAR/VECM estimates for secondFactor=1
                 dnbbPart        t  dnboPart        t   dnbbSIP        t   dnboSIP        t
dnbbPartp0d0     -0.09942  -0.3751   0.08229   0.3228  -0.09924  -0.3745   0.08212    0.322
dnbbPartp1d0     -0.09727   -0.519  -0.04154  -0.2305  -0.09707  -0.5182  -0.04146    -0.23
dnboPartp0d0       0.5425    1.772    0.4576    1.554    0.5423    1.772    0.4577    1.554
dnboPartp1d0       0.5689    2.629    0.4369    2.099    0.5686    2.628    0.4369    2.098
dnbbSIPp0d0      -0.06079  -0.2292    0.0199    0.078  -0.05989  -0.2259   0.02006  0.07863
dnbbSIPp1d0       0.03705   0.1976   0.07296   0.4046    0.0373   0.1991   0.07327   0.4063
dnboSIPp0d0       -0.3893   -1.272   -0.5723   -1.944   -0.3898   -1.274   -0.5722   -1.943
dnboSIPp1d0       -0.5028   -2.323   -0.4614   -2.216   -0.5029   -2.324   -0.4617   -2.217
nbbPart-nboPart   -0.1419  -0.3786    0.8077     2.24   -0.1421  -0.3793   -0.1924  -0.5336
nbbPart-nbbSIP     -0.331   -1.019    0.2595   0.8305    0.6696    2.062      0.26    0.832
nbbPart-nboSIP    0.06372     0.17    -0.756   -2.097    0.0636   0.1698    0.2441   0.6769
eCov
           dnbbPart   dnboPart    dnbbSIP    dnboSIP
dnbbPart  2.751e-05  2.008e-05  2.748e-05  2.008e-05
dnboPart  2.008e-05  2.545e-05  2.007e-05  2.544e-05
dnbbSIP   2.748e-05  2.007e-05  2.748e-05  2.008e-05
dnboSIP   2.008e-05  2.544e-05  2.008e-05  2.546e-05
eCorr
          dnbbPart  dnboPart  dnbbSIP  dnboSIP
dnbbPart         1    0.7588   0.9994    0.759
dnboPart    0.7588         1    0.759   0.9995
dnbbSIP     0.9994     0.759        1   0.7591
dnboSIP      0.759    0.9995   0.7591        1
Estimation finished for NVDA 20161003. secondFactor=1. Elapsed time is 00:20.22.
starting random walk decomposition for secondFactor=1. 08-Nov-2018 06:48:22
Random walk decomposition for secondFactor=1
Sum of vma coefficients:
  nbbPart  nboPart    nbbSIP  nboSIP
   0.4443   0.1811  -0.02593  0.4516
per period var_w:    0.000026 sd_w:    0.005063
Random walk decomposition for secondFactor=1 
 annualized var_w:  149.963925 sd_w:   12.245976
info share bounds:
             Min      Max
nbbPart  0.00025  0.83153
nboPart  0.00001  0.91985
nbbSIP   0.00000  0.83114
nboSIP   0.00021  0.92030
Grouped info share bounds
                     Min      Max
nbbPart nboPart  0.00028  0.99978
nbbSIP nboSIP    0.00022  0.99972
Random-walk decomp finished for NVDA 20161003. secondFactor=1. Elapsed time is 0.13061 sec.

MVARiPartSIP01_NVDA_20161003 secondFactor=10
Setting polynomials
name=p0; deg=0; n=1; kOffset=0; vNames=p0d0.
name=p1; deg=0; n=9; kOffset=1; vNames=p1d0.
name=p2; deg=0; n=90; kOffset=10; vNames=p2d0.
Reading data for secondFactor=10 (08-Nov-2018 06:48:22)
20161003 NVDA   8257 observations (6698 with nonzero price changes and 9am-5pm)
20161003 NVDA   8008 observations (6141 with nonzero price changes and 9am-5pm)
20161003 NVDA   8219 observations (6687 with nonzero price changes and 9am-5pm)
20161003 NVDA   7968 observations (6138 with nonzero price changes and 9am-5pm)
Data read finished for NVDA 20161003. secondFactor=10. Elapsed time is 4.314 sec.
starting estimates secondFactor=10. 08-Nov-2018 06:48:26
(nbbPart nboPart nbbSIP nboSIP)
setValid (computing largest possible range)
     nbbPart            1 (00:00:00.1) to       648000 (18:00:00.0)
     nboPart            1 (00:00:00.1) to       648000 (18:00:00.0)
      nbbSIP            1 (00:00:00.1) to       648000 (18:00:00.0)
      nboSIP            1 (00:00:00.1) to       648000 (18:00:00.0)
valid range:       351000 (09:45:00.0) to       576000 (16:00:00.0)
     nbbPart       6698 total observations,       6168 in valid range.
     nboPart       6141 total observations,       5785 in valid range.
      nbbSIP       6687 total observations,       6153 in valid range.
      nboSIP       6138 total observations,       5781 in valid range.
eVecMeans: -0.013394      -4e-07   -0.013393
buildzpzSparsePDLpar (nCPU=0)
Across the full parfor loop, the start to finish elapsed time is 69.65 sec.
VAR/VECM estimates for secondFactor=10
                  dnbbPart        t   dnboPart         t    dnbbSIP        t    dnboSIP         t
dnbbPartp0d0      -0.01665  -0.4599    0.04776     1.373   -0.01653  -0.4582    0.04771     1.377
dnbbPartp1d0      -0.03237   -1.096  -0.001449  -0.05104   -0.03237     -1.1  -0.001453  -0.05139
dnbbPartp2d0     -0.004593  -0.2198  -0.007119   -0.3544  -0.004582    -0.22  -0.007093   -0.3546
dnboPartp0d0       0.09411    2.516  -0.002525  -0.07023    0.09412    2.524  -0.002618  -0.07311
dnboPartp1d0       0.08797    2.876    0.05385     1.831    0.08803    2.887    0.05389     1.841
dnboPartp2d0       0.04182    1.921    0.02632     1.258    0.04185    1.929    0.02633     1.263
dnbbSIPp0d0       -0.05833   -1.612  -0.003183  -0.09153   -0.05824   -1.615  -0.003302  -0.09535
dnbbSIPp1d0       0.003275   0.1109    0.02109    0.7428   0.003271   0.1111    0.02095    0.7411
dnbbSIPp2d0      -0.004666  -0.2232    0.01349    0.6713  -0.004659  -0.2236    0.01344    0.6719
dnboSIPp0d0       -0.05555   -1.486   -0.08968    -2.495   -0.05569   -1.494   -0.08958    -2.503
dnboSIPp1d0       -0.05983   -1.956   -0.07753    -2.637   -0.05987   -1.964    -0.0774    -2.644
dnboSIPp2d0       -0.03211   -1.475   -0.03207    -1.532   -0.03213    -1.48   -0.03203    -1.537
nbbPart-nboPart    -0.1597   -3.703     0.2809     6.779    -0.1596   -3.713    -0.7192    -17.42
nbbPart-nbbSIP     -0.2023   -4.843     0.2471     6.157     0.7977    19.16     0.2471      6.18
nbbPart-nboSIP      0.1475    3.421    -0.2726    -6.576     0.1475    3.431     0.7276     17.63
eCov
           dnbbPart   dnboPart    dnbbSIP    dnboSIP
dnbbPart  3.407e-06  1.954e-06  3.376e-06  1.937e-06
dnboPart  1.954e-06  3.147e-06  1.939e-06  3.116e-06
dnbbSIP   3.376e-06  1.939e-06  3.384e-06  1.936e-06
dnboSIP   1.937e-06  3.116e-06  1.936e-06  3.121e-06
eCorr
          dnbbPart  dnboPart  dnbbSIP  dnboSIP
dnbbPart         1    0.5968   0.9942   0.5941
dnboPart    0.5968         1   0.5942   0.9941
dnbbSIP     0.9942    0.5942        1   0.5955
dnboSIP     0.5941    0.9941   0.5955        1
Estimation finished for NVDA 20161003. secondFactor=10. Elapsed time is 01:10.23.
starting random walk decomposition for secondFactor=10. 08-Nov-2018 06:49:36
Random walk decomposition for secondFactor=10
Sum of vma coefficients:
  nbbPart  nboPart    nbbSIP   nboSIP
   0.4637   0.4813  -0.06213  0.09884
per period var_w:    0.000003 sd_w:    0.001587
Random walk decomposition for secondFactor=10 
 annualized var_w:  147.250961 sd_w:   12.134701
info share bounds:
             Min      Max
nbbPart  0.00290  0.73006
nboPart  0.00302  0.85881
nbbSIP   0.00000  0.72184
nboSIP   0.00006  0.85121
Grouped info share bounds
                     Min      Max
nbbPart nboPart  0.00918  0.99987
nbbSIP nboSIP    0.00013  0.99082
Random-walk decomp finished for NVDA 20161003. secondFactor=10. Elapsed time is 0.12348 sec.

Ending NVDA 20161003 analysis at 08-Nov-2018 06:49:36. Elapsed time is 03:03.56.

