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Maximizing Equity Market Sector Predictability in a Bayesian Time Varying Parameter Model* - page 36 / 46

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Table 5

Bayesian Gibbs Sampling Estimation Results for the Model in (5) Results of Gibbs sampling simulations for ten economic sector portfolios for the model in (5) are presented. For each portfolio the sample period is January 12, 1990 through June 14, 2002. For each portfolio the number of runs of the Gibbs sampler is 10,000 with the first 2,000 runs discarded for calculation of descriptive statistics. The first item for each sector for each parameter is the posterior mean of the simulation. The median of the posterior sample is presented below in italics and the standard deviation of the posterior sample is presented in parenthesis.

q

p

5

v

4

v

3

v

2

v

1

v

1

u

0

u

0.9865 0.9888 (0.0098)

0.9912 0.9925 (0.0061)

0.00007 0.00004 (0.00006)

0.00063 0.00023 (0.00104)

0.00033 0.00021 (0.00051)

0.00002 0.00001 (0.00003)

0.00974 0.00703 (0.00888)

3.0165 3.0150 (0.0783)

1.9883 1.9869 (0.0687)

CONS DISCR

0.9375 0.9527 (0.0531)

0.9710 0.9763 (0.0218)

0.00001 0.00001 (0.00001)

0.00004 0.00001 (0.00080)

0.00004 0.00001 (0.00008)

0.00002 0.00001 (0.00002)

0.00003 0.00002 (0.00004)

2.6813 2.6767 (0.0945)

1.7946 1.7900 (0.0852)

CONS STAPLE

0.9923 0.9943 (0.0078)

0.9923 0.9937 (0.0058)

0.00055 0.00011 (0.00089)

0.00003 0.00002 (0.00003)

0.00023 0.00009 (0.00039)

0.00012 0.00001 (0.00024)

0.00002 0.00002 (0.00003)

3.0897 3.0883 (0.0908)

2.0511 2.0507 (0.0808)

ENERGY

0.9788 0.9827 (0.0158)

0.9867 0.9887 (0.0092)

0.00019 0.00007 (0.00039)

0.00036 0.00026 (0.00027)

0.00032 0.00011 (0.00045)

0.00011 0.00005 (0.00014)

0.00002 0.00001 (0.00004)

3.6886 3.6838 (0.1214)

2.4424 2.4377 (0.1083)

FINANCIALS

0.9076 0.9520 (0.1393)

0.9464 0.9660 (0.0667)

0.00097 0.00005 (0.00122)

0.00001 0.00001 (0.00003)

0.19069 0.17111 (0.08705)

0.00011 0.00006 (0.00013)

0.00081 0.00017 (0.00167)

3.1749 3.1702 (0.1359)

2.1204 2.1149 (0.1233)

HEALTH CARE

0.9880 0.9902 (0.0092)

0.9898 0.9913 (0.0067)

0.00024 0.00003 (0.00035)

0.00003 0.00003 (0.00003)

0.00019 0.00007 (0.00028)

0.00074 0.00014 (0.00132)

0.00003 0.00002 (0.00004)

2.9386 2.9377 (0.0759)

1.9359 1.9350 (0.0663)

INDUSTRIALS

0.9929 0.9952 (0.0074)

0.9945 0.9955 (0.0041)

0.00010 0.00008 (0.00009)

0.02595 0.00091 (0.04832)

0.00033 0.00028 (0.00023)

0.00088 0.00004 (0.00168)

0.00005 0.00002 (0.00007)

4.9890 4.9860 (0.1250)

3.3343 3.3298 (0.1097)

TECHNOLOGY

0.9874 0.9899 (0.0105)

0.9905 0.9923 (0.0073)

0.00017 0.00003 (0.00035)

0.00050 0.00003 (0.00127)

0.00143 0.00115 (0.00132)

0.00007 0.00004 (0.00008)

0.00318 0.00185 (0.00511)

3.2698 3.2669 (0.1064)

2.1700 2.1676 (0.0952)

MATERIALS

0.9887 0.9924 (0.0119)

0.9935 0.9949 (0.0051)

0.00164 0.00093 (0.00212)

0.01216 0.00991 (0.00990)

0.00033 0.00028 (0.00023)

0.00030 0.00005 (0.00070)

0.00002 0.00001 (0.00002)

3.3547 3.3759 (0.1323)

2.2645 2.2857 (0.1204)

TELECOMM

0.9913 0.9940 (0.0086)

0.9954 0.9962 (0.0035)

0.00045 0.00007 (0.00084)

0.00092 0.00053 (0.00112)

0.00041 0.00001 (0.00141)

0.00112 0.00008 (0.00291)

0.00027 0.00014 (0.00036)

2.6694 2.6690 (0.0600)

1.7988 1.7978 (0.0521)

UTILITIES

35

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