Manual and Help for Excel addin Metrixus - Metrics for Financial Market

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-> Manual and Help of METRIXUS.XLL

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QUICK REFERENCE

• Operation System: Windows XP, Windows 2000, Windows ME or Windows 98
• This system has no been tested to Windows 95, but may not face troubles.
• Microsoft Excel with version: Excel 2003, Excel XP or Excel 2000
• Memory: Minimum of 128 MB
• Hard Disk space: 10 MB
• Browser Internet Explorer or Netscape installed ¹

¹ Allows access to manual and help files available in the Internet.

Access:

• Menu - Metrixus | Help on line
• - Toolbar Metrixus

Description: Runs browser Internet Explorer or Netscape in Élin Duxus web page for system manual and help for functions.

Access:

• Menu - Metrixus | Status
• - Toolbar Metrixus

Description: Allows user to verify systems available updates as well as signature/license status. If signature/license expires, all functionalities will be over and will return #N/A.

• - Running normal
• - License or trial is about to expire
• - System blocked – signature or license need to be revalidated.

Access:

• Menu - Metrixus | Idiom

Description: Idiom setting.
Includes options for Portuguese (Brazil) or English (USA).
After change the idiom, it is necessary to restart Microsoft Excel.
Available in version 1.0.1 and superiors.

Access:

• Menu - Metrixus | Histogram
• - Toolbar Metrixus

Description: Draws a histogram chart for the selected range of cells. Includes sample or populations, skewness, kurtosis and mean and standard deviation for each range in the histogram. Normalization (area under the PDF – probability density function - is 1) is also possible.
Data range can be asset prices and the histogram can draw asset returns directly from data. No log operation is used in this case and data must be in time order (older prices first).


Histogram screen

Access:

• Menu - Insert | Function | Metrixus
• - Toolbar Standard | Metrixus

Description: Returns data range skewness for sample or population. Also available skewness of Karl Pearson.

Call: MX.SKEW (Data, Returns, Sample, Type, Intervals)

Usage example:

• Data range: P7:S23 (68 data)
• Sample

= MX.SKEW(P7:S23)

Access:

• Menu - Insert | Function | Metrixus
• - Toolbar Standard | Metrixus

Description: Returns data range excess of kurtosis related to normal distribution for sample or population.

Call: MX.KURT (Data, Returns, Sample)

Usage example:

• Data range: P7:S23 (68 data)
• Sample

= MX.KURT(P7:S23)

Access:

• Menu - Inserir | Função | Metrixus
• - Toolbar Standard | Metrixus

Description: Returns interest rate (base ACT/252) from Exponential Interpolation or extrapolation from yield curve informed.
Minimum of 3 points (time position) for interpolation.
For each time position, only one yield must be informed.

Chamada: MX.INTERPOLEX (Workdays, Yield Curve, Years Flat)

Usage example:

• Workdays: 120
• Years Flat: 1.0
• Yield Curve: A2:B11 (11 points out of sequence)

= MX.INTERPOLEX( 120, A2:B11, 1.0)

Access:

• Menu - Insert | Function | Metrixus
• - Toolbar Standard | Metrixus

Description: . Returns interest rate (base ACT/252) from natural cubic spline interpolation and from yield curve informed.
For each time position, only one yield must be informed.

Call: MX.CSPLINE (Workdays, Yield Curve)

Usage example:

• Workdays: 120
• Yield curve: A2:B11 (11 points out of sequence)

= MX.CSPLINE( 120, A2:B11)

Access:

• Menu - Metrixus | CSpline x Exp
• - Toolbar Metrixus

Description: . Build a comparative chart for cubic spline and exponential interpolation.
Data range must be selected in advance.


Comparative chart screen

Access:

Description: Runs principal component analysis – PCA – of data range. Returns loading factors and others parameters.
Allows Kayser criteria or Proportion criteria and build scree test chart.
Data range must be selected in advance.


Principal component analysis screen

Access:

• Menu - Metrixus | ICA
• - Toolbar Metrixus

Description: Runs ICA of informed data range. Returns independent components, mixing and demixing matrix and others parameters.
Data range must be selected in advance.


Independent component analysis screen

Access:

• Menu - Metrixus | MLR
• - Toolbar Metrixus

Description: Runs the multiple linear regression for variables informed. Returns regression coefficients and others parameters.
Data range must be selected in advance.


MLR screen

Access 1:

• Menu - Insert | Function | Metrixus
• - Toolbar Metrixus

Description: Returns volatility and mean values of data range or asset returns (from data ranges that represent asset prices, using or not log operator).
Matrix CTRL + SHIFT + ENTER format required.

Call: MX.EWV (Data, Decay, Order, Returns, Null Avg.)

Access 2:

• Menu - Metrixus | Best EWV Decay
• - Toolbar Metrixus

Description: Returns the bet decay to be used in exponentially weighting.
Allows minimum tolerance requirement. Data range can be consider asset prices and best decay be obtained by asset returns from those prices, using or not log operator.
Data range must be selected in advance.


Best exponentially weighting volatility screen

Access:

• Menu - Metrixus | ARCH Family
• - Toolbar Metrixus

Description: Runs ARCH model for data range and returns ARCH coefficients using MLE - maximum likelihood estimation.
Models available:

• ARCH (q)
• GARCH (q,p)
• IGARCH (q,p)
• EGARCH (q,p)
• GJR (q,p)
• Best Fit (maximum LLF - log likelihood function)

q and p can be up to 7. Best fit can look in the selected models and until the q and p limitation chosen.
Data range can be consider asset prices and ARCH model be presented over asset returns from those prices, using or not log operator.
Data range must be selected in advance.


ARCH family screen