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Practice Question Mean Monthly Return Variance of Returns Time Period n (%) Before October 1987 120 1.416 22.367 After October 1987 120 1.436 15.795 a. $H_0: \sigma^2_{Before} = \sigma^2_{After}$ vs. $H_A: \sigma^2_{Before} \neq \sigma^2_{After}$ b. Critical Value F(.025,119,119) = 1.43 c. F-test = 1.416 d. FTR You are investigating whether the population variance of returns on the S&P 500/BARRA Growth Index change subsequent to the October 1987 market crash. You gather the following data for 120 months of returns before October 1987 and for 120 months returns after October 1987. You have specified a 0.05 level of significance. a. State the hypothesis. b. What is the critical value (at 95% confidence of coefficient)? c. What is the test statistics? d. Determine whether or not to reject the null hypothesis at the .05 significance level.

          Practice Question
Mean
Monthly
Return
Variance of
Returns
Time Period
n
(%)
Before October 1987
120
1.416
22.367
After October 1987
120
1.436
15.795
a. $H_0: \sigma^2_{Before} = \sigma^2_{After}$ vs. $H_A: \sigma^2_{Before} \neq \sigma^2_{After}$
b. Critical Value F(.025,119,119) = 1.43
c. F-test = 1.416
d. FTR
You are investigating whether the
population variance of returns on the
S&P 500/BARRA Growth Index change
subsequent to the October 1987 market
crash. You gather the following data for
120 months of returns before October
1987 and for 120 months returns after
October 1987. You have specified a 0.05
level of significance.
a. State the hypothesis.
b. What is the critical value (at 95%
confidence of coefficient)?
c. What is the test statistics?
d. Determine whether or not to reject
the null hypothesis at the .05
significance level.

Practice Question
Mean
Monthly
Return
Variance of
Returns
Time Period
n
(%)
Before October 1987
120
1.416
22.367
After October 1987
120
1.436
15.795
a. H0: σ^2Before = σ^2After vs. HA: σ^2Before≠σ^2After
b. Critical Value F(.025,119,119) = 1.43
c. F-test = 1.416
d. FTR
You are investigating whether the
population variance of returns on the
S P 500/BARRA Growth Index change
subsequent to the October 1987 market
crash. You gather the following data for
120 months of returns before October
1987 and for 120 months returns after
October 1987. You have specified a 0.05
level of significance.
a. State the hypothesis.
b. What is the critical value (at 95%
confidence of coefficient)?
c. What is the test statistics?
d. Determine whether or not to reject
the null hypothesis at the .05
significance level.

Added by Stacy H.

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