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Regression Model (12 Oct 2012)

12 October 2012

Regression Model (12 Oct 2012)

 

 

Independent variable
27 day coefficient Strength of indicator 200 day coefficient Strength of indicator
Cal-13 German power 0.429 53.17% 0.768 23.85%
Cal-13 API#2 (in €) -0.0328 6.33% -0.203 9.81%
Cal-13 nat gas -0.166 11.63% -0.546 9.56%
Stoxx 50 -0.00210 13.61% 0.00388 6.30%
German 10-yr Bund -0.719 2.81% -2.07 2.03%
Intercept 0.466 1.21% -5.62 40.32%

 

Once again the 27 day model was slightly less accurate this week as supply concerns (relating the impending release of 120 million phase 3 permits before the end of the year) continue to outweigh fundamental drivers. Expect this to continue over the next week. Cal-13 German power showed the highest strength of indicator both the 27 day and 200 day models. After this came the Stoxx 50 on the 27 day model and Cal-13 API#2 coal on the 200 day model. Broader macro-economic signals from equities increased on the 27 day model but decreased on the 200 day model, whereas German Bund Yields decreased on both models.

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