BLACK SWAN RESILIENCE
PRESENTATION NS PARTNERS - LPP2000-60 ANALYSIS (17/06/2024)
Last updated :
2024-06-19
Time :
12:09:46
COINTEGRATION ANALYSIS
2014
2016
2018
2020
2022
2024
120
140
160
180
200
220
LT Equilibrium
LPP2000-60 spot
Spot Final Value
LT Final Value
Long Time Equilibrium & Spot Value
Date
Value
MEAN REVERSION
2014
2016
2018
2020
2022
−0.2
−0.1
0
0.1
0.2
0.3
0.4
0.5
Cointegration
Threshold
Critical Threshold & Mean Reversion
Date
Cointegration Equation
FORECASTS
Jan 2021
Jul 2021
Jan 2022
Jul 2022
Jan 2023
Jul 2023
Jan 2024
190
195
200
205
210
215
220
225
LPP 2000-60 spot ex post
Forecast 3 Months
LT Equilibrium
LT Equilibrium
LPP 2000-60 spot
LT Equilibrium
Forecasts 3 Months
Date
Value