Consider the monthly simple excess returns of Pfizer stock and the S&P 500 composite index from January

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Consider the monthly simple excess returns of Pfizer stock and the S&P 500 composite index from January 1990 to December 2003.

The excess returns are in m-pfesp-ex9003.txt witeh Pfizer stock returns in the first column.

(a) Fit a fixed-coefficient market model to the Pfizer stock return.

Write down the fitted model.

(b) Fit a time-varying CAPM to the Pfizer stock return. What are the estimated standard errors of the innovations to the αt and βt series?

Obtain time plots of the smoothed estimates of αt and βt.

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:05 AM

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Consider the monthly simple excess returns of Pfizer stock and the S&P 500 composite index from January

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Analysis Of Financial Time Series

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