Question
Download the daily adjusted closing prices of Citigroup (Ticker: C) and the SPDR (ticker: SPY) from 2010-01-01 until the latest closing. a. Compute the standard
Download the daily adjusted closing prices of Citigroup (Ticker: C) and the SPDR (ticker: SPY) from 2010-01-01 until the latest closing.
a. Compute the standard deviation of daily returns of C and SPY.
b. Compute the correlation between C and SPY C returns.
c. Generate a scatter plot of Citigroup returns on the y-axis vs. SPY returns on the x-axis.
d. Using the library statsmodels, run a regression of daily returns of Citigroup stock on SPY and report the beta and the R-square of the regression.
Provide Python code please.
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Securitisation Derivatives A Practioner's Handbook
Authors: Mark Aarons, Vlad Ender, Andrew Wilkinson
1st Edition
1119532272, 978-1119532279
