Question
Hi there! I am doing an econometrics assignment in order to estimate a security market line (SML) based on a risk free rate equivalent to
Hi there! I am doing an econometrics assignment in order to estimate a security market line (SML) based on a risk free rate equivalent to a one year treasury bond, along with 5 assets which each include both a beta and annual expected return. In order to find the (SML), I must first construct the regression line and then run that regression line. Once I run the regression line, I must determine the slope and y-intercept, as well as interpret the regression and calculate a 95% CI for the slope and y-intercept. Lastly, I must determine ifthe regression estimate of my risk-free rate matches the actual current risk-free rate using confidence intervals to help answer this question and then figure out the current expected market rate of return based off the regression.I have eviews and excel, but I am unsure on how to derive that regression line. My question is how to construct and run the regression line using one of those two programs, or any other program you recommend that is free in order to find the answers above!
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