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In-class assignment for Programming in Finance Part 1 Libraries needed: quantmod, Performance Analytics, fBasics. Use close prices in all calculations. 1. Apply market model (CAPM)
In-class assignment for Programming in Finance Part 1 Libraries needed: quantmod, Performance Analytics, fBasics. Use close prices in all calculations. 1. Apply market model (CAPM) to logarithmic returns of close prices to calculate the regression statistics of market model including betas (OLS slope coefficients) which are the measures of given stock market risk relative to market risk (DJIA index). Fill in the table below (output with 2 digital points). Stock tickers: AAL BA MA SA Alpha Beta t-ratio at beta* YES / NOT Are market returns significant at p=0.01? (0) YES / NOT YES / NOT YES / NOT *Fill in standard t-ratio statistics calculated with OLS. Upload the completed table in Word/Excel/PDF and the code you used to calculate it. (10) In-class assignment for Programming in Finance Part 1 Libraries needed: quantmod, Performance Analytics, fBasics. Use close prices in all calculations. 1. Apply market model (CAPM) to logarithmic returns of close prices to calculate the regression statistics of market model including betas (OLS slope coefficients) which are the measures of given stock market risk relative to market risk (DJIA index). Fill in the table below (output with 2 digital points). Stock tickers: AAL BA MA SA Alpha Beta t-ratio at beta* YES / NOT Are market returns significant at p=0.01? (0) YES / NOT YES / NOT YES / NOT *Fill in standard t-ratio statistics calculated with OLS. Upload the completed table in Word/Excel/PDF and the code you used to calculate it
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