[R-SIG-Finance] CAPM homework (was RE: assistance please)
Brian G. Peterson
brian at braverock.com
Thu Feb 9 13:30:20 CET 2012
On Thu, 2012-02-09 at 06:30 +0000, Baranzan Alhamdu Vayin wrote:
> Download data for the same period for FTSE all shares (^FTAS) as well as the
> gilts index BG06.L. Using the last two as proxies for the overall market return and the riskfree
> return, calculate the appropriate continuously compounded (logarithmic) returns.
> 1. Provide the appropriate time series regression tests for the CAPM.
> 2. Estimate the Single Index model for your stock and discuss the differences to the CAPM
> 3. Provide a rolling analysis of the time series CAPM regression. Select appropriate window
> and briefly justify your choice. Draw appropriate conclusions from your analysis.
> pls, could you help me with some clue on how to go about this work. thanks for your anticipated response
It's not polite to hit 'reply' to a digest post. If your email reader
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This looks shockingly like a homework question, so I'm not going to give
you the answers, only a bit of direction.
>From the R console:
In the future, please follow the posting guide and esr and *try*
first. Search on rseek.org, which would likely have found all the
functions described above. Try some things. *Then* post on r-help or
here (depending on whether your question is general to R or specific to
finance, respectively) showing what you've already tried, and being
specific about where you are having difficulty.
Brian G. Peterson
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