Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
the above 8 stocks. Thus, these 8 stocks will form a system of 8 Capital Asset Pricing Models. We’ll assume that the trailing time period is 3-months. We’ll also assume that the risk-free asset r_f is the 3-Month Treasury Bill Secondary Market Rate series from US FRED. Regression goal We have two