Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
Author) In the above equation, the CAPM regresses the risk-free return on asset i, at time t, over some trailing time period (such as 3-months), on the risk-free return on the m market in which the asset i is traded, at the same time instant t, and over the same trailing time period. We’ll consider