Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
stock in the system. Our system of 8 models contains 2 coefficients α_i and β_i per model. The coefficient β_i let’s us estimate the effect of the market (goal #1), while α_i lets us estimate the stock-specific effect (goal #2). Thus, we need to estimate a set of 16 coefficients: α_1 thru α_8, and