If the R-squared and p values are *very* statistically insignificant -- are these regressions useful? Low statistical significance means that there are many more factors that need to be added to the regression, yes?
Depends. VERY low statistical significant properly means that there is no correlation between whatever variable you are using and the stock price. Anyhow, that means you might be able to reject your hypothesis. That being said, insignificant p values, might be due to too little observations. For me it worked changing from quarterly to monthly observations. (Am not a 100% on the correctness of my reply, as I didn't have quantitative methods for about a year).
I need to know how we can calculate Betas of the APT model. for example if we take 3 factors inflation rate, Interest rate, and Industrial Production Index. So my question is how we can calculate the beta of each independent variable through any software like R-language, SPSS, and Eviews. it would be great if anyone could help me out with this.
The beta coefficients in the APT model are estimated by using linear regression. In general, historical securities returns are regressed on the factor to estimate its beta - Investopedia. He takes the beta of the regression around 1420 minutes in.
If the R-squared and p values are *very* statistically insignificant -- are these regressions useful? Low statistical significance means that there are many more factors that need to be added to the regression, yes?
Depends. VERY low statistical significant properly means that there is no correlation between whatever variable you are using and the stock price. Anyhow, that means you might be able to reject your hypothesis. That being said, insignificant p values, might be due to too little observations. For me it worked changing from quarterly to monthly observations. (Am not a 100% on the correctness of my reply, as I didn't have quantitative methods for about a year).
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You're welcome!
I need to know how we can calculate Betas of the APT model. for example if we take 3 factors inflation rate, Interest rate, and Industrial Production Index. So my question is how we can calculate the beta of each independent variable through any software like R-language, SPSS, and Eviews. it would be great if anyone could help me out with this.
The beta coefficients in the APT model are estimated by using linear regression. In general, historical securities returns are regressed on the factor to estimate its beta - Investopedia. He takes the beta of the regression around 1420 minutes in.
Many thanks :)