Is it possible to estimate a beta value of a time series data (stock) using the CAPM model on NumXl?

• Comentário oficial

  

  Mohamad

  31 de Janeiro de 2017 20:36 (Editado 4 de Agosto de 2021 20:42)

  Check out the white paper on calculating CAPM beta using the regression functions in NumXL

  https://numxl.com/blogs/calculating-capm-beta/

   

  Ações de comentário Permalink
• 

  Mohamad

  31 de Março de 2013 20:14 (Editado 4 de Agosto de 2021 20:43)

  To estimate the CAPM beta, you need to regress (SLR) between the two-time series: market returns and your asset returns.

  Asset Return = risk-free return + beta * Market Return

  You can use the NxRegress function to compute the slope (i.e. Beta) for the two-time series. See the function reference page and example:

  https://support.numxl.com/hc/en-us/articles/215811083-NxRegress-Simple-Linear-Regression-Function

  You can even compute the beta value for different dates (using prior data) and examine the variation of beta over time.

  0

  Ações de comentário Permalink

iniciar sessão para comentar.