The volatility of a stock is often measured by its beta value. The beta value of a stock can be estimated by developing a simple linear regression model, using the percentage weekly change in the stock as the dependent variable and the percentage weekly change in a market index as the independent variable. The least-squares regression estimate of the slopeb1 is the estimate of the beta value. A stock with a beta value of 1.0 tends to move the same as the overall market. A stock with a beta value of 1.5 tends to move 50% more than the overall market, and a stock with a beta value of 0.6 tends to move only 60% as much as the overall market. Stocks with negative beta values tend to move in the opposite direction of the overall market. The accompanying data contain the weekly closing values for a particular market index and the weekly closing stock prices for three companies. Date given in image. A) Estimate the market model for Stock 1. (Hint: Use the percentage change in the market index as the independent variable and the percentage change in Stock 1's price as the dependent variable.) B) Estimate the market model for Stock 2 C) Estimate the market model for Stock 3
The volatility of a stock is often measured by its beta value. The beta value of a stock can be estimated by developing a simple linear regression model, using the percentage weekly change in the stock as the dependent variable and the percentage weekly change in a market index as the independent variable. The least-squares regression estimate of the slopeb1 is the estimate of the beta value. A stock with a beta value of 1.0 tends to move the same as the overall market. A stock with a beta value of 1.5 tends to move 50% more than the overall market, and a stock with a beta value of 0.6 tends to move only 60% as much as the overall market. Stocks with negative beta values tend to move in the opposite direction of the overall market. The accompanying data contain the weekly closing values for a particular market index and the weekly closing stock prices for three companies. Date given in image. A) Estimate the market model for Stock 1. (Hint: Use the percentage change in the market index as the independent variable and the percentage change in Stock 1's price as the dependent variable.) B) Estimate the market model for Stock 2 C) Estimate the market model for Stock 3
MATLAB: An Introduction with Applications
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ISBN:9781119256830
Author:Amos Gilat
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The volatility of a stock is often measured by its beta value. The beta value of a stock can be estimated by developing a simple linear regression model, using the percentage weekly change in the stock as the dependent variable and the percentage weekly change in a market index as the independent variable. The least-squares regression estimate of the slopeb1
is the estimate of the beta value. A stock with a beta value of 1.0 tends to move the same as the overall market. A stock with a beta value of 1.5 tends to move 50% more than the overall market, and a stock with a beta value of 0.6 tends to move only 60% as much as the overall market. Stocks with negative beta values tend to move in the opposite direction of the overall market. The accompanying data contain the weekly closing values for a particular market index and the weekly closing stock prices for three companies.
is the estimate of the beta value. A stock with a beta value of 1.0 tends to move the same as the overall market. A stock with a beta value of 1.5 tends to move 50% more than the overall market, and a stock with a beta value of 0.6 tends to move only 60% as much as the overall market. Stocks with negative beta values tend to move in the opposite direction of the overall market. The accompanying data contain the weekly closing values for a particular market index and the weekly closing stock prices for three companies.
Date given in image.
A) Estimate the market model for Stock 1. (Hint: Use the percentage change in the market index as the independent variable and the percentage change in Stock 1's price as the dependent variable.)
B) Estimate the market model for Stock 2
C) Estimate the market model for Stock 3
Transcribed Image Text:Market Index and Stock Data
Week
Market Index
Stock 1
Stock 2
Stock 3
Week 1
2059.04
25.24
34.45
530.97
Week 2
2089.97
25.77
25.63
24.88
34.88
541.22
Week 3
2070.64
35.42
519.55
Week 4
2001.64
33.38
33.99
34.88
33.76
521.52
26.01
26.48
26.97
Week 5
2075.39
528.29
Week 6
2068.98
548.62
Week 7
2061.62
546.18
Week 8
2040.06
26.46
33.55
555.18
Week 9
2033.11
26.42
32.63
552.06
Week 10
2017.11
25.82
35.32
568.42
Week 11
1963.03
1886.51
1905.49
25.66
36.57
548.71
Week 12
24.81
34.64
523.34
Week 13
24.26
35.04
555.27
Week 14
1969.61
25.43
36.99
585.72
Week 15
1981.28
25.61
38.98
587.76
Week 16
2009.97
26.28
40.49
605.95
Week 17
1985.26
25.89
39.67
585.47
Week 18
2006.91
26.08
43.47
597.96
Week 19
2002.69
25.99
43.71
582.64
Week 20
1989.79
26.14
44.32
592.29
Week 21
1955.77
25.66
43.51
583.93
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