Time series regression for 25 portfolios

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Louisa pauen
Louisa pauen 2017-11-2
回答： magate 2017-12-29
Hello, I want to conduct a time series regression for 25 portfolios to obtain the CAPM betas and alphas. I use a loop for the 25 portfolios and the fitlm function. But I always get a 1x1 linear model and not one for each of the 25 portfolios (so only one alpha and beta value). Here my code: beta = zeros(size(Excess_Returns,2),size(Market_Excess_Return,2));
for i=1:size(Excess_Returns,2)% count of portfolios mdl = fitlm(Market_Excess_Return, Excess_Returns(:,i)) alpha = mdl.Coefficients.Estimates beta = mdl.Coefficients.Estimate(2:end) end so at the end I want to have 25 alpha and 25 beta values with their test statistics! Could anyone help me, what is wrong in my code? Thank you very much in advance!

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magate
magate 2017-12-29
Are you running a loop and not indexing the variable you are filling? Essentially overwriting the value each loop iteration?
Can you post a cleaner version of your code?

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