Hypothesis test for the mean
Still consider the constant expected return model (CER) that was introduced in exercise 2.
You would like to test for each \(\mu_i\) (\(i =\) VBLTX, FMAGX and SBUX):
$$H_0: \mu_i = 0 \text{ vs. } H_1: \mu_i \neq 0,$$
using a 5% significance level. In other words, you would like to investigate whether the mean return is significantly different from zero according to the data. Perform the test using the t-statistic as well as the 95% confidence. You can use the R function t.test() for this problem.
This exercise is part of the course
Intro to Computational Finance with R
Exercise instructions
Use the t.test to perform the t-test for \(\mu_{VBLTX}\) and print the result to the console. What do you conclude?
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# The all_returns zoo object is preloaded in your workspace