Modeling consecutive returns
Let's quantify the relationship between returns in 2019 and 2018 by running a linear regression and making predictions. By looking at companies with extremely high or extremely low returns in 2018, we can see if their performance was similar in 2019.
sp500_yearly_returns is available and ols() is loaded.
This exercise is part of the course
Introduction to Regression with statsmodels in Python
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Run a linear regression on return_2019 vs. return_2018 using sp500_yearly_returns
mdl_returns = ____
# Print the parameters
____