Least-squares factor model
As you've seen, there is a negative correlation between minimum quarterly returns and mortgage delinquency rates from 2005 - 2010. This can be made more precise with an OLS regression factor model.
You'll compare three factor models with three different quarterly dependent variables: average returns, minimum returns, and average volatility. The independent variable is the mortgage delinquency rate. In the regression summary, examine the coefficients' t-statistic for statistical significance, as well as the overall R-squared for goodness of fit.
The statsmodels.api library is available as sm.
Diese Übung ist Teil des Kurses
Quantitative Risk Management in Python
Interaktive Übung
Vervollständige den Beispielcode, um diese Übung erfolgreich abzuschließen.
# Add a constant to the regression
mort_del = sm.add_constant(mort_del)
# Create the regression factor model and fit it to the data
results = sm.____(____, mort_del).fit()
# Print a summary of the results
print(results.summary())