Rolling and Recursive Regressions
(a) For the same portfolios in the previous exercise, compute rolling βs using 60 consecutive
observations.
(b) For the market βs, produce a plot containing four series:
• A line corresponding to the constant β (full sample)
• The β estimated on the rolling sample
• The constant β plus 1.96× the variance of a 60-observation estimate of β. • The constant β minus 1.96× the variance of a 60-observation estimate of β.
(c) Do the market exposures appear constant?
(d) What happens if only the market is used as a factor (repeat the exercise excluding
SMB and HML)
有没有uu可以指点一下🥹