Need Help regarding implementation of Market Model
Posted: Wed Jul 11, 2018 8:05 am
Dear Sir,
I am a new user on Eviews. Just started 10 days before.
I have a detailed question regarding the basic estimation with eviews.
i need general guidelines:
I want to estimate the Market models as under:
Returns of exporting firms = alpha + beta1 * residuals of the auxillary regression eq 2 + beta 2 * daily rate of change in Rouble to Euro + beta 3 * daily rate of change in Rouble to USD + dummy 1 for January effect + Dummy 2 December effect + Dummy 3 to Introduction to euro + Dummy 4 Intro to EU + error term ........................(Equation 1)
Returns from equally weighted portfolio of domestic firms = aplha + beta 2 * daily rate of change in Rouble to Euro + beta 3 * daily rate of change in Rouble to USD + residuals of this auxillary regression (equation 2)
Data Set:
1. I have the daily return data of 27 Domestic and 08 exporting firms of Russia from 01/09/1995 to 30/06/2018.
1. I have a daily ER data for both Rouble to Euro and Rouble to USD from 01/09/1995 to 30/06/2018.
First i want to know how can i construct an equally weighted portfolio of 27 domestic firms of equation 2 above. I want to construct equally weighted portfolio.
second how i can construct equally weighted portfolio for 08 exporting firms same as above.
Third how i can run the above 02 equations in eview.
I am just the beginner. If you can share any material or link that can help me in doing this regression.
Please help.
Regards,
Raheel Asif
I am a new user on Eviews. Just started 10 days before.
I have a detailed question regarding the basic estimation with eviews.
i need general guidelines:
I want to estimate the Market models as under:
Returns of exporting firms = alpha + beta1 * residuals of the auxillary regression eq 2 + beta 2 * daily rate of change in Rouble to Euro + beta 3 * daily rate of change in Rouble to USD + dummy 1 for January effect + Dummy 2 December effect + Dummy 3 to Introduction to euro + Dummy 4 Intro to EU + error term ........................(Equation 1)
Returns from equally weighted portfolio of domestic firms = aplha + beta 2 * daily rate of change in Rouble to Euro + beta 3 * daily rate of change in Rouble to USD + residuals of this auxillary regression (equation 2)
Data Set:
1. I have the daily return data of 27 Domestic and 08 exporting firms of Russia from 01/09/1995 to 30/06/2018.
1. I have a daily ER data for both Rouble to Euro and Rouble to USD from 01/09/1995 to 30/06/2018.
First i want to know how can i construct an equally weighted portfolio of 27 domestic firms of equation 2 above. I want to construct equally weighted portfolio.
second how i can construct equally weighted portfolio for 08 exporting firms same as above.
Third how i can run the above 02 equations in eview.
I am just the beginner. If you can share any material or link that can help me in doing this regression.
Please help.
Regards,
Raheel Asif