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Thanks.

Hi. I am estimating a conditional CAPM model where I am using the MRP(-1) up (f1) and down (f0) as conditions. to estimate beta in up, I have r c mrp equation and the conditioning is f1 which is the lag excess market return i.e. MRP(-1) if it is positive, otherwise zero to estimate beta in down, I h...

Hi. I am estimating a conditional CAPM model where I am using the MRP(-1) up (f1) and down (f0) as conditions. to estimate beta in up, I have r c mrp equation and the conditioning is f1 which is the lag excess market return i.e. MRP(-1) if it is positive, otherwise zero to estimate beta in down, I h...

Thanks Gareth. It works fine with step size set to 1. however, when I set the step size to 12, then it gives the message. I am a bit lost as I am new to Eviews programming. Please help me with this. I have attached the sample file above.

I want to estimate the betas for the three stock using rolling regression with window of 36 (months) and step size of 12 (months). I am getting the following error when I run the code. Matrix-Vector is out of range in "Colplace(coefmat1,eq1.@coefs,13)". for !i=1 to 3 !window = 36 !step = 1...

Thanks Gareth. It does calculate the coefficients for the three stocks but if I don't give the row and column address, it only displays the coefficients for the 3rd stock only and shows 0.000 for all the coefficients of stock 1 and stock 2. Is there another short way around it as otherwise I have to...

I have daily observations on stock returns and have the following written the following code. the step size is 250 so I want to get annual betas using five years daily data and am rolling one year(250 days) forward. When I run the code, it is giving me the error: {COEFMAT2 is not defined in matplace...

Thanks Gareth. can you please help me do it for the following three stocks. do i have to do this for all the 1200 stocks individually or can I declare it in advance? for !i=1 to 3 !window = 36 !step = 1 !length = @obsrange equation eq1 !nrolls = @round((!length-!window)/!step) matrix(6,!nrolls) mast...

Thanks Gareth. Can you please share the code structure for the Master Matrix as my skills are quite limited in creating such a matrix?

Dear Gareth, Thanks for your valuable help. I have corrected the model as below and now it is estimating coefficients as required. I need your help with one more thing and that is how can I retrieve estimated coefficients for all the stocks in one group view or can directly store them into one outpu...

When I estimate the rolling regression using this code, it only estimates the coefficient at one roll and gives zero values for estimates of the coefficients at the second roll and so on over the different windows for the period. Please help me with the solution to the issue. Also can you please gui...

I have tried the following code but it is still not working. I have attached a test file with stock returns of 3 stocks and the market risk premium. Can you please help me with making the required corrections to the code? for !i=1 to 3 !window = 36 !step = 1 !length = @obsrange equation eq1 !nrolls ...

I tried the following but is only giving me the coefficient estimates for the first company. for !i=1 to 1200 //declaring the series i=1 to 1200, I have named stock returns as SR1 to SR1200 !window = 36 !step = 1 !length = @obsrange equation eq1 // !nrolls = @round((!length-!window)/!step) matrix(2,...

Thanks. for the reply. I am new to Eviews programming and don't know how to use the for loops. Can you please help me with a demo?

Hi, I have to estimate Betas for 1200 companies over 20 years. I know how to estimate rolling beta estimates for a single stock but can I estimate the rolling beta coefficients for all the 1200 stocks in Eviews. I earlier used the below code to estimate rolling betas for individual stocks. !window =...