In this application you will use daily data on your company returns together with the S&P500 returns over the same sample period as in PART I
Set your in-sampleorlearningperiodtostartfromthefirstobservationuptoandincludingFebruary28th2020. Denote this sample size T1. Set the forecast (evaluation) period to be the remaining observations from March 1st, 2020 to the last observation. There are T − T1 observations in this forecast period. Use the following methods to choose and estimate suitable forecasting models using the in-sample data only:
(i) 30 days sample mean for that asset
(ii) A Reg-AR(1): a regression with the lag 1 market index return added to a an AR(1) model for your company return.
(iii) A CAPM Model for the excess returns on your company stock.
I have further details as we have some work done on this project, please leave your bids so we can discuss this in detail.
Regards,
Usama M.