What are the estimated standard errors of the innovations

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Reference no: EM131224926

Consider the monthly simple excess returns of Pfizer stock and the S&P 500 composite index from January 1990 to December 2003. The excess returns are in m-pfesp-ex9003.txt with Pfizer stock returns in the first column.

(a) Fit a fixed-coefficient market model to the Pfizer stock return. Write down the fitted model.

(b) Fit a time-varying CAPM to the Pfizer stock return. What are the estimated standard errors of the innovations to the α_t and β_t series? Obtain time plots of the smoothed estimates of α_t and β_t.

Reference no: EM131224926

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