You fit a CAPM that regresses the excess return of



Answered question


You fit a CAPM that regresses the excess return of Coca-cola on the excess market return using 20 years of monthly data. You estimate α=0,72,β=1,37,S2=20,38,σX2=19,82 and μx=0,71.
What is the 99% confidence interval for β?

Answer & Explanation

Lupe Kirkland

Lupe Kirkland

Beginner2021-11-26Added 21 answers

Step 1
Sample Statistic = Slope of Regression i.e. β
β=1.37, 99% confidence interval, n=20
α=1(Confidence interval100)
Degree of freedom (df)=n2
As per the t distribution table, the critical value at df 18 is 2.552.
Standard Error or Standard Deviation =19.82=4.45197
Margin of Error=Critical value×Standard Error
Step 2
Confidence Interval =Sample Statistic±Margin of Error
Upper Interval=1.37+11.36412=12.73142
Lower Interval=1.3711.36412=9.99412
Therefore, 99% confidence interval is -9.99412 to 12.73142

Do you have a similar question?

Recalculate according to your conditions!

New Questions in High school statistics

Ask your question.
Get an expert answer.

Let our experts help you. Answer in as fast as 15 minutes.

Didn't find what you were looking for?