getStatistics: CAPM statistics
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Details
Author(s)
Description
Extract the standard error, t-values, and p-values from the CAPM object.
Usage
1
getStatistics(object)
Arguments
object
a capm object created by CAPM.
Details
The t-statistic and corresponding two-sided p-value are calculated differently
for the alpha and beta coefficients.
alpha the t-statistic and corresponding p-value are calculated to
test if alpha is significantly different from 0.
H0: α = 0
beta the t-statistic and corresponding p-value are calculated to
test if beta is significantly different from 1.
H0: β = 1
Author(s)
Thomas Fillebeen
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
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Description Usage Arguments Details Author(s)
Description
Extract the standard error, t-values, and p-values from the CAPM object.
Usage
1 | getStatistics(object)
|
Arguments
object |
a capm object created by |
Details
The t-statistic and corresponding two-sided p-value are calculated differently for the alpha and beta coefficients.
alpha the t-statistic and corresponding p-value are calculated to test if alpha is significantly different from 0.
H0: α = 0
beta the t-statistic and corresponding p-value are calculated to test if beta is significantly different from 1.
H0: β = 1
Author(s)
Thomas Fillebeen
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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