Description Usage Arguments Details Value Author(s) See Also
Test the CAPM coefficients for significance.
1 | hypTest(object, significanceLevel)
|
object |
a capm object created by |
significanceLevel |
confidence level |
This function tests the significance of the coefficients (alpha and beta) estimated by the CAPM.
#' 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
If the p-value is less than the coefficients confidence level, the null hypothesis is rejected meaning that the coefficients is significant. If the p-value is greater than the specified confidence level, the null hypothesis cannot be rejected.
TRUE if the null hypothesis is rejected (i.e. the estimated coefficient is significant) FALSE if the null hypothesis cannot be rejected (i.e. the estimated coefficient is not significant)
Thomas Fillebeen
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.