hypTest: CAPM Hypothesis Test

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Test the CAPM coefficients for significance.

Usage

hypTest(object, significanceLevel)

Arguments

object	a capm object created by CAPM
significanceLevel	confidence level

Details

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.

Value

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)

Author(s)

Thomas Fillebeen

See Also

getStatistics

GARPFRM documentation built on May 2, 2019, 5:45 p.m.