Hi All,
Thanks for reading.
I currently have daily time series data for the periods from July 2010 to March 2019. I am looking to run a regression for every month against 3 independent variables in order to record the daily residual values.
I am attempting to follow these instructions: "Regressions are conducted every month for each stock with its idiosyncratic risk for the particular month represented by the standard deviation of the regression residuals."
So after the daily residuals are recorded using data from the first month (Jul 2010), data from the second month (Aug 2010) is regressed against the second month independent variables and again the residuals are recorded and so on until the last month (Mar 2019).... if my understanding is correct.
Any help would be greatly appreciated.
Thanks in advance.
Alex
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