New answers tagged statistical-finance
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Fama-French Regression Output Interpretation (Intercept/Alpha)
If the model holds, $\alpha_1=\dots=\alpha_N=0$ for all the test assets $i=1,\dots,N$. (In your case $N=3$.) Conversely, if $\alpha_i\neq 0$ for at least one asset $i$, the model does not hold. Now, ...
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How to calculate VaR given mean and sd?
It is really simple. The formula is just:
$VaR_{\alpha,T} = -\mu T + Z_{\alpha} \sigma \sqrt{T}$
Take note the time horizons should match between the drift and the vol terms. Also VaR is usually ...
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