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Econometric

gauravpuri

Joined
10/9/10
Messages
31
Points
18
Hi All!
I wish to calculate the abnormal market returns for 500 companies for a period of 5 years.

I am using Event Study Methodology with estimation window of 100 days (-120 to -21) and event window -
  • pre -event (-20 to -1 ) and
  • post event ( 0 to 20 )
Event 0 is the day when the earnings were declared by the companies.
I am using MATLAB and Market Model for my design
  1. I need to calculate the abnormal returns . For that i need values of alpha and beta. I will use regress function to calculate alpha and beta ( Ordinary least square )
  2. Find DWStatistic - if good regression i will proceed else GLS ( Generalized least square)
Could any one guide me how to proceed in MATLAB ?
My research on google recommends me to use regress function . What about GLS ? How to proceed with that ?
Your opinions are welcomed .
Thanks
 
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