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    Capm-1 1

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    krishparakh23
    The document estimates the beta of VIPCLOTHNG stock using the CAPM model against the Nifty 50 index from 2020-2023 on a weekly basis. It loads necessary packages, obtains the daily price data for both stocks, converts it to weekly data, calculates weekly returns, runs a regression analysis, and estimates beta to be 0.934841 based on the slope of the regression line.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Capm-1 1

    Uploaded by

    krishparakh23
    22 views5 pages
    The document estimates the beta of VIPCLOTHNG stock using the CAPM model against the Nifty 50 index from 2020-2023 on a weekly basis. It loads necessary packages, obtains the daily price data for both stocks, converts it to weekly data, calculates weekly returns, runs a regression analysis, and estimates beta to be 0.934841 based on the slope of the regression line.

    Original Title

    CAPM-1.1

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    The document estimates the beta of VIPCLOTHNG stock using the CAPM model against the Nifty 50 index from 2020-2023 on a weekly basis. It loads necessary packages, obtains the daily price data for both stocks, converts it to weekly data, calculates weekly returns, runs a regression analysis, and estimates beta to be 0.934841 based on the slope of the regression line.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    22 views5 pages

    Capm-1 1

    Uploaded by

    krishparakh23
    The document estimates the beta of VIPCLOTHNG stock using the CAPM model against the Nifty 50 index from 2020-2023 on a weekly basis. It loads necessary packages, obtains the daily price data for both stocks, converts it to weekly data, calculates weekly returns, runs a regression analysis, and estimates beta to be 0.934841 based on the slope of the regression line.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 5

    FRAM

    2023-11-26

    Part 1.1 - Estimating Beta using the CAPM model


    Company - VIPCLOTHNG TIME FRAME - DAILY

    # Load necessary packages


    library(quantmod)

    ## Loading required package: xts

    ## Loading required package: zoo

    ##
    ## Attaching package: ’zoo’

    ## The following objects are masked from ’package:base’:


    ##
    ## as.Date, as.Date.numeric

    ## Loading required package: TTR

    ## Registered S3 method overwritten by ’quantmod’:


    ## method from
    ## as.zoo.data.frame zoo

    # Set global options for knitr


    knitr::opts_chunk$set(echo = TRUE)

    # Getting the data for Nifty 50 and VIPCLOTHNG.NS


    NSE <- getSymbols("ˆNSEI", src = "yahoo", from = "2020-11-02", to = "2023-10-26", auto.assign = FALSE)

    ## Warning: ^NSEI contains missing values. Some functions will not work if objects
    ## contain missing values in the middle of the series. Consider using na.omit(),
    ## na.approx(), na.fill(), etc to remove or replace them.

    VIPCLOTHNG <- getSymbols("VIPCLOTHNG.NS", src = "yahoo", from = "2020-11-02", to = "2023-10-26", verbose

    ## Warning: VIPCLOTHNG.NS contains missing values. Some functions will not work if
    ## objects contain missing values in the middle of the series. Consider using
    ## na.omit(), na.approx(), na.fill(), etc to remove or replace them.

    1
    # Convert daily data to weekly data
    NSE_weekly <- to.weekly(NSE$NSEI.Close, indexAt = "endof", drop.time = TRUE)

    ## Warning in to.period(x, "weeks", name = name, ...): missing values removed from
    ## data

    VIPCLOTHNG_weekly <- to.weekly(VIPCLOTHNG$VIPCLOTHNG.NS.Close, indexAt = "endof", drop.time = TRUE)

    ## Warning in to.period(x, "weeks", name = name, ...): missing values removed from
    ## data

    # Making a data frame of the closing prices for weekly data


    Close_weekly <- cbind(NSE_weekly, VIPCLOTHNG_weekly)

    # Calculating the returns for weekly data


    Returns_weekly <- as.xts(tail(data.frame(Close_weekly), -1) / head(data.frame(Close_weekly), -1) - 1)
    head(Returns_weekly, 5)

    ## NSE.NSEI.Close.Open NSE.NSEI.Close.High NSE.NSEI.Close.Low


    ## 2020-11-13 0.067862645 0.039597066 0.067862645
    ## 2020-11-14 NA NA NA
    ## 2020-11-20 NA NA NA
    ## 2020-11-27 0.004058505 0.009035255 0.006788462
    ## 2020-12-04 0.014126044 0.015580013 0.019493048
    ## NSE.NSEI.Close.Close VIPCLOTHNG.VIPCLOTHNG.NS.Close.Open
    ## 2020-11-13 0.037216010 NA
    ## 2020-11-14 NA NA
    ## 2020-11-20 NA 0.18713443
    ## 2020-11-27 0.008546541 0.01970451
    ## 2020-12-04 0.022330228 0.00000000
    ## VIPCLOTHNG.VIPCLOTHNG.NS.Close.High
    ## 2020-11-13 NA
    ## 2020-11-14 NA
    ## 2020-11-20 0.05128205
    ## 2020-11-27 0.02926831
    ## 2020-12-04 0.09952608
    ## VIPCLOTHNG.VIPCLOTHNG.NS.Close.Low
    ## 2020-11-13 NA
    ## 2020-11-14 NA
    ## 2020-11-20 0.188235339
    ## 2020-11-27 -0.009901027
    ## 2020-12-04 0.035000038
    ## VIPCLOTHNG.VIPCLOTHNG.NS.Close.Close
    ## 2020-11-13 NA
    ## 2020-11-14 NA
    ## 2020-11-20 0.05128205
    ## 2020-11-27 0.02926831
    ## 2020-12-04 0.09952608

    # Running the regression model on weekly returns


    regression_weekly <- lm(VIPCLOTHNG_weekly ~ NSE_weekly, data = data.frame(Returns_weekly))
    # Slope parameter = beta in CAPM model
    summary(regression_weekly)

    2
    ## Response VIPCLOTHNG$VIPCLOTHNG.NS.Close.Open :
    ##
    ## Call:
    ## lm(formula = ‘VIPCLOTHNG$VIPCLOTHNG.NS.Close.Open‘ ~ NSE_weekly,
    ## data = data.frame(Returns_weekly))
    ##
    ## Residuals:
    ## VIPCLOTHNG$VIPCLOTHNG.NS.Close.Open
    ## Min -19.7617
    ## 1Q -4.3948
    ## Median 0.2708
    ## 3Q 5.5463
    ## Max 19.1111
    ##
    ## Coefficients:
    ## Estimate Std. Error t value Pr(>|t|)
    ## (Intercept) -7.290e+01 6.455e+00 -11.293 <2e-16 ***
    ## NSE_weeklyNSE$NSEI.Close.Open 3.078e-03 6.149e-03 0.501 0.617
    ## NSE_weeklyNSE$NSEI.Close.High -3.864e-03 6.978e-03 -0.554 0.581
    ## NSE_weeklyNSE$NSEI.Close.Low 6.634e-03 6.877e-03 0.965 0.336
    ## NSE_weeklyNSE$NSEI.Close.Close 2.379e-04 6.205e-03 0.038 0.969
    ## ---
    ## Signif. codes: 0 ’***’ 0.001 ’**’ 0.01 ’*’ 0.05 ’.’ 0.1 ’ ’ 1
    ##
    ## Residual standard error: 7.654 on 151 degrees of freedom
    ## Multiple R-squared: 0.6632, Adjusted R-squared: 0.6542
    ## F-statistic: 74.32 on 4 and 151 DF, p-value: < 2.2e-16
    ##
    ##
    ## Response VIPCLOTHNG$VIPCLOTHNG.NS.Close.High :
    ##
    ## Call:
    ## lm(formula = ‘VIPCLOTHNG$VIPCLOTHNG.NS.Close.High‘ ~ NSE_weekly,
    ## data = data.frame(Returns_weekly))
    ##
    ## Residuals:
    ## VIPCLOTHNG$VIPCLOTHNG.NS.Close.High
    ## Min -21.0028
    ## 1Q -4.3314
    ## Median -0.2625
    ## 3Q 5.5359
    ## Max 18.0766
    ##
    ## Coefficients:
    ## Estimate Std. Error t value Pr(>|t|)
    ## (Intercept) -7.400e+01 6.585e+00 -11.237 <2e-16 ***
    ## NSE_weeklyNSE$NSEI.Close.Open 2.773e-03 6.273e-03 0.442 0.659
    ## NSE_weeklyNSE$NSEI.Close.High -4.207e-03 7.119e-03 -0.591 0.555
    ## NSE_weeklyNSE$NSEI.Close.Low 7.893e-03 7.015e-03 1.125 0.262
    ## NSE_weeklyNSE$NSEI.Close.Close -2.312e-04 6.330e-03 -0.037 0.971
    ## ---
    ## Signif. codes: 0 ’***’ 0.001 ’**’ 0.01 ’*’ 0.05 ’.’ 0.1 ’ ’ 1
    ##
    ## Residual standard error: 7.808 on 151 degrees of freedom

    3
    ## Multiple R-squared: 0.6655, Adjusted R-squared: 0.6566
    ## F-statistic: 75.1 on 4 and 151 DF, p-value: < 2.2e-16
    ##
    ##
    ## Response VIPCLOTHNG$VIPCLOTHNG.NS.Close.Low :
    ##
    ## Call:
    ## lm(formula = ‘VIPCLOTHNG$VIPCLOTHNG.NS.Close.Low‘ ~ NSE_weekly,
    ## data = data.frame(Returns_weekly))
    ##
    ## Residuals:
    ## VIPCLOTHNG$VIPCLOTHNG.NS.Close.Low
    ## Min -19.006236
    ## 1Q -4.373676
    ## Median 0.005198
    ## 3Q 5.120752
    ## Max 15.978886
    ##
    ## Coefficients:
    ## Estimate Std. Error t value Pr(>|t|)
    ## (Intercept) -72.442893 6.233505 -11.622 <2e-16 ***
    ## NSE_weeklyNSE$NSEI.Close.Open 0.002049 0.005938 0.345 0.731
    ## NSE_weeklyNSE$NSEI.Close.High -0.004816 0.006739 -0.715 0.476
    ## NSE_weeklyNSE$NSEI.Close.Low 0.007596 0.006641 1.144 0.255
    ## NSE_weeklyNSE$NSEI.Close.Close 0.001206 0.005992 0.201 0.841
    ## ---
    ## Signif. codes: 0 ’***’ 0.001 ’**’ 0.01 ’*’ 0.05 ’.’ 0.1 ’ ’ 1
    ##
    ## Residual standard error: 7.391 on 151 degrees of freedom
    ## Multiple R-squared: 0.6742, Adjusted R-squared: 0.6655
    ## F-statistic: 78.11 on 4 and 151 DF, p-value: < 2.2e-16
    ##
    ##
    ## Response VIPCLOTHNG$VIPCLOTHNG.NS.Close.Close :
    ##
    ## Call:
    ## lm(formula = ‘VIPCLOTHNG$VIPCLOTHNG.NS.Close.Close‘ ~ NSE_weekly,
    ## data = data.frame(Returns_weekly))
    ##
    ## Residuals:
    ## VIPCLOTHNG$VIPCLOTHNG.NS.Close.Close
    ## Min -20.1306
    ## 1Q -4.2040
    ## Median -0.2816
    ## 3Q 5.6635
    ## Max 17.1565
    ##
    ## Coefficients:
    ## Estimate Std. Error t value Pr(>|t|)
    ## (Intercept) -73.381617 6.439056 -11.396 <2e-16 ***
    ## NSE_weeklyNSE$NSEI.Close.Open 0.002685 0.006134 0.438 0.662
    ## NSE_weeklyNSE$NSEI.Close.High -0.006053 0.006961 -0.870 0.386
    ## NSE_weeklyNSE$NSEI.Close.Low 0.007597 0.006860 1.107 0.270
    ## NSE_weeklyNSE$NSEI.Close.Close 0.001931 0.006190 0.312 0.756

    4
    ## ---
    ## Signif. codes: 0 ’***’ 0.001 ’**’ 0.01 ’*’ 0.05 ’.’ 0.1 ’ ’ 1
    ##
    ## Residual standard error: 7.635 on 151 degrees of freedom
    ## Multiple R-squared: 0.6694, Adjusted R-squared: 0.6607
    ## F-statistic: 76.45 on 4 and 151 DF, p-value: < 2.2e-16

    BETA IS 0.934841

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