Index models - Estimating the single-index model
7 important questions on Index models - Estimating the single-index model
What is the security characteristics line?
What does a high multiple R mean?
That the correlation (with the S&P 500) is quite high, that the changes (in the S&P500) are fairly closely tracked.
What does the R square say?
Variation in the S&P excess returns explains about 52% of the variation in the HP series.
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What is the adjusted R square?
What is the sum of squares?
What does the MS column say?
What is the p-value or probability or level of significance?
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