Good Afternoon,
I am a college student working on a project for a finance class and have started to become somewhat desperate because I cannot figure out a certain problem. I am sorry to be a bother, but I just would like some advice as to where to start.
I have a large amount of data on options prices and need to run a regression for each day in the past and then use the beta coefficients to create a column of data for each day.
I have attached a couple days of the data. Basically, I need to regress column M on columns N-R for each date (the first one is 1/25/06 in the attached file) and then output the beta coefficients columns Z-AD. All options for a given day should have the same beta coefficients. So, I need to be able to go through the data and run a regression for each day and then output the beta coefficients for that day in the appropriate columns. I have been using an add-in OLS reg to do the regressions, and it works well, I just don't know how to make it dynamically chose the appropriate data fields to regress for each day and then put these coefficients into the right columns. Each day has a different number of options available and thus a different amount of data to regress so that complicates the matter.
If anyone could take a look, I would greatly appreciate it.
Thanks a lot,
Austin
Bookmarks