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jakubjanek8

Untitled

Apr 2nd, 2021
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MatLab 0.92 KB | None | 0 0
  1. %% model s umelou premennou
  2.  
  3. T.aftercovid = logical((dates<='01-Dec-2020')&(dates>='01-Feb-2020'));
  4. % umela premenna nabera hodnotu 1 pre pozorovania po marci 2020
  5. % druha polovica dat pomocou 1-T.aftercovid
  6.  
  7.  
  8. for k = 1:n
  9.     name = strcat('model',num2str(k));
  10.     CAPMaftercov.(name) = fitlm([X X.*T.aftercovid],Y(:,k));
  11.     beta_b4cov(k) = CAPMaftercov.(name).Coefficients.Estimate(2);
  12.     beta_aftercov(k) = CAPMaftercov.(name).Coefficients.Estimate(3);
  13.     tstats_b4cov(k) = CAPMaftercov.(name).Coefficients.tStat(2);
  14.     tstats_aftercov(k) = CAPMaftercov.(name).Coefficients.tStat(3);    
  15.     pvals_intercept(k) = CAPMaftercov.(name).Coefficients.pValue(1);
  16.     pvals_b4cov(k) = CAPMaftercov.(name).Coefficients.pValue(2);
  17.     pvals_aftercov(k) = CAPMaftercov.(name).Coefficients.pValue(3);
  18. end
  19.  
  20. figure
  21. plot(CAPMaftercov.model5)
  22.  
  23. figure
  24. plot(CAPM.model5)
  25.  
  26. pom_reg_zlom = fitlm([beta_b4cov' beta_aftercov'],rfm);
  27.  
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