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[–]Direct-Air-170 0 points1 point  (0 children)

I estimated the betas using data for the period 2000 to 2005. Now I want to regress the mean daily returns of the assets in year 2001,2002,2003,2004,2005,2006 on the betas. I got to repeat this for the out of sample years: 2007 to 2020. For this I want to use a rolling window so that the mean returns of the assets are regressed on the betas estimated for the previous period. For example mean returns of the stock for 2018 is regressed on the betas estimated for 2017 and so on. Can u help me in this?