Module 1 · Lesson 2 · 9 min

Estimating Beta: OLS vs Rolling vs Kalman

What you'll be able to do

  • Calculate an OLS β and μ by hand from a few training log prices.
  • Explain what rolling OLS and a Kalman filter assume, and what you must fix before testing.
  • Spot the three notebook errors that change β: the wrong direction, a missing constant and settings tuned on test data.

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