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Compute residual vol for square regressions

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Gahow Wang
2026-04-07 16:57:58 +08:00
parent 3d934b3316
commit 18174a9e11
2 changed files with 3 additions and 3 deletions
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4
factor_attribution.py
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@@ -308,6 +308,8 @@ def run_factor_regression(
fitted = x @ coefficients
residuals = y.to_numpy() - fitted
residual_series = pd.Series(residuals, index=regression_frame.index)
residual_vol_ann = float(residual_series.std(ddof=1) * np.sqrt(TRADING_DAYS_PER_YEAR))
dof = n_obs - param_count
if dof > 0:
@@ -323,12 +325,10 @@ def run_factor_regression(
where=standard_errors > 0,
)
p_values = 2.0 * stats.t.sf(np.abs(t_stats), df=dof)
residual_vol_ann = float(pd.Series(residuals, index=regression_frame.index).std(ddof=1) * np.sqrt(TRADING_DAYS_PER_YEAR))
adj_r_squared_is_defined = True
else:
t_stats = np.full_like(coefficients, np.nan, dtype=float)
p_values = np.full_like(coefficients, np.nan, dtype=float)
residual_vol_ann = float("nan")
adj_r_squared_is_defined = False
ss_total = float(((y - y.mean()) ** 2).sum())