Compute residual vol for square regressions

2026-04-07 16:57:58 +08:00
parent 3d934b3316
commit 18174a9e11
2 changed files with 3 additions and 3 deletions
--- a/tests/test_factor_attribution.py
+++ b/tests/test_factor_attribution.py
@@ -499,7 +499,7 @@ class RegressionTests(unittest.TestCase):
        self.assertTrue(np.isnan(result["p_values"]["MKT_RF"]))
        self.assertTrue(np.isnan(result["p_values"]["SMB"]))
        self.assertTrue(np.isnan(result["adj_r_squared"]))
-        self.assertTrue(np.isnan(result["residual_vol_ann"]))
+        self.assertAlmostEqual(result["residual_vol_ann"], 0.0, places=12)

    def test_run_factor_regression_rejects_rank_deficient_designs(self):
        dates = pd.date_range("2024-01-01", periods=6, freq="B")