Normalize one-point regression residual volatility

2026-04-07 17:02:00 +08:00
parent 18174a9e11
commit f6670d9e6d
2 changed files with 22 additions and 1 deletions
--- a/factor_attribution.py
+++ b/factor_attribution.py
@@ -309,7 +309,10 @@ 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))
+    if len(residual_series) == 1:
+        residual_vol_ann = 0.0
+    else:
+        residual_vol_ann = float(residual_series.std(ddof=1) * np.sqrt(TRADING_DAYS_PER_YEAR))

    dof = n_obs - param_count
    if dof > 0: