Notebook
In [17]:
import statsmodels.api as sm
import pandas as pd
In [2]:
data = get_pricing(['PEP', 'KO'], start_date='2005-1-1', end_date='2015-1-1', frequency='daily', fields='price')
In [30]:
data.columns = [sec.symbol for sec in data.columns]
In [31]:
data.plot()
Out[31]:
<matplotlib.axes._subplots.AxesSubplot at 0x7f16da376850>
In [44]:
ols = pd.ols(y=data['PEP'], x=data['KO'], window_type='rolling', window=100)
In [45]:
ols.beta.plot(subplots=True)
Out[45]:
array([<matplotlib.axes._subplots.AxesSubplot object at 0x7f16d9c22bd0>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x7f16d9975a10>], dtype=object)
In [ ]: