bayesline.api.equity.RollingBetaSettings

bayesline.api.equity.RollingBetaSettings#

model RollingBetaSettings#

OLS rolling beta (univariate per factor).

Fields#

Field

Type

Required

Default

Constraints

method

Literal[‘ols’]

No

'ols'

overlap

int

No

5

ge=1
field method: Literal['ols'] [Optional]#
field overlap: int [Optional]#

Overlap (convolution) window for overlapped returns before beta computation.

Constraints:

  • ge = 1