Equity Risk Model (Newey–West Adjusted)
This model estimates a stock’s systematic risk using OLS regression with Newey–West standard errors. Because financial returns often exhibit autocorrelation and heteroskedasticity, the HAC correction produces more reliable inference than standard OLS.
The analysis includes rolling betas, volatility clustering checks, and HAC-corrected significance testing. These diagnostics reflect the methods used by quantitative equity, risk, and portfolio-research teams when evaluating factor exposures and market sensitivity.