My name is Preston Yadegar and I’m a student at Boston University working in the quant research team within the BU Finance and Investment Club. I created a notebook to test my hypothesis that when interest rates increased, market returns were more volatile. I uploaded interest rate (effective fed funds rate) data from FRED while using SPY to measure the broad market (or at least large cap firms). I also use a Levene Test to compare the variances of the two groups, because I found the data to be non-normal (so the results of an F-Test were inappropriate). In the notebook I have some links on the Levene Test and some other topics I referenced along the way. I would greatly appreciate any criticism or comments about my notebook. Thanks!
P.S. if you want to run the notebook, upload the FRED data to your ‘Data’ folder in the Research environment and name it ‘DFF.csv'
Also if you're curious to see what other hypothesis testing we're doing, check out these other posts: