Description Usage Format Source See Also Examples
If R_{j,t} are the basically the scale standardized log returns
for j = 1,2,…,476 of 476 stocks from S&P 500, as
from SP500
, then mu_j = E[R_{j,*}] somehow
averaged over time; actually as predicted by muSigma()
at the
end of the time period, and
Sigma[j,k] = Cov(R[j], R[k])
are estimated covariances.
These are the main “inputs” needed for the CLA algorithm, see
CLA
.
1 | data("muS.sp500")
|
A list with two components,
Named num [1:476] 0.00233 0.0035 0.01209 0.00322 0.00249 ...
names : chr [1:476] "A" "AA" "AAPL" "ABC" ...
num [1:476, 1:476] 0.001498 0.000531 0.000536 ...
It is as simple as this:
1 2 3 | data(SP500, package="FRAPO")
system.time(muS.sp500 <- muSigmaGarch(SP500)) # 26 sec. (lynne, 2017)
|
muSigmaGarch()
which was used to construct it.
1 2 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.