StatFactor.Cov: Covariance Matrix Estimation by Statistical Factor Model

In FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

Estimate covariance matrix by fitting a statistical factor model using principle components analysis

Usage

StatFactor.Cov(assets, k = 0)

Arguments

assets	a matrix of asset returns
k	numbers of factors, if k = 0, automatically estimating by Kaiser method

Value

an estimated p*p covariance matrix

Examples

data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
StatFactor.Cov(assets, 3)

Example output

             ABT          LLY          MRK          PFE           F
ABT 0.0038491441 3.019085e-03 0.0026819156 0.0026736215 0.001062757
LLY 0.0030190851 7.539936e-03 0.0047723830 0.0043401086 0.001915307
MRK 0.0026819156 4.772383e-03 0.0059385731 0.0039173652 0.001789310
PFE 0.0026736215 4.340109e-03 0.0039173652 0.0057482756 0.001714977
F   0.0010627568 1.915307e-03 0.0017893105 0.0017149772 0.009537283
GM  0.0002420657 6.201698e-04 0.0005985148 0.0004866136 0.007224430
BP  0.0008655349 6.574901e-05 0.0007529067 0.0015182824 0.001164012
CVX 0.0007582771 4.816665e-05 0.0006646823 0.0013410389 0.001423264
RD  0.0011521414 6.980973e-04 0.0012466253 0.0019251412 0.001707364
XOM 0.0006603394 3.883146e-04 0.0007156717 0.0011115088 0.001246070
              GM           BP          CVX           RD          XOM
ABT 0.0002420657 8.655349e-04 7.582771e-04 0.0011521414 0.0006603394
LLY 0.0006201698 6.574901e-05 4.816665e-05 0.0006980973 0.0003883146
MRK 0.0005985148 7.529067e-04 6.646823e-04 0.0012466253 0.0007156717
PFE 0.0004866136 1.518282e-03 1.341039e-03 0.0019251412 0.0011115088
F   0.0072244299 1.164012e-03 1.423264e-03 0.0017073644 0.0012460695
GM  0.0086197209 6.117172e-04 9.275818e-04 0.0010309703 0.0008499868
BP  0.0006117172 3.970361e-03 2.748961e-03 0.0029569653 0.0017506262
CVX 0.0009275818 2.748961e-03 3.137048e-03 0.0026766948 0.0015983262
RD  0.0010309703 2.956965e-03 2.676695e-03 0.0036138934 0.0017560751
XOM 0.0008499868 1.750626e-03 1.598326e-03 0.0017560751 0.0019121502

FinCovRegularization documentation built on May 1, 2019, 8:48 p.m.