Analysis of Running/Rolling/Moving Windows

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Description

Various functions to analyze data over a moving window of periods.

Usage

1
rollSFM(Ra, Rb, n = 60)

Arguments

Ra

Object coercible to xts or matrix, containing the excess return for an individual security

Rb

Object coercible to xts or matrix, containing the market / benchmark return

n

Number of periods to use in the window

Value

A object of the same class as Ra (and Rb?) or a vector (if try.xts fails).

rollSFM

returns single-factor model parameters and R-squared over a n-period moving window.

Author(s)

Joshua Ulrich

References

The following site(s) were used to code/document this indicator: http://en.wikipedia.org/wiki/Simple_linear_regression

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