Various functions to analyze data over a moving window of periods.
rollSFM(Ra, Rb, n = 60)
Object coercible to xts or matrix, containing the excess return for an individual security
Object coercible to xts or matrix, containing the market / benchmark return
Number of periods to use in the window
A object of the same class as
Rb?) or a vector
returns single-factor model parameters and R-squared over a n-period moving window.
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