predict.FundamentalFactorModel: predict method for FundamentalFactorModel object
In R-Finance/FactorAnalytics: factor analysis

Description Usage Arguments Details Author(s) Examples

Generic function of predict method for fitFundamentalFactorModel.

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  ## S3 method for class 'FundamentalFactorModel'
 predict(object,
    newdata, new.assetvar, new.datevar)

`object`	fit "FundamentalFactorModel" object
`newdata`	An optional data frame in which to look for variables with which to predict. If omitted, the fitted values are used.
`new.assetvar`	Specify new asset variable in newdata if newdata is provided.
`new.datevar`	Speficy new date variable in newdata if newdata is provided.

newdata must be data.frame and contain date variable, asset variable and exact exposures names that are used in fit object by fitFundamentalFactorModel

Yi-An Chen

data(Stock.df)
fit.fund <- fitFundamentalFactorModel(exposure.names=c("BOOK2MARKET", "LOG.MARKETCAP")
                                     , data=stock,returnsvar = "RETURN",datevar = "DATE",
                                     assetvar = "TICKER",
                                     wls = TRUE, regression = "classic",
                                     covariance = "classic", full.resid.cov = FALSE)
# If not specify anything, predict() will give fitted value
pred.fund <- predict(fit.fund)

# generate random data
testdata <- stock[,c("DATE","TICKER")]
testdata$BOOK2MARKET <- rnorm(n=42465)
testdata$LOG.MARKETCAP <- rnorm(n=42465)
pred.fund2 <- predict(fit.fund,testdata,new.assetvar="TICKER",new.datevar="DATE")