fitFfmDT: fitFfmDT

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

fitFfmDT

Description

This function fits a fundamental factor model

Usage

fitFfmDT(
  ffMSpecObj,
  fit.method = c("LS", "WLS", "Rob", "W-Rob"),
  resid.scaleType = c("StdDev", "EWMA", "RobustEWMA", "GARCH"),
  lambda = 0.9,
  GARCH.params = list(omega = 0.09, alpha = 0.1, beta = 0.81),
  GARCH.MLE = FALSE,
  lmrobdet.control.para.list = lmrobdet.control(),
  ...
)

Arguments

ffMSpecObj	a specFfm object
fit.method	method for estimating factor returns; one of "LS", "WLS" "ROB" or "W-ROB". See details. Default is "LS".
resid.scaleType	one of 4 choices "StdDev","EWMA","RobustEWMA", "GARCH"
lambda	the ewma parameter
GARCH.params	list containing GARCH parameters omega, alpha, and beta. Default values are (0.09, 0.1, 0.81) respectively. Valid only when GARCH.MLE is set to FALSE. Estimation outsourced to the rugarch package, please load it first.
GARCH.MLE	boolean input (TRUE|FALSE), default value = FALSE. This argument allows one to choose to compute GARCH parameters by maximum likelihood estimation. Estimation outsourced to the rugarch package, please load it.
lmrobdet.control.para.list	list of parameters to pass to lmrobdet.control(). Sets tuning parameters for the MM estimator implemented in lmrobdetMM of the RobStatTM package. See lmrobdetMM.
...	additional pass through arguments

Details

this function operates on the data inside the specObj fits a fundamental factor model to the data

Value

fitFfm returns a list with two object of class "data.table" The first reg.listDT is object of class "data.table" is a list containing the following components:

DATE	length-T vector of dates.
id	length-N vector of asset id's for each date.
reg.list	list of fitted objects that estimate factor returns in each time period. Each fitted object is of class lm if fit.method="LS" or "WLS", or, class lmrobdetMM if fit.method="Rob" or "W-Rob".

The second betasDT is object of class "data.table" is a list containing the following components:

DATE	length-T vector of dates.
R_matrix	The K+1 by K restriction matrix where K is the number of categorical variables for each date.

See Also

specFfm for information on the definition of the specFfm object.

braverock/factorAnalytics documentation built on March 2, 2024, 11:17 p.m.