predict.tsfmUpDn: Predicts asset returns based on a fitted up and down market...

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

Predicts asset returns based on a fitted up and down market time series factor model

Description

S3 predict method for object of class tsfmUpDn. It calls the predict.tsfm method for a list object of Up and Dn

Usage

## S3 method for class 'tsfmUpDn'
predict(object, ...)

Arguments

object	an object of class tsfmUpDn produced by fitTsfmUpDn.
...	optional arguments passed to predict.lm or predict.lmrob, such as se.fit, or, to predict.lars such as mode.

Value

predict.tsfmUpDm produces a list of Up and Dn. Both Up and Dn contain a vector or a matrix of predictions.

Author(s)

Yi-An Chen and Sangeetha Srinivasan

See Also

predict.tsfm,fitTsfmUpDn, summary.tsfmUpDn

Examples

 # load data
data(managers, package = 'PerformanceAnalytics')

# fit the factor model with LS. example: Up and down market factor model with LS fit
fitUpDn <- fitTsfmUpDn(asset.names = colnames(managers[,(1:6)]),
                       mkt.name = "SP500 TR",
                       data = managers, 
                       fit.method = "LS")
 
predict(fitUpDn)

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