roll.fitFfmDT: roll.fitFfmDT

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

roll.fitFfmDT

Description

roll.fitFfmDT rolls the fundamental factor model

Usage

roll.fitFfmDT(
  ffMSpecObj,
  windowSize = 60,
  refitEvery = 1,
  refitWindow = c("Expanding", "Rolling"),
  stdExposuresControl = list(Std.Type = "timeSeries", lambda = 0.9),
  stdReturnControl = list(GARCH.params = list(omega = 0.09, alpha = 0.1, beta = 0.81)),
  fitControl = list(fit.method = c("LS", "WLS", "Rob", "W-Rob"), resid.scaleType =
    c("STDDEV", "EWMA", "ROBEWMA", "GARCH"), lambda = 0.9, GARCH.params = list(omega =
    0.09, alpha = 0.1, beta = 0.81), GARCH.MLE = FALSE),
  full.resid.cov = TRUE,
  analysis = c("ISM", "NEW")
)

Arguments

ffMSpecObj	a specFFm object
windowSize	the size of the fit window
refitEvery	the frequency of fitting
refitWindow	choice of expanding or rolling
stdExposuresControl	for exposure standardization; (give the Std.Type and lambda)
stdReturnControl	choices to standardize the returns using GARCH controls
fitControl	list of options for fitting the ffm
full.resid.cov	True or False toggle
analysis	choice of "ISM" or "NEW"

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