standardizeReturns: standardizeReturns

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

standardizeReturns

Description

Standardize the returns using GARCH(1,1) volatilities.

Usage

standardizeReturns(
  specObj,
  GARCH.params = list(omega = 0.09, alpha = 0.1, beta = 0.81)
)

Arguments

specObj	is a ffmSpec object
GARCH.params	fixed Garch(1,1) parameters

Details

this function operates on the data inside the specObj and standardizes the returns to create scaled return.

Value

an ffmSpec Object with the standardized returns added

See Also

specFfm for information on the definition of the specFfm object.

braverock/factorAnalytics documentation built on Dec. 16, 2024, 1:05 p.m.