summary.tsfmUpDn: Summarizing a fitted up and down market time series factor...

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

Summarizing a fitted up and down market time series factor model

Description

summary method for object of class tsfmUpDn. Returned object is of class summary.tsfmUpDn. This function provides a summary method to an object returned by a wrapper function fitTsfmUpDn.

Usage

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

## S3 method for class 'summary.tsfmUpDn'
print(x, digits = 3, ...)

Arguments

object	an object of class tsfmUpDn returned by fitTsfmUpDn.
...	futher arguments passed to or from summary.tsfm methods.
x	an object of class summary.tsfmUpDn.
digits	number of significants digits to use when printing. Default is 3.

Details

Since fitTsfmUpDn fits both up market and down market, summary.tsfmUpDn applies summary.tsfm for both markets fitted objects and combines the coefficients interested together.

Value

Returns an object of class summary.tsfmUpDn. This object contains a list object of Up and Dn for up market and down market respectively.

The print method for class summary.tsfmUpDn outputs the call, coefficients (with standard errors and t-statistics), r-squared and residual volatilty (under the homoskedasticity assumption) for all assets in up and down market.

Object of class summary.tsfmUpDn is a list of 2 containing:

Up	A list of the up market fitted object. It is a class of summary.tsfm
Dn	A list of the down market fitted object. It is a class of summary.tsfm

Author(s)

Yi-An Chen and Sangeetha Srinivasan.

See Also

fitTsfmUpDn, summary.tsfm

Examples

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

# 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")

 summary(fitUpDn)

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