RollingAlpha: Rolling apply fitted alpha/intcpt series of reg: ret~ret.mkt
In hughshuwang/isocyanate: isocyanate (R-N=C=O)
Description
Rolling apply fitted alpha/intcpt series of reg: ret~ret.mkt
Usage
1
RollingAlpha(returns, winlen = 21, mktcol = "SPY")
Arguments
returns
xts df of returns, one column is the mkt return
default daily, can be monthly
winlen
length rollapply window, default 21 trading days
mktcol
string colname of market, default 'SPY'
hughshuwang/isocyanate documentation built on May 30, 2019, 7:17 a.m.
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Description
Rolling apply fitted alpha/intcpt series of reg: ret~ret.mkt
Usage
1 | RollingAlpha(returns, winlen = 21, mktcol = "SPY")
|
Arguments
returns |
xts df of returns, one column is the mkt return default daily, can be monthly |
winlen |
length rollapply window, default 21 trading days |
mktcol |
string colname of market, default 'SPY' |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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