Description Usage Arguments Value Examples
View source: R/risk01_BARRA_Model.R
Barra regression function. Common usage is showed in examples.
1 | get_frtn_res_series(ts_union, barra_fls, barra_param, ts)
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ts_union |
TS object. Recommanded use. |
barra_fls |
The factorLists object to get regression X variables. |
barra_param |
A list, containing all the parameters in barra risk model. subset_reg flag is contained in the parameter list, default NULL. The subset_reg could be a character vector containing many sectorIDs. Regression is done within this subset. |
ts |
TS object. Carefully use. When ts is passed into the function, actually only the rebalance date series would be retrieved. A complete and longer period TS object would be generated inside the function to execute regression. |
A list, including four values, frtn_seri, res_seri, omega_seri, data_bank(mtsfr in fact). omega_seri is the pure factor port, each column is the weight vector of one single pure factor.
1 2 3 | fls <- barra_fls_default()
ts_union <- getIndexComp("EI000985", endT = as.Date("2018-01-31"), drop = FALSE)
get_frtn_res_series(ts_union = ts_union, barra_fls = fls, barra_param = barra_param_default())
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