f_rtn_cov_delta: factor return,covariance and delta

In raphael210/RFactorModel: A quantative tool for investment by factor Model

Description

calculate factor return, factor covariance and residual variance.

Usage

f_rtn_cov_delta(dure = months(1), rolling = FALSE, rtntype = c("mean",
  "forcast"), covtype = c("shrink", "simple"), nwin = 24, reg_results)

getfRtn(dure = months(1), rolling = FALSE, rtntype = c("mean", "forcast"),
  nwin = 24, reg_results)

getfCov(dure = months(1), rolling = FALSE, covtype = c("shrink",
  "simple"), nwin = 24, reg_results)

getDelta(dure = months(1), rolling = FALSE, nwin = 24, reg_results)

Arguments

dure	a period object from package lubridate. (ie. months(1),weeks(2). See example in trday.offset.) If null, then get periodrtn between date and the next date, else get periodrtn of 'dure' starting from date.
rolling	default value is FALSE, if value is TRUE means the data period is nwin forward.
rtntype	is method to caculate factor return,mean means average of historical data,forcast means forcast factor return based on historical data,it may take a while,the forcast method come from package ets.
covtype	means type of caculating covariance,shrink can see example in nlshrink_cov,simple see cov.
nwin	is rolling windows forward.
reg_results	see examples in reg.TSFR
RebDates	is date set, can be missing.

Value

a data frame of factors' return .

Examples

fRtn <- getfRtn(reg_results=reg_results)
fCov <- getfCov(reg_results=reg_results)
Delta <- getDelta(dure=months(1),rolling=FALSE,nwin=24,reg_results)
rtn_cov_delta <- f_rtn_cov_delta(reg_results=reg_results)

raphael210/RFactorModel documentation built on May 26, 2019, 11:06 p.m.