Description Usage Arguments Details Value Author(s) References See Also Examples
View source: R/fitTsfmLagBeta.r
This is a wrapper function to fits a time series lagged Betas factor model for one
or more asset returns or excess returns using time series regression.
Users can choose between ordinary least squares-LS, discounted least
squares-DLS (or) robust regression like fitTsfm
.An object of class
"tsfm"
is returned.
1 2 3 | fitTsfmLagBeta(asset.names, mkt.name, rf.name = NULL, data = data,
fit.method = c("LS", "DLS", "Robust"), LagBeta = 1,
control = fitTsfm.control(...), ...)
|
asset.names |
vector containing names of assets, whose returns or excess returns are the dependent variable. |
mkt.name |
name of the column for market returns. It is required for a lagged Betas factor model. |
rf.name |
name of the column of risk free rate variable to calculate
excess returns for all assets (in |
data |
vector, matrix, data.frame, xts, timeSeries or zoo object
containing column(s) named in |
fit.method |
the estimation method, one of "LS", "DLS" or "Robust". See details. Default is "LS". |
LagBeta |
A integer number to specify numbers of lags of Betas to include in the model. The Default is 1. |
control |
list of control parameters. The default is constructed by
the function |
... |
arguments passed to |
The lagged returns model estimates lagged market Beta. Specifically,
r_t = α + β_0 MKT_t + β_1 MKT_t-1 + … + β_K MKT_t-K + ε_t, t=1 … T
where r_t is the asset returns, and MKT is the market factor. It is usually needed for illiquid securities with stale prices. One can also report the sum of the lagged Betas:
β = β_0 + β_1 + … + β_K
fitTsfmLagBeta
also returns an object of class "tsfm"
like
fitTsfm
. The generic function such as print
, plot
, predict
and summary
methods exist. Also, the generic accessor functions coef
,
fitted
, residuals
and fmCov
can be applied as well.
An object of class "tsfm"
is a list containing the following
components:
asset.fit |
list of fitted objects for each asset. Each object is of
class |
alpha |
length-N vector of estimated alphas. |
beta |
N x (L+1) matrix of estimated betas. |
r2 |
length-N vector of R-squared values. |
resid.sd |
length-N vector of residual standard deviations. |
call |
the matched function call. |
data |
xts data object containing the assets and factors. |
asset.names |
asset.names as input. |
fit.method |
fit.method as input. |
Where N is the number of assets, L is the number of lagged market Betas and T is the number of time periods.
Yi-An Chen.
Scholes, M. and Williams, J. T. (1977). Estimating betas from non-synchronous data, Journal of Financial Economics, vol. 5, 1977, pp. 309-327
The original time series function fitTsfm
and its generic functions
application.
1 2 3 4 5 6 7 8 |
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