predict.sfm: Predicts asset returns based on a fitted statistical factor...

In sangeeuw/factorAnalytics: Factor Analytics

Description

S3 predict method for object of class sfm. It calls the predict method for fitted objects of class lm.

Usage

## S3 method for class 'sfm'
predict(object, newdata = NULL, ...)

Arguments

object	an object of class sfm produced by fitSfm.
newdata	a vector, matrix, data.frame, xts, timeSeries or zoo object containing the variables with which to predict.
...	optional arguments passed to predict.lm.

Value

predict.sfm produces a vector or a matrix of predictions.

Author(s)

Yi-An Chen and Sangeetha Srinivasan

See Also

fitSfm, summary.sfm

Examples

# load data from the database
data(StockReturns)
# fit the factor model with PCA
fit <- fitSfm(r.M, k=2)

pred.fit <- predict(fit)
newdata <- data.frame("CITCRP"=rnorm(n=120), "CONED"=rnorm(n=120))
rownames(newdata) <- rownames(fit$data)
pred.fit2 <- predict(fit, newdata, interval="confidence")

sangeeuw/factorAnalytics documentation built on May 28, 2019, 3:40 p.m.