Description Usage Arguments Details Value Author(s) See Also Examples
summary
method for object of class ffm
.
Returned object is of class summary.ffm.
1 2 3 4 5 |
object |
an object of class |
... |
futher arguments passed to or from other methods. |
x |
an object of class |
digits |
number of significants digits to use when printing. Default is 3. |
labels |
option to print labels and legend in the summary. Default is
|
The default summary
method for a fitted lm
object
computes the standard errors and t-statistics under the assumption of
homoskedasticty.
Note: This gives a summary of the fited factor returns at each time period.
If T
is large, you might prefer the more succint summary produced by
print.ffm
.
Returns an object of class summary.ffm
.
The print method for class summary.ffm
outputs the call,
coefficients (with standard errors and t-statistics), r-squared and
residual volatilty (under the homoskedasticity assumption) for all assets.
Object of class summary.ffm
is a list of length N + 2 containing:
call |
the function call to |
sum.list |
list of summaries of the T fit objects (of class |
Sangeetha Srinivasan & Yi-An Chen.
1 2 3 4 5 6 7 8 9 10 | data(Stock.df)
exposure.vars <- c("BOOK2MARKET", "LOG.MARKETCAP", "GICS.SECTOR")
fit2 <- fitFfm(data=stock, asset.var="TICKER", ret.var="RETURN",
date.var="DATE", exposure.vars=exposure.vars)
# summary of factor returns estimated in each time period
summary(fit2)
# summary of lm fit for a single period
summary(fit2$factor.fit[[1]])
|
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