rollSFM

0th

Percentile

Analysis of Running/Rolling/Moving Windows

Various functions to analyze data over a moving window of periods.

Keywords
ts
Usage
rollSFM(Ra, Rb, n = 60)
Arguments
Ra

Object coercible to xts or matrix, containing the excess return for an individual security

Rb

Object coercible to xts or matrix, containing the market / benchmark return

n

Number of periods to use in the window

Value

A object of the same class as Ra (and Rb?) or a vector (if try.xts fails).

rollSFM

returns single-factor model parameters and R-squared over a n-period moving window.

References

The following site(s) were used to code/document this indicator: http://en.wikipedia.org/wiki/Simple_linear_regression

Aliases
  • rollFun
  • rollSFM
Documentation reproduced from package TTR, version 0.23-1, License: GPL-2

Community examples

Looks like there are no examples yet.