This function fits a fundamental factor model
fitFfmDT(
ffMSpecObj,
fit.method = c("LS", "WLS", "Rob", "W-Rob"),
resid.scaleType = c("StdDev", "EWMA", "RobustEWMA", "GARCH"),
lambda = 0.9,
GARCH.params = list(omega = 0.09, alpha = 0.1, beta = 0.81),
GARCH.MLE = FALSE,
lmrobdet.control.para.list = lmrobdet.control(),
...
)fitFfm returns a list with two object of class "data.table"
The first reg.listDT is object of class "data.table" is a list containing the following
components:
length-Time vector of dates.
length-N vector of asset id's for each date.
list of fitted objects that estimate factor returns in each
time period. Each fitted object is of class lm if
fit.method="LS" or "WLS", or, class lmrobdetMM if
fit.method="Rob" or "W-Rob".
The second betasDT is object of class "data.table" is a list containing the following
components:
length-Time vector of dates.
The K+1 by K restriction matrix where K is the number of categorical variables for each date.
a specFFm object
method for estimating factor returns; one of "LS", "WLS" "ROB" or "W-ROB". See details. Default is "LS".
one of 4 choices "StdDev","EWMA","RobustEWMA", "GARCH"
the ewma parameter
list containing GARCH parameters omega, alpha, and beta.
Default values are (0.09, 0.1, 0.81) respectively. Valid only when
GARCH.MLE is set to FALSE. Estimation outsourced to the
rugarch package, please load it first.
boolean input (TRUE|FALSE), default value = FALSE. This
argument allows one to choose to compute GARCH parameters by maximum
likelihood estimation. Estimation outsourced to the rugarch
package, please load it.
list of parameters to pass to lmrobdet.control().
Sets tuning parameters for the MM estimator implemented in lmrobdetMM of the
RobStatTM package. See lmrobdetMM.
additional pass through arguments
this function operates on the data inside the specObj fits a fundamental factor model to the data
specFfm for information on the definition of the specFfm object.