facmodCS (version 1.0)

roll.fitFfmDT: roll.fitFfmDT

Description

roll.fitFfmDT rolls the fundamental factor model

Usage

roll.fitFfmDT(
  ffMSpecObj,
  windowSize = 60,
  refitEvery = 1,
  refitWindow = c("Expanding", "Rolling"),
  stdExposuresControl = list(Std.Type = "timeSeries", lambda = 0.9),
  stdReturnControl = list(GARCH.params = list(omega = 0.09, alpha = 0.1, beta = 0.81)),
  fitControl = list(fit.method = c("LS", "WLS", "Rob", "W-Rob"), resid.scaleType =
    c("STDDEV", "EWMA", "ROBEWMA", "GARCH"), lambda = 0.9, GARCH.params = list(omega =
    0.09, alpha = 0.1, beta = 0.81), GARCH.MLE = FALSE),
  full.resid.cov = TRUE,
  analysis = c("ISM", "NEW")
)

Value

a list object containing a list of objects describing the fitted analysis.

Arguments

ffMSpecObj

a specFFm object

windowSize

the size of the fit window

refitEvery

the frequency of fitting

refitWindow

choice of expanding or rolling

stdExposuresControl

for exposure standardization; (give the Std.Type and lambda)

stdReturnControl

choices to standardize the returns using GARCH controls

fitControl

list of options for fitting the ffm

full.resid.cov

True or False toggle

analysis

choice of "ISM" or "NEW"