EVOLUTION-MANAGER
Edit File: rollFun.html
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"><html xmlns="http://www.w3.org/1999/xhtml"><head><title>R: Analysis of Running/Rolling/Moving Windows</title> <meta http-equiv="Content-Type" content="text/html; charset=utf-8" /> <link rel="stylesheet" type="text/css" href="R.css" /> </head><body> <table width="100%" summary="page for rollSFM {TTR}"><tr><td>rollSFM {TTR}</td><td style="text-align: right;">R Documentation</td></tr></table> <h2>Analysis of Running/Rolling/Moving Windows</h2> <h3>Description</h3> <p>Various functions to analyze data over a moving window of periods. </p> <h3>Usage</h3> <pre> rollSFM(Ra, Rb, n = 60) </pre> <h3>Arguments</h3> <table summary="R argblock"> <tr valign="top"><td><code>Ra</code></td> <td> <p>Object coercible to xts or matrix, containing the excess return for an individual security</p> </td></tr> <tr valign="top"><td><code>Rb</code></td> <td> <p>Object coercible to xts or matrix, containing the market / benchmark return</p> </td></tr> <tr valign="top"><td><code>n</code></td> <td> <p>Number of periods to use in the window</p> </td></tr> </table> <h3>Value</h3> <p>A object of the same class as <code>Ra</code> (and <code>Rb</code>?) or a vector (if <code>try.xts</code> fails). </p> <dl> <dt>rollSFM</dt><dd><p>returns single-factor model parameters and R-squared over a n-period moving window.</p> </dd> </dl> <h3>Author(s)</h3> <p>Joshua Ulrich </p> <h3>References</h3> <p>The following site(s) were used to code/document this indicator: <a href="https://en.wikipedia.org/wiki/Simple_linear_regression">https://en.wikipedia.org/wiki/Simple_linear_regression</a><br /> </p> <hr /><div style="text-align: center;">[Package <em>TTR</em> version 0.24.3 <a href="00Index.html">Index</a>]</div> </body></html>