| rollSFM {TTR} | R Documentation |
Various functions to analyze data over a moving window of periods.
rollSFM(Ra, Rb, n = 60)
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 |
A object of the same class as Ra (and Rb?) or a vector
(if try.xts fails).
returns single-factor model parameters and R-squared over a n-period moving window.
Joshua Ulrich
The following site(s) were used to code/document this
indicator:
http://en.wikipedia.org/wiki/Simple_linear_regression