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Finding Beta
2 messages · Katherine Gobin, R. Michael Weylandt
Put your data in a real time series (xts) object and use the CAPM.* functions from the PerformanceAnalytics package. MW On Tue, Jun 4, 2013 at 10:15 AM, Katherine Gobin
<katherine_gobin at yahoo.com> wrote:
Dear R forum
I have a dataframe (of prices) as given below -
dat
= data.frame(company = rep(c("A", "B", "C", "D", "index"), each = 5),
prices = c(runif(5, 10, 12), runif(5, 108, 112), runif(5, 500, 510),
runif(5, 40, 50), runif(5, 1000, 1020)))
company prices
1 A 10.61727
2 A 10.51892
3 A 11.80495
4 A 11.15243
5 A 10.77543
6 B 111.23817
7 B 109.19825
8 B
108.80053
9 B 110.79876
10 B 108.84385
11 C 504.71801
12 C 504.11778
13 C 502.89416
14 C 500.65996
15 C 502.26748
16 D 42.35901
17 D 43.71947
18 D 46.46092
19 D 43.62220
20 D 48.47480
21 index 1017.24476
22 index 1002.88139
23 index 1005.16148
24 index 1014.54480
25 index 1014.12103
I need to find the beta
of A, B, C and D w.r.t index.
Beta between two variables X and Y (where Y is dependent) is given by,
beta = coef(lm(Y ~ X))[2]
Any guidance is appreciated.
With regards
Katherine
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