Calculating rolling alpha
Thanks! I think this will do.
On Thu 6 Dec, 2018 06:54 Ilya Kipnis, <ilya.kipnis at gmail.com> wrote:
https://rdrr.io/cran/roll/man/roll_lm.html I used this in my last contract engagement, so I can vouch that this works for *exactly* this purpose. On Wed, Dec 5, 2018 at 8:20 PM Bobbur Abhilash Chowdary < bobburabhilash at gmail.com> wrote:
Hello R users,
I would like to know if there exists a package/code snippet which can
calculate Fama-French-Carhart 4 factor rolling alpha. The estimation
window
should be of at least last 36 months data and a maximum of 60 months. I
have data matrix with 7 columns - company name, Year-Month, Excess return
of stock for the month, and another 4 columns containing Fama French
Carhart factors from Kenneth French's website.
All help is appreciated.
Thanks,
Abhilash.
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.