Rolling Beta

Hi Brian,

Chart.rollingRegression seems to be exactly what I'm after. How would I
"disconnect" the chart output and be able to save/use the data behind
it?

I am still finding my feet with R and know what I need to do, but my R
language knowledge is lacking somewhat.

Thanks,
Eduard

-----Original Message-----
From: Brian G. Peterson [mailto:brian at braverock.com] 
Sent: 19 October 2009 17:28
To: Eduard Pieterse (Macquarie Securities)
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] [R-sig-finance] Rolling Beta

see PerformanceAnalytics functions

CAPM.beta
and
chart.RollingRegression
and
charts.RollingRegression

Cheers,

  - Brian

ehxpieterse wrote:
  

Hi,

I have had a *very* rough attempt at estimating the beta between 
indices. I am convinced that someone on this list has had experience 
with this before, but my search yielded little information. I have 
daily log returns from 01/01/2000 on 13 different equity indices. I am
    

just looking for an efficient way to produce a rolling beta for all
    

index pairs.
  

I would appreciate any advice.

Thanks,
Eduard

CODE:

IndexLocal <- read.csv("IndexLocal.csv", header=TRUE, sep = ",") MyLag
    

<- 30 IndexDim <- dim(IndexLocal) Results <- NULL reg <- NULL k <- 0

for (i in 2:14)
{
	for (j in 2:14)
	{
			k <- k + 1
			for (r in MyLag :IndexDim[1])
			{
				x. <- IndexLocal[(r-MyLag+1):r,i]
				y. <- IndexLocal[(r-MyLag+1):r,j]
    

				glm.linear<-coef(glm(y. ~ x.))
				reg[r] <- glm.linear[2]
			}
				if (j >= i)
				{
					Results <- cbind(Results,reg)
				}
	}
}