[R] Finding Beta

[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
>         [[alternative HTML version deleted]]
>
>
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