[R-SIG-Finance] Rolling Windows / Regressions / Predictions

[Peter Carl]

On Mon, 2008-03-17 at 14:37 -0700, Bryan Lim wrote:
> i'm basically trying to solve for excess returns 
> (ie, ALPHA) based on rolling betas.

Take a look at the PerformanceAnalytics package to see if it does what
you're looking for:

http://braverock.com/brian/R/PerformanceAnalytics/html/PerformanceAnalytics-package.html

It's available on CRAN and can be installed using install.packages().

The function chart.RollingRegression displays the coefficients of a
linear model fitted over rolling periods.  I'd be happy to confer with
you about adding n-step ahead predictions.

pcc
-- 
Peter Carl <peter at braverock.com>
http://www.braverock.com/~peter