[R-SIG-Finance] CAPM homework (was RE: assistance please)

[Brian G. Peterson]

On Thu, 2012-02-09 at 06:30 +0000, Baranzan Alhamdu Vayin wrote:
> Download data for the same period for FTSE all shares (^FTAS) as well as the
> gilts index BG06.L. Using the last two as proxies for the overall market return and the riskfree
> return, calculate the appropriate continuously compounded (logarithmic) returns.
> 1. Provide the appropriate time series regression tests for the CAPM.
> 2. Estimate the Single Index model for your stock and discuss the differences to the CAPM
> estimates.
> 3. Provide a rolling analysis of the time series CAPM regression. Select appropriate window
> and briefly justify your choice. Draw appropriate conclusions from your analysis. 

> pls, could you help me with some clue on how to go about this work. thanks for your anticipated response

It's not polite to hit 'reply' to a digest post.  If your email reader
can't handle digests correctly (as Microsoft Outlook and many others
cannot), then change your list preferences to receive individual emails,
and use your mail client's filter capabilities to move posts from this
list into a folder.

This looks shockingly like a homework question, so I'm not going to give
you the answers, only a bit of direction.

>From the R console:

install.packages(quantmod)
install.packages(PerformanceAnalytics)
require(quantmod)
require(PerformanceAnalytics)
?getSymbols
?Return.calculate
?CAPM.utils
?chart.RollingRegression

In the future, please follow the posting guide[1] and esr[2] and *try*
first.  Search on rseek.org, which would likely have found all the
functions described above.  Try some things.  *Then* post on r-help or
here (depending on whether your question is general to R or specific to
finance, respectively) showing what you've already tried, and being
specific about where you are having difficulty.

Regards,

    - Brian

Ref: 
[1] http://www.r-project.org/posting-guide.html
[2] http://catb.org/esr/faqs/smart-questions.html

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock