[R-SIG-Finance] Calculating rolling alpha

[Bobbur Abhilash Chowdary]

Thanks! I think this will do.

On Thu 6 Dec, 2018 06:54 Ilya Kipnis, <ilya.kipnis using 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 using 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.
>>
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>>
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