getrffBeta= function(tool,span) {
require(MASS);
require(tseries);
require(wle)
require(zoo)
stock= (get.hist.quote(instrument = tool, quote =c("Ad"),compression="m",origin= as.Date(0)));
spx=(get.hist.quote(instrument = "^gspc", quote =c("Ad"),compression="m",origin= as.Date(0)));
today=Sys.Date();
seqmo=length(seq(as.Date("1926-07-01"),today,by="month"))-2;
url="http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors.zip";
destfile=tempfile();
dataff=download.file(url, destfile, mode='wb');
unzip=unz(destfile,"F-F_Research_Data_Factors.txt");
ff4 <- read.table(unzip, header=FALSE, sep="",na.strings="NA", dec=".", strip.white=TRUE, skip=4,nrows=seqmo)
ffdata <- ff4
attach(ffdata);
ffdata=ffdata/100
#find out starting year month for ffdata;
ffdatats=ts(ffdata, start=c(1926,7), frequency=12);
stock=ts(na.omit(coredata(stock)), start= as.numeric(as.yearmon(as.Date(start(stock)[1]))),
frequency=12);
spx=ts(na.remove(spx), start=
as.numeric(as.yearmon(as.Date(start(spx)[1]))),
frequency=12);
combined= na.remove(ts.union(stock,spx));
combreturn= na.remove(diff(log(combined)));
combined=na.remove(ts.intersect(combreturn,ffdatats), names=list("stockret", "spxret", "dates","ffmktret","smb","hml","rf"));
combined[,1]=combined[,1]-combined[,7]
combined[,2]=combined[,2]-combined[,7]
simplereg=lm(combined[,1]~combined[,4]);
stockbeta=simplereg$coef[2];
textout=paste("CAPM beta=", stockbeta);
robustreg=wle.lm(combined[,1]~combined[,4]);
robstockbeta=robustreg$coef[2];
textout2=paste("robust stock beta=", robstockbeta);
plot(as.numeric(combined[,1])~as.numeric(combined[,2]),xlab="Market",
ylab=tool)
title(main=textout, sub=list(textout2, col="red"))
abline(coef(simplereg));
abline(coef(robustreg),col="red")
print(textout);
print(textout2);
ffreg=wle.lm(combined[,1]~combined[,4]+combined[,5]+combined[,6]);
ffalpha=ffreg$coef[1]
ffbeta=ffreg$coef[2];
ffsmb=ffreg$coef[3];
ffhml=ffreg$coef[4] ;
textout3a= paste('robust ff alpha=',ffalpha) ;
textout3=paste('robust ff beta=',ffbeta) ;
textout4=paste('robust ff smb=',ffsmb) ;
textout5=paste('robust ff hml=',ffhml) ;
print(textout3a)
print(textout3) ;
print(textout4) ;
print(textout5) ;
rf=5
smb=1
hml=2
rm=5
ffcoe=rf+ffbeta*rm+ffsmb*smb+ffhml*hml
robcoe=rf+robstockbeta*rm
regcoe=rf+stockbeta*rm
textout6=paste('regular coe=',regcoe,' robustcoe=',
robcoe)
textout7=paste('Fama-French coe=',ffcoe)
print(textout6)
print(textout7) ;
ffreg2=lm(combined[,1]~combined[,4]+combined[,5]+combined[,6]);
a1=as.vector(combined[,1])
b1=as.vector(ffreg2$fitted)
c1=as.vector(simplereg$fitted)
plot3= (data.frame(a1,b1,c1))
win.graph()
panel.cor <- function(x, y, digits=2, prefix="", cex.cor)
{
usr <- par("usr"); on.exit(par(usr))
par(usr = c(0, 1, 0, 1))
r <- abs(cor(x, y))
txt <- format(c(r, 0.123456789), digits=digits)[1]
txt <- paste(prefix, txt, sep="")
if(missing(cex.cor)) cex <- 0.8/strwidth(txt)
text(0.5, 0.5, txt, cex = cex * r)
}
pairs(plot3, upper.panel=panel.cor,labels=c("stock returns","FF fits","CAPM fits"))
ffreg2=lm(combined[,1]~combined[,4]+combined[,5]+combined[,6]);
zcombined=zoo(combined);


zoocoefcapmbeta=function(x) {
zoo.wle=wle.lm(x[,1]~x[,4]);
coef (zoo.wle)
}

rollcoefcapm=rollapply(zcombined,span,zoocoefcapmbeta,by.column=FALSE,align="right");
dfrollcoefcapm=as.data.frame(rollcoefcapm)
names(dfrollcoefcapm)[1]="alpha"
names(dfrollcoefcapm)[2]="mkt beta"
RollingCoefficientsCAPM=zoo(dfrollcoefcapm, order.by=index(rollcoefcapm))
win.graph()
plot(RollingCoefficientsCAPM)

zoocoefsa=function(x) {
zoo.wle=wle.lm(x[,1]~x[,4]+ x[,5]+ x[,6]);
coef (zoo.wle)
}

rollcoef=rollapply(zcombined,span,zoocoefsa,by.column=FALSE,align="right");
dfrollcoef=as.data.frame(rollcoef)
names(dfrollcoef)[1]="alpha"
names(dfrollcoef)[2]="mkt beta"
names(dfrollcoef)[3]="smb"
names(dfrollcoef)[4]="hml"
RollingCoefficients=zoo(dfrollcoef, order.by=index(rollcoef))
win.graph()
plot(RollingCoefficients)

compositecoef=merge(RollingCoefficients, RollingCoefficientsCAPM, zcombined[,7])
rollcapmcoe=function(x){
CAPMCOE=x[6]*rm+rf
}
rollffcoe=function(x){
FFCOE=x[2]*rm+x[3]*smb+x[4]*hml+rf
}
rollffbetacoe=function(x){
FFCOE=x[2]*rm +rf
}


rollffCOE=rollapply(compositecoef,1,rollffcoe,by.column=FALSE,align="right")
rollcapmCOE=rollapply(compositecoef,1,rollcapmcoe,by.column=FALSE,align="right")
rollffbetaCOE=rollapply(compositecoef,1,rollffbetacoe,by.column=FALSE,align="right")
dfrollcoe=as.data.frame(merge(rollffCOE,rollcapmCOE,rollffbetaCOE))
names(dfrollcoe)[1]="FFCOE"
names(dfrollcoe)[2]="CAPMCOE"
names(dfrollcoe)[3]="FF(beta)COE"

RollingCOE=zoo(dfrollcoe,order.by=index(rollcapmCOE))
win.graph()
plot(RollingCOE,plot.type="multiple")
if((AIC(simplereg))<(AIC(ffreg2))) "CAPM superior to FF" else "FF superior to CAPM";
}


Use by typing something like 
getrffBeta(“BNI”,span=60)