R: Analysis of Running/Rolling/Moving Windows

rollSFM {TTR} | R Documentation

## Analysis of Running/Rolling/Moving Windows

### Description

Various functions to analyze data over a moving window of periods.

### Usage

    rollSFM(Ra, Rb, n = 60)

### Arguments

`Ra` | Object coercible to xts or matrix, containing the excess return for an individual security
`Rb` | Object coercible to xts or matrix, containing the market / benchmark return
`n` | Number of periods to use in the window

### Value

A object of the same class as `Ra` (and `Rb`?) or a vector (if `try.xts` fails).

rollSFM

  returns single-factor model parameters and R-squared over a n-period moving window.

### Author(s)

Joshua Ulrich

### References

The following site(s) were used to code/document this indicator: http://en.wikipedia.org/wiki/Simple_linear_regression

[Package TTR version 0.23-1 Index]