TTR (version 0.2)

rollSFM: 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). [object Object]

References

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