library(stats)
library(moments)
library(quantmod)
library(fBasics)
library(forecast)
library(tseries)
library(zoo)
library(corpcor)
SPY <- get.hist.quote("SPY",start = "2006-01-01",end = "2010-01-01",quote = "AdjClose", compression = "d",retclass = c("zoo","ts"))
L<-length(SPY)
SPY <- get.hist.quote("SPY",start = "2006-01-01",end = "2011-01-01",quote = "AdjClose", compression = "d",retclass = c("zoo","ts"))
X<-length(SPY)
SPY<-coredata(SPY)
SPY1=matrix(0,ncol = 252,nrow = L) #252esimo giorno di mercato
m1 = matrix(0,ncol = 252,nrow = 1)
t=seq(1,L,by=1)
for(i in 1:252){
SPY1[,i]<-log(SPY[(0+i):(i+L-1)]) #1007-->>>lunghezza fino 1/1/2010
co <-lm( t~SPY1[,i])
m1[i] <-co$coefficients[2]
}`
我这样做了,我需要在虚构的时间中找到原木价格线的斜率是否正确? 我必须建立一个252 m1的投资组合,例如m1 [1]是从1/1/06到31/12/09的回归的斜率m1 [2]是 0.02 / 1/06到31/12/09的回归斜率m1 [3]是3/1/06到31/12/09的回归斜率,依此类推