r - 使用循环在r中计算滚动窗口

Question

我正在寻找一种方法来根据最后四个观察结果计算下面代码中的公式。结果应保存在最后使用的观察中。这意味着如果使用前四个观察值计算 beta，则 beta 值应保存在第四行。这应该在整个数据集的循环中重复。我不知道如何在我当前的代码中实现它（附在下面），因此我正在寻求帮助来计算这个滚动窗口值。我想要的另一个属性是，只要缺少观察，就会丢失 beta，但据我了解，这应该是自动发生的。

提前致谢

我当前的代码如下所示：

risk <- matrix(data = NA, 14660, ncol = 3)
for (i in 1:14657) {
  j <- i+3
 risk[j,1] <- cov(CombData[i:j,c(72)],CombData[i:j,c(79)])/var(CombData[i:j,c(79)])
 reg_risk <- lm(CombData[i:j,c(72)] ~ CombData[i:j,c(79)])
 risk[j,2] <- sigma(reg_risk) 
 risk[j,3] <- sd(CombData[i:j,c(72)])
}

我的数据如下所示：

structure(list(ExReturn = c(NA, 0.0138248847926268, 0.165809090909091, 
-0.00204931773879148, -0.091896875, 0.0343086021505376, 0.0331640332640333, 
-0.118812273641851, 0.0158817351598173, 0.0920348314606742, 0.160393827160494, 
0.0637297872340425, 0.0315666666666667, 0.0935995153473343, 0.0102397341211227, 
0.0043859649122806, -0.00291120815138279, -0.0262773722627737, 
0.0494752623688155, -0.135814285714286, 0.00165289256198342, 
-0.0264026402640264, -0.0405405405405406, 0.0746478873239436, 
0.0484927916120577, 0.01875, 0.0662576687116565, -0.0334716915995397, 
-0.025, 0.16971916971917, 0.0364344467640918, -0.0192339375629406, 
0.00606016427104715, 0.00500204081632648, -0.0132979695431472, 
0.0288065843621399, 0, -0.017, 0.00203458799593093, -0.016243654822335, 
0.0309597523219813, -0.0230230230230231, 0.00307377049180335, 
0.0469867211440245, 0.0253658536585366, 0.0466222645099905, 0.0181818181818181, 
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-0.0182648401826484, 0.0437209302325581, 0.0204991087344029, 
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0.029126213592233, 0.00943396226415105, -0.0186915887850467, 
-0.123809523809524, 0.0652173913043479, -0.122448979591837, -0.0117279069767442, 
-0.028335294117647, -0.0679966101694916, 0.0387610389610389, 
-1e-04, -0.0251, 0.00877435897435894, -0.00909453621346892, -0.0143025641025641, 
0.0141042912873863, -0.0386615384615384, 0.0132333333333334, 
0.112857894736842, 0.0279687943262412, -0.0532735632183908, 0.0361077669902914, 
0.043996487119438, -0.0499273542600897, 0.0135509433962264, 0.0225558139534884, 
-0.0463545454545454, 0.0229095238095237, -9e-04, -0.0217302325581395, 
0.0608577197149644, -0.0167599552572707, -0.0283727272727272, 
-0.0105457943925234, -0.0344188679245283, 0.0717707317073171, 
0.0258727272727273, 0.0470725663716814, -0.0522329113924051, 
-0.0015, -0.0641222222222222, 0.0740293838862558, -0.054763436123348, 
0.0118534883720931, 0.0394844036697249, -0.0459528634361234, 
-0.00670829493087556, 0.0210481481481481, -0.0198995475113123, 
0.030358064516129, -0.0685642857142857, 0.0364775119617225, 0.030758064516129, 
0.00326428571428581, 0.0119333333333334, -0.00568596491228072, 
NA, -0.0833333333333334, 0.0908090909090908, -0.1501, -0.0687274509803921, 
-0.0527315789473685, -1e-04, 0.0546945205479452, -0.116983116883117, 
-0.0736294117647058, 0.0395825396825398, 0.00753358778625944, 
-0.121312121212121, 0.0343827586206897, 0.075, -0.00775193798449614, 
0.015625, -0.123076923076923, 0.0963912280701753, 0, -0.0640000000000001, 
0.0256410256410258, 0.15, -0.0942028985507247, -0.00800000000000001, 
0.120967741935484, -0.064748201438849, 0.0537461538461539, 0, 
0.0729927007299269, -0.142957142857143, 0.0713285714285714, 0.036937037037037, 
0.0713285714285714, -0.0750000000000001, -0.00900900900900903, 
-0.0454545454545454, 0.142857142857143, -0.166666666666667, 0, 
0.12, -0.142857142857143, 0.104166666666667, 0.0566037735849056, 
-0.0267857142857142, -0.0733944954128442, 0.0495049504950495, 
-0.0377358490566038, 0.0490196078431373, 0.121495327102804, 0, 
-0.0158730158730158, 0.0161290322580645, -0.158730158730159, 
-0.150943396226415, 0.111111111111111, 0.01, 0.0693069306930694, 
0.0833333333333333, 0.111111111111111, -0.0461538461538461, 0, 
-0.0403225806451613, 0.00840336134453779, -0.0750000000000001, 
0.0180180180180181, -0.0353982300884956, 0.100817431192661, -0.0751000000000001, 
-0.150575939849624, -0.0266486725663717, 0.127172727272727, 0.032058064516129, 
0.015425, 0.122876923076923, 0.0134986301369864, 0.114664864864865, 
0.0180818181818183, 0.160414285714286, 0.148317948717949, 0.0531714285714286
), `Mkt-RF` = c(-0.0528, -0.021, 0.0641, -0.0166, -0.1206, -0.0097, 
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0.1097, -0.0221, 0.0569, 0.0641, 2e-04, -0.0223, -0.1231, 0.0713, 
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-0.1161, 0.1097, -0.0485, -0.0221, 0.0569, 2e-04, -0.0223, -0.1231, 
0.0713, 0.0056, 0.045, 0.0349, 0.0166, 0.0227, 0.0338, 0.062, 
-0.0249, -0.0054, 0.0416, 0.0106, -0.0464, 0.0745, -0.007, 0.0704, 
0.0449, 0.0133, 0.0237, -0.0303, 0.0742, -0.0055, 0.0077, -0.0012, 
-0.041, -2e-04, -0.0379, -0.027, 0.0212, -0.037, -0.003, 0.0479, 
-0.0015, -0.0284, 0.0239, -0.0602, 0.0619, -0.0149, -0.0643, 
-0.0171, 0.067, 0.0238, -0.0038, -0.0501, 0.0444, 0.0077, 0.0095, 
-0.0308, -0.025, 0.0472, 0.0284, 0.0068, 0.0427, 0.0463, 0.0503, 
-0.0067, 0.0349, 0.0011, 0.0272, 0.0059, -1e-04, 0.0147, 0.0552, 
-0.0535, -0.0071, 0.022, -0.0273, -0.0092, 0.0269, -0.0265, -0.0854, 
0.0619, 0.0293, 0.037, 0.0587, -0.0256, 0.0178, 0.0407, -0.0255, 
-0.0528, -0.021, 0.0641, -0.1206, -0.0097, 0.1188, -0.0426, 0.1156, 
0.0498, -0.0803, 0.0904, 0.0368, 0.0306, -0.0017, 0.0814, -0.0306, 
-0.0205, -0.0333, -0.1011, -0.1161, 0.1097, -0.0485, -0.0221, 
0.0569, 0.0641, 2e-04, -0.1231, 0.0713, 0.0056, 0.045, 0.0349, 
0.0166, 0.0227, 0.0338, 0.062, -0.0249, -0.0054, 0.0416, 0.0106, 
-0.0464, 0.0745, -0.007, 0.0704, 0.0449, 0.0133, 0.0237, -0.0303, 
0.0742, -0.0055, 0.0177, 0.0077, -0.0012, -0.041, -2e-04, -0.0379, 
-0.027, 0.0212, -0.037, -0.003, 0.0621, -0.0228, 0.0479, -0.0015, 
-0.0284, 0.0239, -0.0602, -0.0427, 0.0619, -0.0149, -0.0186, 
-0.0643, -0.0171, 0.067, 0.0238, -0.0038, -0.0501, 0.0444, 0.0077, 
0.0095, -0.0308, -0.025, 0.0472, 0.0284, 0.0068, 0.0427, 0.0463, 
0.0503, -0.0067, 0.0349, 0.0011, 0.0272, 0.0059, -1e-04, 0.0147, 
0.0552, -0.0535, -0.0071, 0.022, -0.0273, -0.0092, 0.0269, -0.0265, 
0.0012, -0.0854, -0.0131, -0.0459, 0.0619, 0.0293, 0.0058, 0.037, 
-0.0534, 0.0587, -0.0256, -0.0239, 0.0215, 0.0326, 0.0178, 0.0407, 
-0.0255, -0.0528, -0.021, 0.0641, -0.0166, -0.1206, -0.0097, 
0.1188, -0.0426, 0.1156, 0.0498, -0.0803, 0.0904, 0.0368, 0.0306, 
-0.0017, 0.0814, -0.0306, -0.0205, -0.0333, -0.1011, -0.1161, 
0.1097, -0.0485, -0.0221, 0.0569, 2e-04, -0.0223, 0.0713, 0.0056, 
0.0349, 0.0166, 0.0227, 0.0338, 0.062, -0.0249, -0.0054, 0.0106, 
-0.0464, 0.0745, -0.007, 0.0704, 0.0449, 0.0133, 0.0237, -0.0303, 
0.0742, -0.0055, 0.0177, 0.0077, -0.0012, -0.041, -2e-04, -0.0379, 
-0.027, 0.0212, -0.037, -0.003, 0.0621, -0.0228, 0.0479, -0.0015, 
-0.0284, 0.0239, -0.0602, -0.0427, 0.0619, -0.0149, -0.0186, 
-0.0643, -0.0171, 0.067, 0.0238, -0.0038, -0.0501, 0.0444, 0.0077, 
0.0095, -0.0308, -0.025, 0.0472, 0.0284, 0.0068, 0.0427, 0.0463, 
0.0503, -0.0067, 0.0349, 0.0011, 0.0272, 0.0059, -1e-04, 0.0147, 
0.0552, -0.0535, -0.0071, 0.022, -0.0273, -0.0092, 0.0269, -0.0265, 
0.0012, -0.0854, -0.0131, -0.0459, 0.0619, 0.0293, 0.0058, 0.037, 
-0.0534, 0.0587, -0.0256, -0.0239, 0.0215, 0.0326, 0.0178, 0.0407, 
-0.0255, -0.0528, -0.021, 0.0641, -0.0166, -0.1206, -0.0097, 
0.1188, -0.0426, 0.1156, 0.0498, -0.0803, 0.0904, 0.0368, 0.0306, 
-0.0017, 0.0814, -0.0306, -0.0205, -0.0333, -0.1011, -0.1161, 
0.1097, -0.0485, 0.0569, 2e-04, -0.0223, -0.1231, 0.0713, 0.0056, 
0.045, 0.0349, 0.0166, 0.0227, 0.0338, 0.062, -0.0249, -0.0054, 
0.0416, 0.0106, -0.0464, 0.0745, -0.007, 0.0704, 0.0449, 0.0133, 
0.0237, -0.0303, 0.0742, -0.0055, 0.0177, 0.0077, -0.0012, -0.041, 
-2e-04, -0.0379, -0.027, 0.0212, -0.037, -0.003, 0.0621, -0.0228, 
0.0479, -0.0015, -0.0284, 0.0239, -0.0602, -0.0427, 0.0619, -0.0149, 
-0.0186, -0.0643, -0.0171, 0.067, 0.0238, -0.0038, -0.0501, 0.0444, 
0.0077, 0.0095, -0.0308, -0.025, 0.0068, 0.0427, 0.0463, 0.0503, 
-0.0067, 0.0349, 0.0011, 0.0059, -1e-04, 0.0147, 0.0552, -0.0535, 
-0.0071, 0.022, -0.0273, -0.0092, 0.0269, -0.0265, 0.0012, -0.0854, 
-0.0131, -0.0459, 0.0619, 0.0293, 0.0058, 0.037, -0.0534, 0.0587, 
-0.0256, -0.0239, 0.0215, 0.0326, 0.0178, 0.0407, -0.0255, -0.0528, 
-0.021, 0.0641, -0.0166, -0.1206, -0.0097, 0.1188, -0.0426, 0.1156, 
0.0498, -0.0803, 0.0904, 0.0368, 0.0306, -0.0017, 0.0814, -0.0306, 
-0.0205, -0.0333, -0.1011, -0.1161, 0.1097, -0.0485, -0.0221, 
0.0569, 0.0641, 2e-04, -0.0223, -0.1231, 0.0713, 0.0056, 0.045, 
0.0349, 0.0166, 0.0227, 0.0338, 0.062, -0.0249, 0.0416, 0.0106, 
-0.0464, 0.0745, -0.007, 0.0704, 0.0449, 0.0133, 0.0237, -0.0303, 
0.0742, -0.0055, 0.0177, 0.0077, -0.0012, -0.041, -2e-04, -0.0379, 
-0.027, 0.0212, -0.037, -0.003, 0.0621, -0.0228, 0.0479, -0.0015, 
-0.0284, 0.0239, -0.0602, -0.0427, 0.0619, -0.0149, -0.0186, 
-0.0643, -0.0171, 0.067, 0.0238, -0.0038, -0.0501, 0.0444, 0.0077, 
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0.0503, -0.0067, 0.0349, 0.0011, 0.0272, 0.0059, -1e-04, 0.0147, 
0.0552, -0.0535, -0.0071, 0.022, -0.0273, -0.0092, 0.0269, -0.0265, 
0.0012, -0.0854, -0.0131, -0.0459, 0.0619, 0.0293, 0.0058, 0.037, 
-0.0534, 0.0587, -0.0256, -0.0239, 0.0215, 0.0326, 0.0178, 0.0407, 
-0.0255, -0.0528, -0.021, 0.0641, -0.0166, -0.1206, -0.0097, 
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0.1097, -0.0485, -0.0221, 0.0569, 0.0641, 2e-04, -0.0223, -0.1231, 
0.0713, 0.0056, 0.045, 0.0349, 0.0166, 0.0227, 0.0338, 0.062, 
-0.0249, -0.0054, 0.0416, 0.0106, -0.0464, 0.0745, -0.007, 0.0704, 
0.0449, 0.0133, 0.0237, -0.0303, 0.0742, -0.0055, 0.0177, 0.0077, 
-0.0012, -0.041, -2e-04, -0.0379, -0.027, 0.0212, -0.037, -0.003, 
0.0621, -0.0228, 0.0479, -0.0015, -0.0284, 0.0239, -0.0602, -0.0427, 
0.0619, -0.0149, -0.0186, -0.0643, -0.0171, 0.067, 0.0238, -0.0038, 
-0.0501, 0.0444, 0.0077, 0.0095, -0.0308, -0.025, 0.0472, 0.0284, 
0.0068, 0.0427, 0.0463, 0.0503, -0.0067, 0.0349, 0.0011, 0.0272, 
0.0059, -1e-04, 0.0147, 0.0552, -0.0535, -0.0071, 0.022, -0.0273, 
-0.0092, 0.0269, -0.0265, 0.0012, -0.0854, -0.0131, -0.0459, 
0.0619, 0.0293, 0.0058, 0.037, -0.0534, 0.0587, -0.0256, -0.0239, 
0.0215, 0.0326, 0.0178, 0.0407, -0.0255, -0.0528, -0.021, 0.0641, 
-0.0166, -0.1206, -0.0097, 0.1188, 0.1156, 0.0498, -0.0803, 0.0904, 
0.0368, 0.0306, -0.0017, 0.0814, -0.0306, -0.0205, -0.0333, -0.1011, 
-0.1161, 0.1097, -0.0485, -0.0221, 0.0569, 0.0641, 2e-04, -0.0223, 
-0.1231, 0.0713, 0.0056, 0.045, 0.0349, 0.0227, 0.0338, 0.062, 
-0.0249, -0.0054, 0.0416, 0.0106, -0.0464, 0.0745, -0.007, 0.0704, 
0.0449, 0.0133, 0.0237, -0.0303, 0.0742, -0.0055, 0.0177, -0.041, 
-2e-04, -0.0379, -0.027, 0.0212, -0.037, -0.003, 0.0621, -0.0228, 
0.0479, -0.0015, -0.0284, 0.0239, -0.0602, -0.0427, 0.0619, -0.0149, 
-0.0186, -0.0643, 0.067, 0.0238, -0.0038, -0.0501, 0.0444, 0.0077, 
0.0095, -0.0308, -0.025, 0.0472, 0.0284, 0.0068)), class = c("tbl_df", 
"tbl", "data.frame"), row.names = c(NA, -900L))

标签： r

Answer 1

此代码有效：

CombData <- CombData[order(CombData$ISIN),]
CombData2 <- unlist(CombData$ExReturn)
CombData3 <- unlist(CombData$`Mkt-RF`)
risk <- matrix(data = NA, 14660, ncol = 3)
for (i in 1:14657) {
  j <- i+3
 risk[j,1] <- cov(CombData[i:j,c(72)],CombData[i:j,c(79)])/var(CombData[i:j,c(79)])
 reg_risk <- lm(CombData2[i:j, 1] ~ CombData3[i:j, 1], na.action = na.fail)
 risk[j,2] <- sigma(reg_risk)
 risk[j,3] <- sd(CombData2[i:j, ])
}