根据以下数据框,我想计算滚动相关性(窗口大小为12):
library(rugarch)
library(rmgarch)
data(dji30retw)
Dat = dji30retw[, 1:8, drop = FALSE]
> dput(head(Dat))
structure(list(AA = c(-0.00595239852729524, 0.00595239852729524,
-0.0149479614358734, 0.0470675108579858, 0.0170944333593002,
0.0251059211310762), AXP = c(-0.00794285351393668, -0.0258495814613253,
-0.0265355536259657, -0.0359320092260634, -0.0555200763856309,
0.0254559199933486), BA = c(-0.00886642920564158, -0.0102302682508148,
-0.0142397228111357, -0.0237478178500363, -0.046456440823212,
-0.0590524317817008), BAC = c(-0.0311983708558615, 0, -0.0358461317731357,
-0.0258794479878207, -0.0304205967007118, -0.0116506172199752
), C = c(-0.0258635105899192, -0.0176216013498196, -0.0134230203321406,
-0.0944096844710748, -0.0352681388374579, 0.0203052661607457),
CAT = c(0.0158733491562901, 0.0411369055604894, -0.046400075604764,
-0.00794706169253204, -0.0106952891167477, 0.0369435151916841
), CVX = c(-0.0220481372217624, 0.0632438936600297, -0.0165791288029112,
-0.0340063679851951, -0.0287101058824313, 0.0112631922787107
), DD = c(0.00638979809877117, 0.0354573118367292, -0.0354573118367292,
0.00529381860971498, -0.031101702565588, -0.0198026272961791
)), .Names = c("AA", "AXP", "BA", "BAC", "C", "CAT", "CVX",
"DD"), row.names = c("1987-03-27", "1987-04-03", "1987-04-10",
"1987-04-17", "1987-04-24", "1987-05-01"), class = "data.frame")
然后在计算滚动相关性之后,我想创建一个由一列组成的数据帧,每列具有每个时间段T的平均相关系数(在这种情况下:每周) .
那里有人可以帮助我吗?我真的很感激!
提前致谢!
1 回答
R中有一些方法比时间序列分析更适合于我自己的方法'm about to show. Here' .
这是一个非常不优雅的解决方案 . 我为这个例子创建了自己的数据: