Я делаю анализ данных в R, чтобы получить предварительные рейтинги бета-версии французской модели CAPM.Чтобы рассчитать бета-версии для предварительного ранжирования, мне нужно регрессировать минимум 24 и максимум 60 ежемесячных возвратов (R) рыночных доходов (M) и сохранить беты (первый коэффициент регрессионного анализа) для каждого месяца (У меня 342 месяца) после 60-го месяца.Чтобы добиться этого, я создал следующий цикл:
mydata <- read.csv("Austria.csv", header = T, sep = ";")
Betas <- matrix(nrow = 342, ncol = 1)
for(k in 1:282){
M <- mydata[k:59+k,3]
R <- mydata[k:59+k,4] - mydata[k:59+k,2]
criteria <- length(!is.na(R))
if (criteria >= 24) {
result <- lm(R ~ M, na.action = na.omit)
} else {
result <- "NA"
}
if (any(result != "NA")) {
coefficients <- coef(summary(result))
} else {
coefficients <- "NA"
}
if (any(coefficients != "NA")) {
Betas[k,1] <- coefficients[2,1]
} else {
Betas[k,1] <- "NA"
}
}
Но бета-версии, созданные с помощью этой процедуры, не соответствуют бета-регрессам в Excel.Кто-нибудь может мне помочь, пожалуйста!
Данные, которые я использую, состоят из 342 строк и 4 столбцов.Подмножество моих данных здесь:
structure(list(Date = structure(c(188L, 217L, 246L, 275L, 304L,
333L, 20L, 48L, 76L, 104L, 132L, 160L, 189L, 218L, 247L, 276L,
305L, 334L, 21L, 49L, 77L, 105L, 133L, 161L, 190L, 219L, 248L,
277L, 306L, 335L, 22L, 50L, 78L, 106L, 134L, 162L, 191L, 220L,
249L, 278L, 307L, 336L, 23L, 51L, 79L, 107L, 135L, 163L, 192L,
221L, 250L, 279L, 308L, 337L, 24L, 52L, 80L, 108L, 136L, 164L,
193L, 222L, 251L, 280L, 309L, 338L, 25L, 53L, 81L, 109L, 137L,
165L, 194L, 223L, 252L, 281L, 310L, 339L, 26L, 54L, 82L, 110L,
138L, 166L, 195L, 224L, 253L, 282L, 311L, 340L, 27L, 55L, 83L,
111L, 139L, 167L, 196L, 225L, 254L, 283L), .Label = c("21.01.00",
"21.01.01", "21.01.02", "21.01.03", "21.01.04", "21.01.05", "21.01.06",
"21.01.07", "21.01.08", "21.01.09", "21.01.10", "21.01.11", "21.01.12",
"21.01.13", "21.01.14", "21.01.15", "21.01.16", "21.01.17", "21.01.18",
"21.01.91", "21.01.92", "21.01.93", "21.01.94", "21.01.95", "21.01.96",
"21.01.97", "21.01.98", "21.01.99", "21.02.00", "21.02.01", "21.02.02",
"21.02.03", "21.02.04", "21.02.05", "21.02.06", "21.02.07", "21.02.08",
"21.02.09", "21.02.10", "21.02.11", "21.02.12", "21.02.13", "21.02.14",
"21.02.15", "21.02.16", "21.02.17", "21.02.18", "21.02.91", "21.02.92",
"21.02.93", "21.02.94", "21.02.95", "21.02.96", "21.02.97", "21.02.98",
"21.02.99", "21.03.00", "21.03.01", "21.03.02", "21.03.03", "21.03.04",
"21.03.05", "21.03.06", "21.03.07", "21.03.08", "21.03.09", "21.03.10",
"21.03.11", "21.03.12", "21.03.13", "21.03.14", "21.03.15", "21.03.16",
"21.03.17", "21.03.18", "21.03.91", "21.03.92", "21.03.93", "21.03.94",
"21.03.95", "21.03.96", "21.03.97", "21.03.98", "21.03.99", "21.04.00",
"21.04.01", "21.04.02", "21.04.03", "21.04.04", "21.04.05", "21.04.06",
"21.04.07", "21.04.08", "21.04.09", "21.04.10", "21.04.11", "21.04.12",
"21.04.13", "21.04.14", "21.04.15", "21.04.16", "21.04.17", "21.04.18",
"21.04.91", "21.04.92", "21.04.93", "21.04.94", "21.04.95", "21.04.96",
"21.04.97", "21.04.98", "21.04.99", "21.05.00", "21.05.01", "21.05.02",
"21.05.03", "21.05.04", "21.05.05", "21.05.06", "21.05.07", "21.05.08",
"21.05.09", "21.05.10", "21.05.11", "21.05.12", "21.05.13", "21.05.14",
"21.05.15", "21.05.16", "21.05.17", "21.05.18", "21.05.91", "21.05.92",
"21.05.93", "21.05.94", "21.05.95", "21.05.96", "21.05.97", "21.05.98",
"21.05.99", "21.06.00", "21.06.01", "21.06.02", "21.06.03", "21.06.04",
"21.06.05", "21.06.06", "21.06.07", "21.06.08", "21.06.09", "21.06.10",
"21.06.11", "21.06.12", "21.06.13", "21.06.14", "21.06.15", "21.06.16",
"21.06.17", "21.06.18", "21.06.91", "21.06.92", "21.06.93", "21.06.94",
"21.06.95", "21.06.96", "21.06.97", "21.06.98", "21.06.99", "21.07.00",
"21.07.01", "21.07.02", "21.07.03", "21.07.04", "21.07.05", "21.07.06",
"21.07.07", "21.07.08", "21.07.09", "21.07.10", "21.07.11", "21.07.12",
"21.07.13", "21.07.14", "21.07.15", "21.07.16", "21.07.17", "21.07.18",
"21.07.90", "21.07.91", "21.07.92", "21.07.93", "21.07.94", "21.07.95",
"21.07.96", "21.07.97", "21.07.98", "21.07.99", "21.08.00", "21.08.01",
"21.08.02", "21.08.03", "21.08.04", "21.08.05", "21.08.06", "21.08.07",
"21.08.08", "21.08.09", "21.08.10", "21.08.11", "21.08.12", "21.08.13",
"21.08.14", "21.08.15", "21.08.16", "21.08.17", "21.08.18", "21.08.90",
"21.08.91", "21.08.92", "21.08.93", "21.08.94", "21.08.95", "21.08.96",
"21.08.97", "21.08.98", "21.08.99", "21.09.00", "21.09.01", "21.09.02",
"21.09.03", "21.09.04", "21.09.05", "21.09.06", "21.09.07", "21.09.08",
"21.09.09", "21.09.10", "21.09.11", "21.09.12", "21.09.13", "21.09.14",
"21.09.15", "21.09.16", "21.09.17", "21.09.18", "21.09.90", "21.09.91",
"21.09.92", "21.09.93", "21.09.94", "21.09.95", "21.09.96", "21.09.97",
"21.09.98", "21.09.99", "21.10.00", "21.10.01", "21.10.02", "21.10.03",
"21.10.04", "21.10.05", "21.10.06", "21.10.07", "21.10.08", "21.10.09",
"21.10.10", "21.10.11", "21.10.12", "21.10.13", "21.10.14", "21.10.15",
"21.10.16", "21.10.17", "21.10.18", "21.10.90", "21.10.91", "21.10.92",
"21.10.93", "21.10.94", "21.10.95", "21.10.96", "21.10.97", "21.10.98",
"21.10.99", "21.11.00", "21.11.01", "21.11.02", "21.11.03", "21.11.04",
"21.11.05", "21.11.06", "21.11.07", "21.11.08", "21.11.09", "21.11.10",
"21.11.11", "21.11.12", "21.11.13", "21.11.14", "21.11.15", "21.11.16",
"21.11.17", "21.11.18", "21.11.90", "21.11.91", "21.11.92", "21.11.93",
"21.11.94", "21.11.95", "21.11.96", "21.11.97", "21.11.98", "21.11.99",
"21.12.00", "21.12.01", "21.12.02", "21.12.03", "21.12.04", "21.12.05",
"21.12.06", "21.12.07", "21.12.08", "21.12.09", "21.12.10", "21.12.11",
"21.12.12", "21.12.13", "21.12.14", "21.12.15", "21.12.16", "21.12.17",
"21.12.18", "21.12.90", "21.12.91", "21.12.92", "21.12.93", "21.12.94",
"21.12.95", "21.12.96", "21.12.97", "21.12.98", "21.12.99"), class = "factor"),
RF = c(0.0068, 0.0066, 0.006, 0.0068, 0.0057, 0.006, 0.0052,
0.0048, 0.0044, 0.0053, 0.0047, 0.0042, 0.0049, 0.0046, 0.0046,
0.0042, 0.0039, 0.0038, 0.0034, 0.0028, 0.0034, 0.0032, 0.0028,
0.0032, 0.0031, 0.0026, 0.0026, 0.0023, 0.0023, 0.0028, 0.0023,
0.0022, 0.0025, 0.0024, 0.0022, 0.0025, 0.0024, 0.0025, 0.0026,
0.0022, 0.0025, 0.0023, 0.0025, 0.0021, 0.0027, 0.0027, 0.0032,
0.0031, 0.0028, 0.0037, 0.0037, 0.0038, 0.0037, 0.0044, 0.0042,
0.004, 0.0046, 0.0045, 0.0054, 0.0047, 0.0045, 0.0047, 0.0043,
0.0047, 0.0042, 0.0049, 0.0043, 0.0039, 0.0039, 0.0046, 0.0042,
0.004, 0.0045, 0.0041, 0.0044, 0.0042, 0.0041, 0.0046, 0.0045,
0.0039, 0.0043, 0.0043, 0.0049, 0.0037, 0.0043, 0.0041, 0.0044,
0.0042, 0.0039, 0.0048, 0.0043, 0.0039, 0.0039, 0.0043, 0.004,
0.0041, 0.004, 0.0043, 0.0046, 0.0032), Mkt.RF = c(0.0446,
-0.1088, -0.1219, 0.0645, -0.0042, -0.0155, 0.0151, 0.073,
-0.067, -0.0087, 0.0049, -0.0741, 0.053, 0.0142, 0.0302,
-0.0262, -0.0227, 0.063, -0.0052, -0.0044, -0.0373, 0.0502,
0.0509, -0.0117, -0.041, -0.008, -0.0299, -0.0771, -0.0065,
0.0122, 0.0063, 0.0111, 0.0543, 0.0192, 0.0091, -0.0323,
0.0103, 0.0861, -0.0064, 0.0246, -0.0231, 0.0716, 0.0589,
-0.0346, -0.028, 0.0379, -0.04, -0.0116, 0.0466, 0.019, -0.0358,
0.0359, -0.0454, 2e-04, -0.0155, 0.0197, 0.0345, 0.0256,
0.0176, 0.01, 0.0399, -0.0405, 0.0237, -0.0071, -0.0032,
0.0184, 0.0044, 0.0188, 0.0089, 0.0062, 0.015, 0.0022, -0.0179,
0.0226, 0.0118, 0.0155, 0.0408, 0.0201, -0.0035, 0.0068,
0.0204, -0.0075, 0.0414, 0.0366, 0.0312, -0.0529, 0.0874,
-0.0488, 0.0075, 0.0226, 0.0316, 0.0749, 0.0691, 0.0219,
0.0222, -0.005, 0.0152, -0.1208, -0.0484, 0.0659), OBERBANK.AG = c(0.099118943,
-0.190380762, -0.108415842, 0.023875625, -0.009219089, -0.075533662,
-0.039668443, 0.103575832, -0.111731844, -0.018867925, -0.028205128,
-0.051451187, -0.004172462, -0.073324022, 0.091936699, -0.031746032,
0.025659301, 0.045170257, -0.021276596, -0.00611413, -0.040328093,
-0.013532764, 0.041877256, 0.015246015, 0.027986348, -0.011288181,
-0.018132975, 0.012995896, -0.049966239, 0.026297086, -0.027700831,
0.029202279, -0.04083045, 0.011544012, -0.012838802, -0.031791908,
0.003731343, 0.261710037, 0.076605775, -0.032840722, 0.019241653,
0.034980566, 0.061158798, -0.050050556, -0.032464077, -0.031353135,
0.010789324, 0.012359551, 0.029411765, -0.026415094, -0.014396456,
0.019101124, -0.047960309, -0.011580776, 0.041593439, -0.007311586,
0.061189802, 0.050720769, -0.045223577, 0.024481107, -0.004675325,
-0.04697286, 0.004928806, 0.027792916, 0, -0.020678685, -0.012452626,
0, -0.014802632, -0.001669449, -0.011705686, -0.009024253,
0.027319294, 0.004432133, -0.023166023, -0.006775833, 0.05173394,
-0.035135135, -0.038655462, -0.016317016, 0.071682464, -0.011055832,
-0.008943544, -0.0107163, -0.022805017, 0.057176196, 0.025386313,
-0.026910657, 0.005530973, 0, -0.04180418, 0.061997704, 0.274594595,
-0.046649703, 0.018683274, -0.064628821, -0.038281979, -0.026213592,
0.0777667, 0.051341351)), row.names = c(NA, 100L), class = "data.frame")