r语言 - 计算滚动Beta

Question

我正在尝试为股票生成滚动beta，我的滚动函数不起作用。到目前为止我所尝试的:

library(tidyquant)
library(tidyverse)
library(tibbletime)
ticker_data <- tq_get(c("AAPL", "SPY"))

daily_returns <- ticker_data %>% 
group_by(symbol) %>%
tq_transmute(select     = close, 
mutate_fun = periodReturn, 
period     = "daily", 
col_rename = "daily_return") %>% 
ungroup

all_returns_df <- left_join(daily_returns %>% filter(symbol == "AAPL"),
daily_returns %>% filter(symbol == "SPY") %>% 
select(-symbol) %>% 
rename(mkt_daily_return = daily_return))

# Can generate one Beta for all dates
all_returns_df %>% 
tq_performance(Ra = daily_return,
Rb = mkt_daily_return, 
scale = 252,
performance_fun = table.CAPM)

# Rolling Beta is not working
#Function that is not working
roll_beta <- rollify(.f = function(xy){ tq_performance(data = xy,
Ra = daily_return,
Rb = mkt_daily_return, 
scale = 252,
performance_fun = table.CAPM)},
window = 40)
# This fails
all_returns_df %>% roll_beta()

关于如何使这个工作为我有什么想法吗?

我的主要目的是用"整洁"的方式来做这件事。方式。

Answer 1

注意:tibbletime已退役。你应该看看时刻表。

现在timek的slidify函数取代了rollify函数。但是我不能让它正常工作，因为它一直抱怨月经。但回到zoo::rollapply是可行的。由于某些原因，获取整个表也是一个问题。

下面的代码将为给出的示例工作并返回测试版。我使用函数CAPM.beta来返回beta值。

CAPM_beta_roll <- function(data, width = 40) {
data <- timetk::tk_xts(data, date_var = date)
beta <- zoo::rollapply(data = data[, 1], 
FUN = CAPM.beta, 
Rb = data[, 2], 
width = width, 
by = 1, 
align = "right",
by.column = TRUE) 
names(beta) <- "beta"
out <- timetk::tk_tbl(beta, preserve_index = FALSE)
out$beta
}
all_returns_df %>%
mutate(beta = CAPM_beta_roll(.))
# A tibble: 2,680 x 5
symbol date       daily_return mkt_daily_return  beta
<chr>  <date>            <dbl>            <dbl> <dbl>
1 AAPL   2011-01-03     0                0           NA
2 AAPL   2011-01-04     0.00522         -0.000551    NA
3 AAPL   2011-01-05     0.00818          0.00520     NA
4 AAPL   2011-01-06    -0.000808        -0.00196     NA
5 AAPL   2011-01-07     0.00716         -0.00196     NA
6 AAPL   2011-01-10     0.0188          -0.00126     NA
7 AAPL   2011-01-11    -0.00237          0.00354     NA
8 AAPL   2011-01-12     0.00814          0.00902     NA
9 AAPL   2011-01-13     0.00366         -0.00163     NA
10 AAPL   2011-01-14     0.00810          0.00724     NA
# ... with 2,670 more rows
Warning message:
Problem with `mutate()` column `beta`.
i `beta = CAPM.beta_roll(.)`.
i Non-numeric columns being dropped: symbol, date 

您可以忽略警告消息。这些来自time_tk::tk_xts

为了更快地实现这个函数，你可以在这篇文章中找到几个例子。