[Uwgarp-commits] r62 - pkg/GARPFRM/sandbox

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2014-02-07 22:58:42 +0100 (Fri, 07 Feb 2014)
New Revision: 62

Added:
   pkg/GARPFRM/sandbox/ross_EWMA.R
Log:
Adding EWMA to sandbox

Added: pkg/GARPFRM/sandbox/ross_EWMA.R
===================================================================
--- pkg/GARPFRM/sandbox/ross_EWMA.R	                        (rev 0)
+++ pkg/GARPFRM/sandbox/ross_EWMA.R	2014-02-07 21:58:42 UTC (rev 62)
@@ -0,0 +1,72 @@
+library(GARPFRM)
+
+data(crsp.short)
+R <- largecap.ts[, 1:4]
+
+# might need a separate function for univariate time series of returns
+
+# estimate covariance or correlation using EWMA for a multivariate data set
+rbEWMA <- function(R, lambda=0.94, training_period=10, cor=FALSE){
+  # check for training_period must be greater than ncol(R)
+  # check for lambda between 0 and 1
+  
+  # Separate data into a training set and a testing set
+  R_training <- R[1:training_period,]
+  R_testing <- R[(training_period+1):nrow(R),]
+  
+  # calculate a starting covariance matrix
+  cov_start <- cov(R_training)
+  cov_lag <- cov_start
+  tmp_cov <- vector("list", nrow(R_testing))
+  
+  for(i in 1:nrow(R_testing)){
+    # extract R for the ith time step
+    tmpR <- R_testing[i,]
+    tmp_cov[[i]] <- lambda * (t(tmpR) %*% tmpR) + (1 - lambda) * cov_lag
+    # update cov_lag to be tmp_cov from the current period
+    cov_lag <- tmp_cov[[i]]
+  }
+  out <- tmp_cov
+  names(out) <- index(R_testing)
+  if(cor) out <- lapply(out, cov2cor)
+  return(out)
+}
+
+
+
+getCov <- function(object, asset1, asset2){
+  # check for 
+  if(is.character(asset1) & is.character(asset2)){
+    idx1 <- grep(asset1, colnames(object[[1]]))
+    if(length(idx1) == 0) stop("name for asset1 not in object")
+    idx2 <- grep(asset2, colnames(object[[1]]))
+    if(length(idx2) == 0) stop("name for asset2 not in object")
+  } else {
+    # checks for dimensions
+    idx1 <- asset1
+    idx2 <- asset2
+  }
+  out <- xts(unlist(lapply(x, function(x) x[idx1, idx2])), as.Date(index(x)))
+  colnames(out) <- paste(asset1, asset2, sep=".")
+  # detect if estimating cor or cov and set a class 
+  # (i.e. EWMA_cov or EWMA_cor classes)
+  # This will change how we handle getCov or getCor
+  # For example, if someone uses EWMA with cor = TRUE, we probably don't want
+  # them to be able to call getCov on correlations estimated with EWMA. It would
+  # still return the right value based on the index, but it is misleading that
+  # they used getCov to return the correlations.
+  return(out)
+}
+
+
+x <- rbEWMA(R, training_period=20)[[1]]
+x <- rbEWMA(R[,1])
+x
+covAMATAMGN <- getCov(x, "AMATGLG", "AMGN")
+
+# should have a plot method that takes an EWMA_cov or EWMA_cor object and then
+# use getCov or getCor to extract the time series to plot
+
+
+plot(covAMATAMGN)
+