[Uwgarp-commits] r88 - in pkg/GARPFRM: . R man vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Feb 16 21:07:20 CET 2014
Author: tfillebeen
Date: 2014-02-16 21:07:18 +0100 (Sun, 16 Feb 2014)
New Revision: 88
Added:
pkg/GARPFRM/R/backTestVaR.R
pkg/GARPFRM/man/backTestVaR.Rd
Modified:
pkg/GARPFRM/NAMESPACE
pkg/GARPFRM/vignettes/CAPM_TF.Rnw
pkg/GARPFRM/vignettes/CAPM_TF.pdf
Log:
Vignette Update & draft backTestVaR
Modified: pkg/GARPFRM/NAMESPACE
===================================================================
--- pkg/GARPFRM/NAMESPACE 2014-02-16 15:42:39 UTC (rev 87)
+++ pkg/GARPFRM/NAMESPACE 2014-02-16 20:07:18 UTC (rev 88)
@@ -12,6 +12,7 @@
S3method(hypTest,capm_uv)
export(CAPM)
export(EWMA)
+export(backTestVaR)
export(chartSML)
export(fcstGarch11)
export(garch11)
Added: pkg/GARPFRM/R/backTestVaR.R
===================================================================
--- pkg/GARPFRM/R/backTestVaR.R (rev 0)
+++ pkg/GARPFRM/R/backTestVaR.R 2014-02-16 20:07:18 UTC (rev 88)
@@ -0,0 +1,15 @@
+#' Backtesting VaR (backTestVaR)
+#'
+#' Description of backTestVaR. The function should handle UV and MLM.
+#'
+#' @param R returns
+#' @param p confidence level
+#' @export
+backTestVaR <- function(R, p = 0.95) {
+ normalVaR = as.numeric(VaR(R, p=p, method="gaussian"))
+ historicalVaR = as.numeric(VaR(R, p=p, method="historical"))
+ modifiedVaR = as.numeric(VaR(R, p=p, method="modified"))
+ result = c(normalVaR, historicalVaR, modifiedVaR)
+ names(result) = c("Normal", "HS", "Modified")
+ return(result)
+}
\ No newline at end of file
Added: pkg/GARPFRM/man/backTestVaR.Rd
===================================================================
--- pkg/GARPFRM/man/backTestVaR.Rd (rev 0)
+++ pkg/GARPFRM/man/backTestVaR.Rd 2014-02-16 20:07:18 UTC (rev 88)
@@ -0,0 +1,16 @@
+\name{backTestVaR}
+\alias{backTestVaR}
+\title{Backtesting VaR (backTestVaR)}
+\usage{
+backTestVaR(R, p = 0.95)
+}
+\arguments{
+ \item{R}{returns}
+
+ \item{p}{confidence level}
+}
+\description{
+Description of backTestVaR. The function should handle UV
+and MLM.
+}
+
Modified: pkg/GARPFRM/vignettes/CAPM_TF.Rnw
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.Rnw 2014-02-16 15:42:39 UTC (rev 87)
+++ pkg/GARPFRM/vignettes/CAPM_TF.Rnw 2014-02-16 20:07:18 UTC (rev 88)
@@ -64,8 +64,13 @@
options(digits=3)
data(crsp.short)
data(cons)
-stock.df <-cbind(largecap.ts,cons[,"CONS"])
-colnames(stock.df)= c(colnames(largecap.ts),"CONS")
+
+stock.df <- largecap.ts[, 1:20]
+cons <- xts(cons[,2], index(largecap.ts))
+colnames(cons)= c("CONS")
+R.market <- largecap.ts[, "market"]
+rfr <- largecap.ts[, "t90"]
+
colnames(stock.df)
@
@@ -81,131 +86,70 @@
Estimate excess returns: subtracting off risk-free rate.
To strip off the dates and just return a plain vector/matrix coredata() can be used.
<<ex3>>=
-# as.data.frame to check if an object is a data frame, or coerce it if possible.
-returns.mat = coredata(stock.df)
-exReturns.mat = returns.mat - returns.mat[,"t90"]
-exReturns.df = as.data.frame(exReturns.mat)
+# Excess Returns
+exReturns <- Return.excess(stock.df, rfr)
+colnames(exReturns)= c(colnames(stock.df))
@
-\subsection{Fitting CAPM Model}
-Run CAPM regression for AAPL (AAPL) using first 5 years (60 months divided by 12 months in a years = 5 years).
+\subsection{Fitting CAPM Model: Univariate}
+Run CAPM regression for AMAT
<<ex4>>=
-capm.fit = lm(MSFT~market,data=exReturns.df,subset=1:60)
-summary(capm.fit)
+# Univariate CAPM
+uv <- CAPM(exReturns[,1], R.market)
+summary(uv)
# Plot data with regression line
-plot(exReturns.df$market,exReturns.df$MSFT, main="CAPM for MSFT",
-
- ylab="Excess Return: MSFT",
- xlab="Excess Return: MARKET")
-
-# Plot CAPM regression estimate
-abline(capm.fit)
-# Create Axis
-abline(h=0,v=0,lty=3)
-# Placing beta & tstat values on the plot for APPL
-alpha = coef(summary(capm.fit))[1,1]
-a_tstat = coef(summary(capm.fit))[1,3]
-beta = coef(summary(capm.fit))[2,1]
-b_tstat = coef(summary(capm.fit))[2,3]
-
-legend("topleft", legend=
-c(paste("alpha =",round(alpha,dig=2),"(",round(a_tstat, dig=2),")"),
-paste("beta =",round(beta,dig=2),"(",round(b_tstat,dig=2),")")), cex=1, bty="n")
-
+plot(uv)
@
+\subsection{Fitting CAPM Model: Multiple Linear Model}
+Run CAPM regression for AMAT
+<<ex5>>=
+# MLM CAPM
+mlm <- CAPM(exReturns[,1:3], R.market)
+summary(mlm)
+# Plot data with regression line
+plot(mlm)
+@
\section{Testing CAPM}
-\subsection{Created CAPM Function}
-Use a capm.tstats function:
-Estimating CAPM with alpha=0 for asset using first 5 years of data
-<<ex5>>=
-capm.tstats = function(r,mkrt) {
- # Fiting CAPM
- capm.fit = lm(r~mkrt)
- # Extract summary info
- capm.summary = summary(capm.fit)
- # Retrieve t-stat
- t.stat = coef(capm.summary)[1,3]
- t.stat
-}
+\subsection{Retrieve CAPM Statistics}
+Estimating CAPM with $\alpha=0$ \& $\beta=1$ for asset.
+<<ex6>>=
+getStatistics(uv)
@
\subsection{Estimate Significance and Test Beta Results}
Retrieve tstats from function for assets.
-Filter out rf and market before running.
-<<ex6>>=
-colnames(exReturns.mat[,-c(21,22,23)])
-tstats = apply(exReturns.mat[1:60,-c(21,22,23)],2,
-
- capm.tstats,exReturns.mat[1:60,"market"])
-tstats
-
-# Test Hypothesis for 5% CI: H0: alpha=0
-abs(tstats) > 2
-any(abs(tstats) > 2)
+<<ex7>>=
+# For uv
+getBetas(uv)
+getAlphas(uv)
+hypTest(uv, CI=0.05)
+# For mlm
+getBetas(mlm)
+getAlphas(mlm)
+hypTest(mlm, CI=0.05)
@
\subsection{Estimate Expected Returns and Plot}
Plot expected return versus beta.
-Estimate expected returns over first 5 years.
-<<ex7>>=
-mu.hat = colMeans(exReturns.mat[1:60,-c(21,22,23)])
-mu.hat
+Estimate expected returns
+<<ex8>>=
+# MLM CAPM
+mlm <- CAPM(exReturns[,], R.market)
-# Compute beta over first 5 years
-capm.betas = function(r,market) {
- capm.fit = lm(r~market)
- # Fit capm regression
- capm.beta = coef(capm.fit)[2]
- # Extract coefficients
- capm.beta
-}
-betas = apply(exReturns.mat[1:60,-c(21,22,23)],2,
-
- FUN=capm.betas,
- market=exReturns.mat[1:60,"market"])
-betas
-
# Plot expected returns versus betas
-plot(betas,mu.hat,main="Expected Return vs. Beta")
-# Estimate regression of Expected Return vs. Beta
-sml.fit = lm(mu.hat~betas)
-sml.fit
-summary(sml.fit)
-# Ideally intercept is zero and equals the excess market return
-mean(exReturns.mat[1:60,"market"])
-
-# Plot Fitted SML
-plot(betas,mu.hat,main="Estimated SML")
-abline(sml.fit)
-legend("topleft",1, "Estimated SML",1)
+chartSML(mlm)
@
\section{Consumption-Oriented CAPM}
\subsection{Fitting C-CAPM}
-Run C-CAPM regression for CONS (Consumption) using first 5 years (60 months divided by 12 months in a years = 5 years).
-<<ex8>>=
-end = nrow(stock.df)
-capm.fit = lm(CONS~market,data=exReturns.df,subset=(end-60):end)
-summary(capm.fit)
+Run C-CAPM regression for CONS (Consumption).
+<<ex9>>=
+capm.cons = CAPM(cons, R.market)
+summary(capm.cons)
# Plot data with regression line
-plot(exReturns.df$market,exReturns.df$CONS, main="CAPM for CONS",
-
- ylab="Excess Return: CONS",
- xlab="Excess Return: market")
-# Plot C-CAPM regression estimate
-abline(capm.fit)
-# Create Axis
-abline(h=0,v=0,lty=3)
-# Placing beta & tstat values on the plot for CONS
-beta = coef(summary(capm.fit))[2,1]
-b_stat = coef(summary(capm.fit))[2,3]
-alpha = coef(summary(capm.fit))[1,1]
-a_stat = coef(summary(capm.fit))[1,3]
-legend("topleft", legend=
-c(paste("alpha =",round(alpha,dig=2),"(",round(a_tstat, dig=2),")"),
-paste("beta =",round(beta,dig=2),"(",round(b_tstat,dig=2),")")), cex=.8, bty="n")
+plot(capm.cons)
@
NOTE: Specific problems with CCAPM is that it suffers from two puzzles: the equity premium puzzle (EPP) and the risk-free rate puzzle (RFRP). EPP implies that investors are extremely risk averse to explain the existence of a market risk premium. While RFRP stipulates that investors save in TBills despite the low rate of return.
\end{document}
\ No newline at end of file
Modified: pkg/GARPFRM/vignettes/CAPM_TF.pdf
===================================================================
--- pkg/GARPFRM/vignettes/CAPM_TF.pdf 2014-02-16 15:42:39 UTC (rev 87)
+++ pkg/GARPFRM/vignettes/CAPM_TF.pdf 2014-02-16 20:07:18 UTC (rev 88)
@@ -1,139 +1,127 @@
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[TRUNCATED]
To get the complete diff run:
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