Dear useRs,
I am stuck with a piece of code and hope you could give me some pointers.
My aim is to calculate the lm-regression coefficients of individual stocks
against an index. I am interested in both the coefficient and the pval. While I
could do this manually for a select hand full, I hope to scale this up say for
30+ stocks (DAX-30, FTSE-100 etc.) to eventually have a matrix of coefficients
and p-values for each individual stock.
First, let's get share prices:
library(tseries)
sie <- get.hist.quote(instrument="SIE.DE", start="2010-01-01", quote="AdjClose")
vow <- get.hist.quote(instrument="VOW.DE", start="2010-01-01", quote="AdjClose")
lin <- get.hist.quote(instrument="LIN.DE", start="2010-01-01", quote="AdjClose")
dax <- get.hist.quote(instrument="^GDAXI", start="2010-01-01", quote="AdjClose")
returns.table <- diff(log(na.omit(merge(dax, lin, sie, vow))))
My function to get the betas pval is:
B <- function(share,bench){
beta <- summary(lm(share~bench))$coef[2]
pval <- summary(lm(share~bench))$coef[8]
coefs <- t(as.matrix(c(beta, pval), ncol=2, byrow=TRUE))
coefs
}
The function B works fine:
B(returns[,2],returns[,1])
> B(returns[,2],returns[,1])
[,1] [,2]
[1,] 0.7568787 9.740043e-47
Now, at the following step I am stuck. I am trying to loop through my
returns.table:
Attempt 1:
for(i in 2:4){result[i] <- B(returns[,i],returns[,1]); result}
Error in result[i] <- B(returns[, i], returns[, 1]) :
object 'result' not found
Attempt 2:
for(i in 2:4){print(B(returns[,i],returns[,1]))}
[,1] [,2]
[1,] 0.7568787 9.740043e-47
[,1] [,2]
[1,] 1.311835 2.924594e-86
[,1] [,2]
[1,] 1.023310 1.078007e-30
Attempt 2 gets me a little closer to the desired matrix of coefficient and pval
by each share.
What am I doing wrong here?
Any pointers most welcome.
Many thanks in advance!
Regards,
Bernd
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