mbeta

Syntax

mbeta(Y, X, window, [minPeriods])

Please see Moving Functions (m-functions) for the parameters and windowing logic.

Details

Calculate the coefficient estimate of an ordinary-least-squares regression of Y on X in a sliding window.

Examples

$ x=0.011 0.006 -0.008 0.012 -0.016 -0.023 0.018
$ y=0.016 0.009 -0.012 0.022 0.003 -0.056 0.002
$ mbeta(y, x, 5);
[,,,,0.818182,1.692379,1.188532]

$ mbeta(y, x, 5, 3);
[,,1.479381,1.594701,0.818182,1.692379,1.188532]
$ x1 = indexedSeries(date(2020.06.05)+1..7, x)
$ y1 = indexedSeries(date(2020.06.05)+1..7, y)
$ mbeta(y1, x1, 5d);

label

col1

2020.06.06

2020.06.07

1.4

2020.06.08

1.4794

2020.06.09

1.5947

2020.06.10

0.8182

2020.06.11

1.6924

2020.06.12

1.1885

$ mbeta(y1, x1, 1w);

label

col1

2020.06.06

2020.06.07

1.4

2020.06.08

1.4794

2020.06.09

1.5947

2020.06.10

0.8182

2020.06.11

1.6924

2020.06.12

1.2659

Related function: beta