%FFestimateCAPM?Estimate?rolling?parameters?for?CAPM?1-factor?model.

clear?all

%?Step?1?-?load?in?raw?data?and?set?up?list?of?Fama?&?French?factors

load?FFUniverseCAPM

%?Step?2?-?convert?total?return?prices?to?total?returns

Returns?=?（CAPMUniverse?-?lagts（CAPMUniverse1））?./?lagts（CAPMUniverse1）;

%?Step?3?-?trim?date?range?to?match?date?range?of?factor?returns

Returns?=?Returns（all（isfinite（fts2mat（extfield（Returns?CAPMFactorList）））2））;

%?Step?4?-?get?information?about?data

SeriesList?=?fieldnames（Returns?1）;
AssetList?=?setdiff（SeriesList?CAPMFactorList）;

NumSeries?=?numel（SeriesList）;
NumAssets?=?numel（AssetList）;

%?Step?5?-?primary?controls

TMonth?=?9;				%?terminal?month?for?each?historical?estimation?period
Window?=?5;				%?historical?estimation?period?in?years
MaxNaNs?=?4*260;		%?max?number?of?daily?NaNs?in?an?estimation?period

%?Step?6?-?set?up?date?math

StartYear?=?year（Returns.dates（1））;
StartMonth?=?month（Returns.dates（1））;
EndYear?=?year（Returns.dates（end））;
EndMonth?=?month（Returns.dates（end））;

if?StartMonth?>?TMonth
	StartYear?=?StartYear?+?1;
end
if?EndMonth?	EndYear?=?EndYear?-?1;
end

if?（EndYear?-?StartYear）?	error（‘Insufficient?data?to?perform?analysis.‘）;
end

NumPeriods?=?EndYear?-?StartYear?-?Window?+?1;

%?Step?7?-?final?setup

AnalysisPeriod?=?NaN（NumPeriods1）;

CAPMAlpha?=?NaN（NumAssets?NumPeriods）;
CAPMBeta?=?NaN（NumAssets?NumPeriods）;

CAPMSigma?=?NaN（NumAssets?NumPeriods）;

CAPMStdAlpha?=?NaN（NumAssets?NumPeriods）;
CAPMStdBeta?=?NaN（NumAssets?NumPeriods）;

CAPMLLF?=?NaN（NumPeriods1）;
CAPMDoF?=?NaN（NumPeriods1）;

%?Step?8?-?main?loop

TYear?=?StartYear?+?Window;			%?initial?terminal?year

for?K?=?1:NumPeriods
	
	%?Step?8a?-?get?start?and?end?dates?for?current?analysis?period
	
	StartDate?=?datenum（TYear?-?WindowTMontheomday（TYearTMonth））?+?1;
	EndDate?=?datenum（TYearTMontheomday（TYearTMonth））;
	
	%fprintf（1‘Period?%2d:?Target?Range?[%s?-?%s]\n‘Kdatestr（StartDate1）datestr（EndDate1））;
	
	%?Step?8b?-?locate?actual?start?and?end?dates?in?the?data
	
	StartIndex?=?find（Returns.dates?>=?StartDate1‘first‘）;
	EndIndex?=?find（Returns.dates?<=?EndDate1‘last‘）;

	AnalysisPeriod（K）?=?Returns.dates（EndIndex）;
	
	%?Step?8c?-?determine?active?assets?for?current?analysis?period

	Active?=?true（NumAssets1）;
	for?i?=?1:NumAssets
		TestActive?=?sum（~isfinite（fts2mat（Returns.（AssetList{i}）（StartIndex:EndIndex））））;
		if?TestActive?>?MaxNaNs;
			Active（i）?=?false;
		end
	end
	NumActive?=?sum（Active）;

	fprintf（1‘??Points?%5d:%5d:?Dates?=?[%s?:?%s]?Active?Assets?=?%d\n‘?...
		StartIndexEndIndexdatestr（Returns.dates（StartIndex）1）?...
		datestr（Returns.dates（EndIndex）1）NumActive）;

	%?Step?8d?-?set?up?regression?with?active?assets?over?current?date?range

	Dates?=?Returns.dates（StartIndex:EndIndex）;
	AssetData?=?fts2mat（Returns.（AssetList））;
	AssetData?=?AssetData（StartIndex

?屬性????????????大小?????日期????時(shí)間???名稱(chēng)
-----------?---------??----------?-----??----
?????文件??????751758??2016-09-01?11:05??webinar\FFUniverse.mat
?????文件????????4491??2016-09-01?11:05??webinar\FFestimateCAPM.m
?????文件????????5253??2016-09-01?11:05??webinar\FFestimateFF.m
?????文件?????1602548??2016-09-01?11:05??webinar\Using?ML?to?Develop?Asset?Pricing-111606.pdf
?????文件????????2424??2016-09-01?11:05??webinar\readme.txt
?????文件???????15699??2016-09-01?11:05??webinar\FFwebinar.m
?????文件?????????327??2016-09-01?11:05??webinar\erratum.txt
?????文件????????1526??2016-09-01?11:05??license.txt