how to create a loop for rolling window returns?
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Hi to all,
I do not know the MATLAB environment well, I wanted to ask if someone could tell me how to create a loop with the sample - out sample method. I would like to find the mean and the covariance of returns, as follows:
returns = rand(2013, 30);
I would like to find the mean from 1 to 500, from 21 to 521, etc.
I'll explain better: M1 = mean of RR 1->500; M2 = mean of RR 21->521; M3 = mean of RR 41->541; ...
With a step of 20 positions.I tried to follow these examples but I could not:
https://it.mathworks.com/matlabcentral/answers/247677-how-to-calculate-moving-covariance-in-a-matrix
Thanks for your help.
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Geoff Hayes
2018-6-15
Giorgio - rather than dynamically creating variables (never a good idea, see TUTORIAL: Why Variables Should Not Be Named Dynamically (eval)) consider using arrayfun to create a cell array of means. For example,
n = 2013;
m = 500;
returns = rand(n, 30);
returnsMeans = arrayfun(@(k)mean(returns(k:m+k-1,:)),1:20:(n-m+1),'UniformOutput',false);
The above should return the means for 76 blocks of size 500. You can probably do something similar using cov.
3 个评论
Giorgio Proietti
2018-6-15
BISWA BHUYAN
2019-10-28
Sir, I wish to apply above code (returnsMeans = arrayfun(@(k)mean(returns(k:m+k-1,:)),1:20:(n-m+1),'UniformOutput',false); )to multiple column, then how can i modify the code? Please suggest
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