Put your data in a real time series (xts) object and use the CAPM.* functions from the PerformanceAnalytics package.
MW On Tue, Jun 4, 2013 at 10:15 AM, Katherine Gobin <katherine_go...@yahoo.com> wrote: > Dear R forum > > I have a dataframe (of prices) as given below - > > dat > = data.frame(company = rep(c("A", "B", "C", "D", "index"), each = 5), > prices = c(runif(5, 10, 12), runif(5, 108, 112), runif(5, 500, 510), > runif(5, 40, 50), runif(5, 1000, 1020))) > > company prices > 1 A 10.61727 > 2 A 10.51892 > 3 A 11.80495 > 4 A 11.15243 > 5 A 10.77543 > 6 B 111.23817 > 7 B 109.19825 > 8 B > 108.80053 > 9 B 110.79876 > 10 B 108.84385 > 11 C 504.71801 > 12 C 504.11778 > 13 C 502.89416 > 14 C 500.65996 > 15 C 502.26748 > 16 D 42.35901 > 17 D 43.71947 > 18 D 46.46092 > 19 D 43.62220 > 20 D 48.47480 > 21 index 1017.24476 > 22 index 1002.88139 > 23 index 1005.16148 > 24 index 1014.54480 > 25 index 1014.12103 > > I need to find the beta > of A, B, C and D w.r.t index. > > Beta between two variables X and Y (where Y is dependent) is given by, > > beta = coef(lm(Y ~ X))[2] > > Any guidance is appreciated. > > With regards > > Katherine > [[alternative HTML version deleted]] > > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.