How to create a rolling linear regression in R?

Question

I am trying to create (as the title suggests) a rolling linear regression equation on a set of data (daily returns of two variables, total of 257 observations for each, linked together by date, want to make the rolling window 100 observations). I have searched for rolling regression packages but I have not found one that works on my data. The two data pieces are stored within one data frame.

Also, I am pretty new to programming, so any advice would help.

Some of the code I have used is below.

    WeightedIMV_VIX_returns_combined_ID100896 <- left_join(ID100896_WeightedIMV_daily_returns, ID100896_VIX_daily_returns, by=c("Date"))
    head(WeightedIMV_VIX_returns_combined_ID100896, n=20)

plot(WeightedIMV_returns ~ VIX_returns, data = WeightedIMV_VIX_returns_combined_ID100896)#the data seems to be correlated enought to run a regression, doesnt matter which one you put first
ID100896.lm <- lm(WeightedIMV_returns ~ VIX_returns, data = WeightedIMV_VIX_returns_combined_ID100896)
summary(ID100896.lm)    #so the estimate Intercept is 1.2370, estimate Slope is 5.8266. 
termplot(ID100896.lm)

Again, sorry if this code is poor, or if I am missing any information that some of you may need to help. This is my first time on here! Just let me know what I can do better. Thanks!

question from:https://stackoverflow.com/questions/65670960/how-to-create-a-rolling-linear-regression-in-r

Answer 1

Waitting for answers