Code: Select all
mtos(r1, g1, s1)
if @isobject("s1") then
delete s1
endif
%path = "C:\Users\Dhitya\Desktop\test\" + %file
wfsave(type=excelxml) %path @keep date return g1
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Code: Select all
mtos(r1, g1, s1)
if @isobject("s1") then
delete s1
endif
%path = "C:\Users\Dhitya\Desktop\test\" + %file
wfsave(type=excelxml) %path @keep date return g1
Code: Select all
cd "c:\Users\Dhitya\Desktop\Program\dataset"
%filenames = @wdir("c:\Users\Dhitya\Desktop\Program\dataset")
for !k=1 to @wcount(%filenames)
%file = @word(%filenames, !k)
wfopen %file
import c:\Users\Dhitya\Desktop\Program\dataset\index\Indeks_2002.csv
import c:\Users\Dhitya\Desktop\Program\dataset\index\FF3_2002.csv
genr return=(((close-close(-1))/close(-1))*100)-rf
!window = 60
!step = 1
!length = @obsrange
equation eq1
!nrolls = @round((!length-!window+1)/!step)
matrix(5,!nrolls) coefmat!k
!j=0
for !i = 1 to !length-!window+1-!step step !step
!j=!j+1
smpl @first+!i-1 @first+!i+!window-2
equation eq1.ls return c indeks mkt_rf smb hml
colplace(coefmat!k, eq1.@coefs,!j)
matrix(!nrolls,5) r1
matrix r1=@transpose (coefmat!k)
series rbc
series rbindeks
series rbmkt
series rbsmb
series rbhml
group g1 rbc rbindeks rbmkt rbsmb rbhml
sample s1 @first+59 @last
mtos(r1, g1, s1)
if @isobject("s1") then
delete s1
endif
%path = "C:\Users\Dhitya\Desktop\test\" + %file
wfsave(type=excelxml) %path @keep date return g1
'close @all
next
next
Code: Select all
%path = "C:\Users\Dhitya\Desktop\test\" + %file + ".xlsx"
wfsave(type=excelxml) %path @keep date return g1
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