rolling autocorrelation function for a R dataframe

Question

I have a R dataframe, and I need to compute autocorrelation for every column of it for several rolling time windows. I used the following solution

myacf=function(x,lag){
return(acf(x, na.action=na.pass,lag.max=lag)[lag])
}

for(i in 2:dim(dfres)[1]){
  print(i)
  col=rollapply(as.numeric(dfres[,i]),width=oneday,FUN=myacf,lag=oneday) 
}

where dfres is a matrix (I exclude the first column since it contains timestamps), and rollapply is from the package zoo. I obtain the following error: error in plot.window(need finite 'ylim' values). Anyway I don't need plots, but just the values of autocorrelation in the chosen lag. Can someone help me?

Answer 1

With lapply you can operate the rollapply function on each column resulting in acf series for the selected lag value. We then use Reduce to combine results from the above step.

I have used dataset edhec from PerformanceAnalytics package for this demo. You can change the width parameter accordingly.

library("PerformanceAnalytics")

#load test dataset
data(edhec,package="PerformanceAnalytics")

#select subset with fewer columns
edhec_sub = edhec[,1:5]

fn_lag_ACF = function(lagValue = x) {


#for width as 1 year calculate acf for input lagValue for each column

acfList = lapply(edhec_sub,function(x) {


 TS = rollapply(x, width = 12,
 FUN = function(z) acf(z,na.action=na.pass,lag.max= lagValue,plot=FALSE)$acf[lagValue],
                by.column = FALSE, align = "right")
 colnames(TS) = colnames(x)             

 return(TS) 

})

#combine acf output for all columns from above step
acfMerge  = Reduce(function(x,y) merge.xts(x,y), acfList)

return(acfMerge)
}

#test with lagValue = 2
lag2DF = fn_lag_ACF(lagValue = 2)

Output:

head(lag2DF,15)
#           Convertible.Arbitrage CTA.Global Distressed.Securities Emerging.Markets
#1997-01-31                    NA         NA                    NA               NA
#1997-02-28                    NA         NA                    NA               NA
#1997-03-31                    NA         NA                    NA               NA
#1997-04-30                    NA         NA                    NA               NA
#1997-05-31                    NA         NA                    NA               NA
#1997-06-30                    NA         NA                    NA               NA
#1997-07-31                    NA         NA                    NA               NA
#1997-08-31                    NA         NA                    NA               NA
#1997-09-30                    NA         NA                    NA               NA
#1997-10-31                    NA         NA                    NA               NA
#1997-11-30                    NA         NA                    NA               NA
#1997-12-31             0.5560540 -0.3010264            0.02908761        0.3305791
#1998-01-31             0.5055951 -0.4245876            0.04278214        0.1761287
#1998-02-28             0.5195872 -0.4298767            0.01375580        0.1605579
#1998-03-31             0.5070003 -0.4656213           -0.04519778        0.2061610
#           Equity.Market.Neutral
#1997-01-31                    NA
#1997-02-28                    NA
#1997-03-31                    NA
#1997-04-30                    NA
#1997-05-31                    NA
#1997-06-30                    NA
#1997-07-31                    NA
#1997-08-31                    NA
#1997-09-30                    NA
#1997-10-31                    NA
#1997-11-30                    NA
#1997-12-31           -0.11842164
#1998-01-31           -0.05986578
#1998-02-28           -0.09663855
#1998-03-31           -0.09680819