Does rollapply() allow an array of results from call to function?

Question

# Loading packages

require(forecast)
require(quantmod)

# Loading OHLC xts object

getSymbols('SPY', from = '1950-01-01')

# Selecting weekly Close prices

x <- Cl(to.weekly(SPY))

# ARIMA(p,d,q) estimation and forecasting function

a.ari.fun <- function(x) {

  a.ari <- auto.arima(x = x, d = 1, max.p = 50, max.q = 50, max.P = 50,
                      max.Q = 50, ic = 'aic', approximation = TRUE)
  fore <- forecast.Arima(object = a.ari, h = 4, level = c(.9))
  supp <- tail(fore$lower, 1)
  rest <- tail(fore$upper, 1)
  return(c(supp, rest))

}

# Roll apply ARIMA(p,d,q) in rolling window

rollapplyr(data = tail(x, 800), width = 750, FUN = a.ari.fun)

This code returns me an error because of

return(c(supp, rest))

at the end of a.ari.fun() function I wrote; I'm sure about that because if a.ari.fun() returns just

return(rest)

it works fine.

How do I have to arrange the a.ari.fun() in order to obtain an object suitable to rollapplyr() ?

Answer 1

It looks like using by.column=FALSE will give what you request.

tail(rollapplyr(data = as.zoo(x), width = 750, FUN = a.ari.fun, by.column=FALSE))

2012-07-13 126.0730 145.8036
2012-07-20 126.1342 145.8616
2012-07-27 128.9303 148.6576
2012-08-03 129.7640 149.4975
2012-08-10 130.5752 150.2954
2012-08-17 132.3789 152.0963

If you have PerformanceAnalytics loaded rollapply.xts will be dispatched instead of rollapply.zoo. I edited to convert the object to zoo first to make sure the right rollapply is called.

EDIT:

Thanks to some patching from @JoshuaUlrich , this now works with rollapply.xts ,so you do not have to convert to zoo . Also, rollapply.xts is now registered in the xts package instead of PerformanceAnalytics , so you will get the same results regardless of whether or not PerformanceAnalytics is loaded. You'll need the under development version of xts -- Rev. 765 or later -- which is on R-Forge .

rollapplyr(x, 750, a.ari.fun, by.column=FALSE)