How to make vectors A1, A2,... A127. Rolling time window.

hey guys,

my problem is the following: i have a column vector (276x1)of S&P500 returns (276 monthly returns in total) and i need so to say 127 time windows (so 127 column vectors) with always a time frame of 150 months. So what i mean: The total time window is from Jan92 - Dec14, now i need a vector1 = Jan92 - Jun04; vector2 = Feb92 - Jul04, ...., vector127 = Jul02 - Dec14.

m = 150
returns=zeros(1,150)'
for k=1:127
    returns(k)=SP500(k:m+k-1,1) %SP500 is the column vector with all monthly returns
end

That doesnt work. Can anyone help me?

Thx in advance.

Answer 1

[TED MOSBY]

Hi @Markus,

It looks like you're trying to create a series of 127 time windows, each containing 150 monthly returns, based on the 276 monthly returns available in your S&P 500 return data (SP500). If you want each time window to shift by 1 month, starting from January 1992 to December 2014 you can simply loop over the indices from 1 to 127, and for each iteration, extract the corresponding 150 months from SP500. Have a look at an example code below:

% Assume SP500 is a column vector of size (276x1) 
SP500 = randn(276, 1); % Example data, replace with your actual data 
% Pre-allocate a matrix to store the 127 time windows 
returns = zeros(150, 127); % Each column is a 150-month window 
% Loop to create 127 time windows 
for k = 1:127 
    % Extract the 150 months for the k-th window 
    returns(:, k) = SP500(k:k+149); 
end 

Hope this helps!

Answer 2

[Walter Roberson]

If you have the Signal Processing Toolbox, you might as well use buffer()

https://www.mathworks.com/help/signal/ref/buffer.html

I always think that buffer() should be moved into MATLAB itself instead of the toolbox.