how to create a loop for rolling window returns?

Hi to all,

I do not know the MATLAB environment well, I wanted to ask if someone could tell me how to create a loop with the sample - out sample method. I would like to find the mean and the covariance of returns, as follows:

returns = rand(2013, 30);

I would like to find the mean from 1 to 500, from 21 to 521, etc.

I'll explain better: M1 = mean of RR 1->500; M2 = mean of RR 21->521; M3 = mean of RR 41->541; ...

With a step of 20 positions.I tried to follow these examples but I could not:

https://it.mathworks.com/matlabcentral/answers/304309-moving-window-to-create-rolling-covariance-matrix

https://it.mathworks.com/matlabcentral/answers/247677-how-to-calculate-moving-covariance-in-a-matrix

Thanks for your help.

Answer 1

[Geoff Hayes]

Giorgio - rather than dynamically creating variables (never a good idea, see TUTORIAL: Why Variables Should Not Be Named Dynamically (eval)) consider using arrayfun to create a cell array of means. For example,

 n = 2013;
 m = 500;
 returns = rand(n, 30);
 returnsMeans = arrayfun(@(k)mean(returns(k:m+k-1,:)),1:20:(n-m+1),'UniformOutput',false);

The above should return the means for 76 blocks of size 500. You can probably do something similar using cov.

[Giorgio Proietti]

That's true! Thank you so much!

[BISWA BHUYAN]

Sir, I wish to apply above code (returnsMeans = arrayfun(@(k)mean(returns(k:m+k-1,:)),1:20:(n-m+1),'UniformOutput',false); )to multiple column, then how can i modify the code? Please suggest

[Geoff Hayes]

Answered at https://www.mathworks.com/matlabcentral/answers/487894-how-to-apply-arrayfun-for-multiple-column