Rolling regression xts object in R

Question

I am attempting to perform a rolling 100 day regression on an xts object and return the t statistic of the slope coefficient for all dates. I have an xts object, prices:

Answer 1

Your rollapply call should call a function that returns the t-values. Right now it returns a lm object, which is not a valid value for the coredata of a zoo object.

Make your function only return the t-values and it will work.

library(quantmod)
getSymbols("SPY;IEF")
x <- merge(Cl(SPY),Cl(IEF))
f <- function (x) {
  res <- coef(summary(lm(x ~ time(x))))
  sapply(res, "[" ,"(Intercept)"  ,"t value")
}
r <- rollapplyr(x, 100, f, by.column=FALSE)