# Load necessary libraries
library(ggplot2)

# Create data in the right shape
data <- read.csv("your_data.csv")

Ret <- data[,-1]

# lookback period in number of days (rolling window)
lb.period <- 500
nRow <- nrow(Ret)
nCol <- ncol(Ret)
n <- nRow-lb.period

ar <- rep(0,n) # reserve space for daily absorption ratio
for(i in 1:n) {
  start <- i
  end <- i+lb.period-1
  ret <- Ret[start:end,]
  cov <- cov(ret)
  eigenval <- eigen(cov)$values
  sumeigenval <- sum(eigenval)
  abs <- eigenval[1:2]/sumeigenval # variance explained by 2 eigenvectors
  ar[i] <- ar[i]+abs # daily absorption ratio, out of sample period
}

ar_new <- c(rep(NA, lb.period), ar) # add NaN values at the start

# bring data together with new absorption ratio
results <- bind_cols(data, Absorption = ar_new)

# plot results
results %>% 
  ggplot(
    aes(
      x = NoDur, 
      y = Absorption
    )
  ) + 
  geom_line() + 
  theme_minimal() +
  labs(
    x = "", 
    y = "", 
    title = "Absorption Ratio over Time"
  )

# save the plot to a file
ggsave("absorption_ratio.png", width=10, height=6)