ewmaMeanVol: EWMA Mean and Volatility

In PCRA: Companion to Portfolio Construction and Risk Analysis

EWMA Mean and Volatility

Description

Computes EWMA joint mean and vol, with options for robust versus classic EWMA estimates.

Usage

ewmaMeanVol(
  x,
  nstart = 10,
  robMean = T,
  robVol = T,
  cc = 2.5,
  lambdaMean = 0.9,
  lambdaVol = 0.9
)

Arguments

x	An xts returns object
nstart	Integer number of returns for initial ewma estimates
robMean	Logical variable, if TRUE compute robust ewmaMean, if FALSE compute classic classic ewmaMean. Default is TRUE
robVol	Logical variable, if TRUE compute robust ewmaVol, if FALSE compute classic ewmaVol. Default is TRUE.
cc	Numeric value, robustness tuning constant. Default is 2.5
lambdaMean	Numeric value, decay rate constant for ewmaMean
lambdaVol	Numeric value, decay rate constant for ewmaVol

Value

A bivarate xts object containing the ewmaMean and ewmaVol

Examples

args(ewmaMeanVol)

PCRA documentation built on July 15, 2026, 9:06 a.m.