ewma | R Documentation |

Estimates volatility of a return series by means of an exponentially weighted moving average.

ewma(x, lambda = 0.94)

`x` |
a numeric vector of asset returns |

`lambda` |
decay factor for the calculation of weights; default is |

Returns a numerical vector `vol`

that contains the computed
volatility.

prices <- DAX$price.close returns <- diff(log(prices)) date <- DAX$ref.date[-1] cvar <- ewma(x = returns, lambda = 0.94) csig <- sqrt(cvar) plot(date, csig, type = 'l', main = 'conditional standard deviations for the DAX30 return series')

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