Description Usage Arguments Value
Get data in a specified periodicity and output is excess return and scaled excess return. Volatility is calculated using annualized exponential weighted average.
1 2 3 4 5 | Log_Period_Vol(listCoins = coinList.xts, listIndex = MSCI.xts,
period = c("days", "weeks", "months"), delta = 60/61,
annu = 365.25, dateRange = list(BitCoin = "2013/", BitCash =
"2017-08-01/", Ethereum = "2016-02-01/", Ripple = "2014-01-01/", Cum =
"2013/"))
|
listCoins |
List of cryptocurrencies in xts form with daily data frequency |
listIndex |
List of index for dayly weekly and monthly frequency |
period |
Periodicity of data. Can be "days", "weeks" or "months" |
delta |
Delta used for volatility. Theses are always calculated using data and then transformed |
annu |
Annualizing factor |
dateRange |
Range for the different cryptocurrencies for output. Also final name for each list |
List with cryptocurrencies each with
name excessReturn |
description Timeseries of excess return |
name exReVol |
description Timeseries with excess return scaled by annulaized volatility |
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