EWMA_vol: TODO: Filtered Historical Simulation (pg. 69 4.4.3)...
In dandermotj/mmr: Measuring Market Risk
Description
Usage
Arguments
Value
Description
Estimate volatilities of time series of returns using an EWMA
Usage
1
EWMA_vol(x, decay = 0.85)
Arguments
x
P/L data
decay
decay factor (0 < x < 1)
Value
EWMA volatilities (numeric)
dandermotj/mmr documentation built on June 4, 2019, 9:26 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value
Description
Estimate volatilities of time series of returns using an EWMA
Usage
1 | EWMA_vol(x, decay = 0.85)
|
Arguments
x |
P/L data |
decay |
decay factor (0 < x < 1) |
Value
EWMA volatilities (numeric)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.