ewmaVol: Calculates the Exponential Weighted Moving Average volatilty

Description Usage Arguments Author(s)

View source: R/ewmaVol.R

Description

Calculates the Exponential Weighted Moving Average volatilty

Usage

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ewmaVol(prices, dPeriod, lambda, UseLog = TRUE, .combine = FALSE,
  skipDiff = FALSE)

Arguments

prices

A price series on which you want to compute the EWMA volatility measure

UseLog

A boolean to determine if we should take the log of the price series. The series must all be positive to set UseLog = TRUE otherwise set to FALSE to use the differences method.

lamda

The exponential decay factor to be used as weights

Author(s)

Helena Ristov


helenristov/aCompiler documentation built on Nov. 16, 2018, 1:53 a.m.