ewmaVol: Calculates the Exponential Weighted Moving Average volatilty

In helenristov/aCompiler: What the package does (short line)

Description

Calculates the Exponential Weighted Moving Average volatilty

Usage

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 May 3, 2019, 9:40 p.m.