ewmaMeanVol: Exponential Weighted Moving Average (EWMA) Mean Volitility
In kecoli/PCRM: Companion to Portfolio Construction and Risk Management

ewmaMeanVol

R Documentation

Exponential Weighted Moving Average (EWMA) Mean Volitility

Description

Exponential Weighted Moving Average (EWMA) Mean Volitility

Usage

ewmaMeanVol(
  x,
  nstart = 10,
  robMean = T,
  robVol = T,
  cc = 2.5,
  lambdaMean = 0.9,
  lambdaVol = 0.9,
  Dyn = F,
  lambdaMeanDyn = 0.7,
  lambdaVolDyn = 0.7
)

Arguments

`x`	returns of the portfolio
`nstart`
`robMean`	if the robust mean is used, default is T
`robVol`	if the robust vol is used, default is T
`cc`
`lambdaMean`
`lambdaVol`
`Dyn`
`lambdaMeanDyn`
`lambdaVolDyn`