ewmaVol: Exponential Weighted Moving Average (EWMA) Volitility
In kecoli/PCRM: Companion to Portfolio Construction and Risk Management
ewmaVol R Documentation
Exponential Weighted Moving Average (EWMA) Volitility
Description
Exponential Weighted Moving Average (EWMA) Volitility
Usage
ewmaVol(x, nstart = 10, robVol = T, cc = 2.5, lambda = 0.9)
Arguments
x
returns of the portfolio
nstart
robVol
if the robust vol is used, default is T
cc
lambda
kecoli/PCRM documentation built on May 7, 2022, 9:33 a.m.
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| ewmaVol | R Documentation |
Exponential Weighted Moving Average (EWMA) Volitility
Description
Exponential Weighted Moving Average (EWMA) Volitility
Usage
ewmaVol(x, nstart = 10, robVol = T, cc = 2.5, lambda = 0.9)
Arguments
x |
returns of the portfolio |
nstart |
|
robVol |
if the robust vol is used, default is T |
cc |
|
lambda |
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.
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