sigmaEst: sigmaEst computes a EW estimate of volatility

In kecoli/PCRM: Companion to Portfolio Construction and Risk Management

sigmaEst computes a EW estimate of volatility

Description

sigmaEst computes a EW estimate of volatility

Usage

sigmaEst(r, mu0, sigma0, win_level = 4, lambda_in = 0.9, lambda_out = 0.8)

Arguments

r	Current period return
mu0	Prior period mean return (often set to 0 in finance as market efficiency diminishes the mean)
sigma0	Prior period estimated volatility. If unavailable (e.g. in the first period), sigma0 = 0
win_level	Number of standard deviations at which we winsorize (default: 4)
lambda_in	EW constant when the data seems consistent with the current estimate of volatility (default: 0.9)
lambda_out	EW constant when the data seems inconsistent with the current estimate of volatility (default: 0.8)

kecoli/PCRM documentation built on May 7, 2022, 9:33 a.m.