estimateLambdaCov: Estimated Lambda

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Estimate lambda for EWMA covariance estimate

Usage

estimateLambdaCov(R, initialWindow = 10, n = 10)

Arguments

R	xts object of asset returns
initialWindow	initial window of observations used in estimating the initial
n	number of periods used to calculate realized covariance

Details

The optimal value for lambda is calcualted by minimizing the mean squared error between the estimated covariance and realized covariance.

Author(s)

Ross Bennett

Examples

data(crsp_weekly)
R <- largecap_weekly[, 1:2]
initialWindow <- 150
lambda <- estimateLambdaCov(R, initialWindow, n=10)

GARPFRM documentation built on May 2, 2019, 5:45 p.m.