Description Usage Arguments Details Author(s) Examples
Estimate lambda for EWMA volatility estimate
1 | estimateLambdaVol(R, initialWindow = 10, n = 10)
|
R |
xts object of asset returns |
initialWindow |
initial window of observations used in estimating the initial |
n |
number of periods used to calculate realized volatility |
The optimal value for lambda is calcualted by minimizing the mean squared error between the estimated volatility and realized volatility.
Ross Bennett
1 2 3 4 | data(crsp_weekly)
R <- largecap_weekly[, 1]
initialWindow <- 150
lambda <- estimateLambdaVol(R, initialWindow, n=10)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.