realizedCov: Realized Covariance
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Details
Value
Author(s)
Examples
Description
Calculate realized covariance
Usage
1
realizedCov(R, n)
Arguments
R
xts object of asset returns
n
number of periods used to calculate realized volatility
Details
Realized covariance is calculated using the previous n periods.
Value
xts object of realized covariance
Author(s)
Ross Bennett
Examples
1
2
3
4
5
data(crsp_weekly)
R <- largecap_weekly[, 1:2]
# Calculate realized covariance
realizedCovariance <- realizedCov(R, 10)
head(realizedCovariance)
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
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Description Usage Arguments Details Value Author(s) Examples
Description
Calculate realized covariance
Usage
1 | realizedCov(R, n)
|
Arguments
R |
xts object of asset returns |
n |
number of periods used to calculate realized volatility |
Details
Realized covariance is calculated using the previous n periods.
Value
xts object of realized covariance
Author(s)
Ross Bennett
Examples
1 2 3 4 5 | data(crsp_weekly)
R <- largecap_weekly[, 1:2]
# Calculate realized covariance
realizedCovariance <- realizedCov(R, 10)
head(realizedCovariance)
|
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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