Description Usage Arguments Details Value Author(s) Examples
Compute RiskMetrics type EWMA volatility estimator for a vector of returns.
1 2 |
r |
any univariate data object that can be coerced to an xts object |
lambda |
Scalar exponential decay parameter. Must be between 0 and 1. If |
half.life |
Scalar half-life defined as time lag at which the exponential weights decay by
one half. If |
overlap |
Integer value giving the aggregation period for overlapping returns. For example,
if |
demean |
Character string indicating the method used to de-mean the returns. Valid choices
are initiated with the sample variance for returns. |
The EWMA variance estimator satisfies the recursion s(t)^2 = lambda*r(t-1)^2 + (1-lambda)*s(t-1)^2 where r(t) is the (continuously compounded) return and lambda is the exponential decay parameter. The recursion is typically
An object of class "ewmaVol"
for which there are print
, plot
, and
predict
methods, and extractor functions fitted
and residuals
.
An object of class ewmaVol
is a list with the following components:
returns
xts
vector of returns
sigma
xts
vector of EWMA volatility estimates
overlap
scalar overlap value
call
function call
lambda
scalar exponential decay value
half.life
scalar half-life value
Eric Zivot
1 2 3 4 | ## Not run:
ewmavol(r)
## End(Not run)
|
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