[R] EWMA in fMultivar
yn19832 at msn.com
Tue Jul 3 16:59:00 CEST 2007
Hello, I would like to use the function EWMA() in the fMultivar Package and I
have a series of data x, which is the returns series. Basically, I would
like to get the variance estimation using EWMA.
I am trying something like EWMA(x, lambda) and I have a couple of questions:
Should x be the returns series or price series in my case?
When I get the result, there are the same numbers of data points as in the
returns series. I was expecting there would be one less data points than the
original data series, or are they one period lagged data?
Could anyone give me some advice? Many thanks
View this message in context: http://www.nabble.com/EWMA-in-fMultivar-tf4018921.html#a11414114
Sent from the R help mailing list archive at Nabble.com.
More information about the R-help