[R] EWMA in fMultivar

davidr at rhotrading.com davidr at rhotrading.com
Tue Jul 3 17:53:26 CEST 2007

To calculate variance (assuming zero mean, as is usual), you would use
You will have to examine the code by typing EWMA to see what it's doing
and how to change it. The code is clear enough that you could make your
own version to achieve what you want.

David L. Reiner
Rho Trading Securities, LLC
550 W. Jackson Blvd #1000
Chicago, IL 60661-5704
312-244-4610 direct
312-244-4500 main
312-244-4501 fax

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of livia
Sent: Tuesday, July 03, 2007 9:59 AM
To: r-help at stat.math.ethz.ch
Subject: [R] EWMA in fMultivar

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

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
returns series. I was expecting there would be one less data points than
original data series, or are they one period lagged data?

Could anyone give me some advice? Many thanks

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