On 29/06/12 08:57, Pankaj Jagota wrote: > Good Morning all! > I am trying to create a script for recursive EWMA (Exponential > Weighted Moving Average) volatilty estimation. > As I am not familiar with gretl syntax language I'm desparetly looking > for your help. > The problem is following: > 1) First of all I need to identify the first observation of returns > series. I've tried to do this by appliying FirstObs function. But that > didn't work.
For example: open data3-6.gdt scalar fo = firstobs(Ct) scalar lo = lastobs(Ct) > 2) then I would like to replicate the ewma formula in order to get the > variance of return series. > for that i've seen there is a MOVAVG function. I didn't find any > example of syntax in user's guide. How does this work? This is explained in the Function Reference (Help/Function reference). You may see it working in the Brown package (File/Function files/on server...) -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO T.: +34 946013732 | F.: +34 946013754 www.ehu.es/ignacio.diaz-emparanza/ www.ea3.ehu.es
On 29/06/12 08:57, Pankaj Jagota wrote:
For example: open data3-6.gdt scalar fo = firstobs(Ct) scalar lo = lastobs(Ct)
This is explained in the Function Reference (Help/Function reference). You may see it working in the Brown package (File/Function files/on server...) -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO T.: +34 946013732 | F.: +34 946013754 www.ehu.es/ignacio.diaz-emparanza/ www.ea3.ehu.es |