To calculate variance (assuming zero mean, as is usual), you would use returns^2. 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. HTH,
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: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of livia Sent: Tuesday, July 03, 2007 9:59 AM To: r-help@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 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. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
