Hello all,
I am new to r as well as wavlets. The following is a times series from a
bond portfolio I have uploaded from a text file.
Bond1 <- scan("C:.../UploadR2.txt")
I am trying to decompose the portfolio return using wavelets. My goal is to
find out the wavlet variance and average at each scale to then input into a
Sharpe Ratio calculation to see what investment horizons are important
contributors to the time series variance
I used the following:
Bond1.returns <- ts(Bond1)
Bond1.volatility <- abs(Bond1.returns)
## Haar
Bond1v.haar <- mra(Bond1.volatility, "haar", 4, "dwt")
names(Bond1v.haar) <- c("d1", "d2", "d3",
"d4", "s4")
## LA(8)
Bond1v.la8 <- mra(Bond1.volatility, "la8", 4, "dwt")
names(Bond1v.la8) <- c("d1", "d2", "d3",
"d4", "s4")
How do I interpret the output?
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