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.
there is an ewma example in ?filter I think that might be more useful
because then you can see better
What's happening in terms of the smoothing. Actually, I just looked and
it's not there. It must have been in S+.
I include my ewma below but you have to modify it because it assumes a
zoo object. Of coure, The other
option you have is to look at the source code for the ewma function in
fMultvar.
ewma<-function(x,lambda = 1, init = (1-lambda)*.raw[good.ind][1]) {
# work with 'non-zoo' data for speed and then recombine
.raw <- unclass(coredata(x))
good.ind <- !is.na(.raw) # determine good values
.raw[good.ind] <- filter(lambda * .raw[good.ind], filter=(1-lambda),
method='recursive', init=coredata(init))
zoo(.raw, index(x)) # create zoo object for return
-----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 10:59 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
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.
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PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
--------------------------------------------------------
This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}
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: 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 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 at 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.