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.
