ewmaMeanVol: EWMA Mean and Volatility
Description
Computes EWMA joint mean and vol, with options for
robust versus classic EWMA estimates.
Usage
ewmaMeanVol(
x,
nstart = 10,
robMean = T,
robVol = T,
cc = 2.5,
lambdaMean = 0.9,
lambdaVol = 0.9
)
Value
A bivarate xts object containing the ewmaMean and ewmaVol
Arguments
- x
An xts returns object
- nstart
Integer number of returns for initial ewma estimates
- robMean
Logical variable, if TRUE compute robust ewmaMean,
if FALSE compute classic classic ewmaMean. Default is TRUE
- robVol
Logical variable, if TRUE compute robust ewmaVol,
if FALSE compute classic ewmaVol. Default is TRUE.
- cc
Numeric value, robustness tuning constant. Default is 2.5
- lambdaMean
Numeric value, decay rate constant for ewmaMean
- lambdaVol
Numeric value, decay rate constant for ewmaVol