EWMA volatility (RiskMetrics 1996)

Usage

morie_ewma_volatility(x, lambda = 0.94)

Arguments

x: Numeric return series.
lambda: Decay factor in (0,1). Default 0.94 (daily RiskMetrics).

Value

Named list with conditional_variance, conditional_volatility, lambda, n, last_variance, last_volatility, method.

Examples

morie_ewma_volatility(x = rnorm(50))
#> $conditional_variance
#>  [1] 2.239893 2.239893 2.108493 2.222397 2.092002 1.968103 1.856655 1.754159
#>  [9] 1.766300 2.089897 1.975274 1.862107 1.943130 1.830233 1.724089 1.624560
#> [17] 1.718676 1.806656 1.884871 1.800312 1.764991 1.689723 1.591984 1.502601
#> [25] 1.523853 1.522884 1.447191 1.392439 1.308916 1.378815 1.325767 1.276974
#> [33] 1.213341 1.197450 1.144366 1.430768 1.351878 1.301270 1.249254 1.174378
#> [41] 1.256229 1.223981 1.355978 1.280904 1.207959 1.135704 1.108250 1.242630
#> [49] 1.290752 1.217182
#> 
#> $conditional_volatility
#>  [1] 1.496627 1.496627 1.452065 1.490770 1.446375 1.402891 1.362591 1.324447
#>  [9] 1.329022 1.445648 1.405444 1.364591 1.393962 1.352861 1.313046 1.274582
#> [17] 1.310983 1.344119 1.372906 1.341757 1.328530 1.299893 1.261739 1.225806
#> [25] 1.234444 1.234052 1.202993 1.180016 1.144079 1.174229 1.151419 1.130033
#> [33] 1.101518 1.094280 1.069751 1.196147 1.162703 1.140732 1.117700 1.083687
#> [41] 1.120816 1.106337 1.164465 1.131771 1.099072 1.065694 1.052735 1.114733
#> [49] 1.136113 1.103260
#> 
#> $lambda
#> [1] 0.94
#> 
#> $n
#> [1] 50
#> 
#> $last_variance
#> [1] 1.217182
#> 
#> $last_volatility
#> [1] 1.10326
#> 
#> $method
#> [1] "EWMA RiskMetrics"
#>