Hello,
1) In the provided example, you have 2 stock returns and
> EWMA = matrix(nrow=T, ncol=3)
See the number of columns (2+1)
Please modify the number of columns according to the number of stock
returns.
2) As you have 5 stock returns, the following cannot work
> EWMA[1,] = c(S)[c(1,4,2)]
You have to modify this part too.
3) Do the same modification within the loop.
Regards,
Pascal
2013/7/18 G Girija <girija...@gmail.com>
> hi,
>
> Could anyone help me in solving the following error:
> I have 5 stocks returns data (returns)
>
> EWMA = matrix(nrow=T,ncol=5) # create a matrix to hold the
> covariance matrix for each t
>
> lambda = 0.94
> S<-cov(returns) # initial (t=1)
> covariance matrix
> EWMA[1,] = c(S)[c(1,4,2)] ---ERROR # extract the
> variances and covariancefor (i in 2:T)
>
> { # loop though the sample
> S<- lambda*S+(1-lambda)*t(returns[i])%*%returns[i]
> EWMA[i,] = c(S)[c(1,4,2)] # convert matrix to vector
> }
>
> *ERROR as follows:*
>
> *> EWMA[1,]<-c(S)[c(1,4,2)]*
> *Error in EWMA[1, ] <- c(S)[c(1, 4, 2)] : *
> * number of items to replace is not a multiple of replacement length*
>
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>
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