Hi All,
I have 5 stock values and i am calculating EWMA
followed the logic as given ind following link.[
http://www.orecastingfinancialrisk.com/3.html<http://www.forecastingfinancialrisk.com/3.html>
]
library('tseries')
returns[,1]<-returns[,1]-mean(returns[,1])
returns[,2]<-returns[,2]-mean(returns[,2])
returns[,3]<-returns[,3]-mean(returns[,3])
returns[,4]<-returns[,4]-mean(returns[,4])
returns[,5]<-returns[,5]-mean(returns[,5])
T<-length(returns[,1])
T
EWMA<-matrix(nrow=T,ncol=5)
lambda=0.94
S<-cov(returns)
S
EWMA[1,] <- S[lower.tri(S,diag=TRUE)]
*Error in EWMA[1, ] <- S[lower.tri(S, diag = TRUE)] : *
* number of items to replace is not a multiple of replacement length*
*
*
for(i in 2:T)
{
S<- lambda*S +(1-lambda)*t(returns[i])%*% returns[i]
EWMA[i,] <- S[lower.tri(S,diag=TRUE)]
}
*
*
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