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Pascal
2013/7/18 G Girija
> Hi,
>
> Many thanks for your hint. Yes I made a mistake there.
>
> Also could you *please* help me in rectifying the following also?
>
> I am not able to extract variance and covariance
>
> As m
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)]
Y
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)
covarian
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