| Type: | Package |
| Title: | RiskMetrics 2006 Methodology |
| Version: | 0.1.1 |
| Date: | 2020-11-08 |
| Author: | Carlos Trucios |
| Maintainer: | Carlos Trucios <ctrucios@gmail.com> |
| Description: | Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>. |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Packaged: | 2020-11-08 15:26:19 UTC; ctruciosm |
| Repository: | CRAN |
| Date/Publication: | 2020-11-08 15:40:02 UTC |
RiskMetrics 2006 Methodology
Description
Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>.
Author(s)
Carlos Trucios
Maintainer: Carlos Trucios <ctrucios@gmail.com>
References
Zumbach, G. (2007) The Riskmetrics 2006 methodology. Available at SSRN: https://ssrn.com/abstract=1420185 or http://dx.doi.org/10.2139/ssrn.1420185
RiskMetrics 2006 Methodology
Description
Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007).
Usage
RM2006(data, tau0, tau1, kmax,rho)
Arguments
data |
Matrix containing a TxK time series returns. |
tau0 |
optional input parameter. Default 1560 |
tau1 |
optional input parameter. Default 4 |
kmax |
optional input parameter. Default 14 |
rho |
optional input parameter. Default 1.4142 |
Details
More details can be found in Zumbach (2007) and in the MFE Toolbox of Kevin Sheppard (function riskmetrics2006).
Value
The funcion returns an array containing for each t (t = 1, ..., T+1) a KxK matrix with the conditional covariance matrix estimates.
Author(s)
Carlos Trucios
References
Zumbach, G. (2007) The Riskmetrics 2006 Methodology. Available at SSRN: https://ssrn.com/abstract=1420185 or http://dx.doi.org/10.2139/ssrn.1420185
Examples
Data=matrix(rnorm(1000),nrow = 100, ncol = 10)
RM2006(Data)