Hi,
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>
]

[EWMA = matrix(nrow=T,ncol=3) # create a matrix to hold the covariance
matrix for each t


lambda = 0.94
S = cov(y)	# initial (t=1) covariance matrix
EWMA[1,] = c(S)[c(1,4,2)]# extract the variances and covariancefor (i
in 2:T){	# loop though the sample
	S = lambda * S  + (1-lambda) * t(y[i]) %*% y[i]	
	EWMA[i,] = c(S)[c(1,4,2)]	# convert matrix to vector	}
EWMArho = EWMA[,3]/sqrt(EWMA[,1]*EWMA[,2])	# calculate correlations	]



EWMA[1,]<-c(S)[c(1,7,13,19,25,5)] --I am taking all diagonal values and one
more value. ---Is it correct????

my returns matrix dim is  1x2496 and its transpose is 2496x1.
so the resultant matrix will be 1x1.
but we are adding it to lambda*S which is 5x5 matrix.----may be I am
getting error because of this. How to overcome this error? Pl help

Error in lambda * S + (1 - lambda) * t(as.matrix(returns[i])) %*%
(as.matrix(returns[i])) :
  non-conformable arrays

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