[R-SIG-Finance] Riskmetrics volatility and correlation estimation

[elton wang]

cut it short,
yon can check emaTA() in fTrading. then it is
straightforward.


--- "Brian G. Peterson" <brian at braverock.com> wrote:

> Murali Menon wrote:
> > Are there functions available to compute the
> Riskmetrics (1996) 
> > volatilities and correlations for financial
> time-series? 
>  > I refer to the exponentially weighted moving
> average vols
>  > and exponentially smoothed correlations (with
> lambda = 0.94).
>  > I looked in the VarModelling part of fPortfolio,
> but this
>  > stuff doesn't seem to be there?
> 
> Not that I know of, but they shouldn't be too hard
> to construct.
> 
> So, if you want help constructing them from this
> group:
> 
> 1> post the link to the RiskMetrics algorithms
> 
> 2> do a little research on Google and the list
> archives
> 
> There have been several examples posted of
> exponentially weighted moving 
> averages in R which should go a long way toward
> solving the volatility 
> question above, for example.
> 
> R contains many different smoothing algorithms, as
> you can see with 
> help.search("smooth") or help.search("smoothing")
> 
> 3> suggest an approach, try an approach, post your
> failures
> 
> and I'm sure someone here can probably help you out.
> 
> Another interesting (to me anyway) question is "Why
> do you care?"  What 
> in the literature leads you to want to try these
> techniques?  Are you 
> just trying to replicate a set of RiskMetrics
> algorithms in R?  Have you 
> looked at other research on smoothing and rolling
> windows?  I ask this 
> trailing set of questions because often when I go
> looking in the 
> literature, I find that there are several newer
> techniques which have 
> been shown to work better than the older methods. 
> Sometimes these newer 
> techniques are already implemented in R, other times
> I have to do it 
> (but at least I'm then implementing a more modern
> approach).
> 
> Regards,
> 
>    - Brian
> 
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