[R-SIG-Finance] EWMA and MA to calculate Value at Risk

[kyan]

Hi guys,

I am currently new to R and am trying to forecast Value at Risk (VaR) using
the simple moving average (MA) and EWMA. Can anyone provide me with a code
to do this? I have already acquired my data and calculated the returns. It
is a portfolio consisting of 4 assets (stock markets) with weight 0.25 each.

Also, i am trying to forecast VaR on previous dates, specifically, from
1/1/07 to 31/12/07 and compare it to the actual results. I would appreciate
it if you guys can help me out with the coding as i am confused with using
either the rolling apply/sapply function for this. 

Thanks alot in advance! 



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