Hi,
I'm trying to stimate the power ewma volatility (Guermat and Harris, 2002).
I would like to use it for VaR stimation.
The difference of "Ewma" and "power Ewma" is that the latter assumes
Generalized error distribution (GED). The power Ewma estimator is based on
the maximum likehood of the variance of exponential power distribution.
Conditional on the power parameter (omega), calculated from the probability
density function of GED, the maximum estimator of the standard deviation of
power exponential distribution is:

sigma(t+1)^omega= lambda*sigma(t)^omega+(1-lambda)*g(omega)*abs(Rt)^k.

where K=kurtosis e g(omega)=omega*standar gamma
function(3/omega)^(omega/2)*standard gamma function(1/omega)^-omega/2
If anybody knows how to solve it with R or the existance of some package..
Thanks a lot
Jo

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