| Title: | RiskMetrics 2006 Methodology |
|---|---|
| Description: | Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>. |
| Authors: | Carlos Trucios |
| Maintainer: | Carlos Trucios <[email protected]> |
| License: | GPL (>= 2) |
| Version: | 0.1.1 |
| Built: | 2025-02-19 04:43:31 UTC |
| Source: | https://github.com/ctruciosm/rm2006 |
Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007) <doi:10.2139/ssrn.1420185>.
Carlos Trucios
Maintainer: Carlos Trucios <[email protected]>
Zumbach, G. (2007) The Riskmetrics 2006 methodology. Available at SSRN: https://ssrn.com/abstract=1420185 or http://dx.doi.org/10.2139/ssrn.1420185
Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007).
RM2006(data, tau0, tau1, kmax,rho)RM2006(data, tau0, tau1, kmax,rho)
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 |
More details can be found in Zumbach (2007) and in the MFE Toolbox of Kevin Sheppard (function riskmetrics2006).
The funcion returns an array containing for each t (t = 1, ..., T+1) a KxK matrix with the conditional covariance matrix estimates.
Carlos Trucios
Zumbach, G. (2007) The Riskmetrics 2006 Methodology. Available at SSRN: https://ssrn.com/abstract=1420185 or http://dx.doi.org/10.2139/ssrn.1420185
Data=matrix(rnorm(1000),nrow = 100, ncol = 10) RM2006(Data)Data=matrix(rnorm(1000),nrow = 100, ncol = 10) RM2006(Data)