Home
Solbiati Alessandro edited this page Jul 31, 2016
·
8 revisions
An implementation on R of the EWMA filter for volatility by RiskMetrics™ (JPMorgan & Reuters 1996) This software use RiskMetrics™ volatility model to compute the risk associated with and asset's return.
Website of the project https://solbiatialessandro.github.io
The project is mainly divided in two parts
- R-code : it's the core of the software, basically is the "computation" part
- Utility : it's the usage-oriented part of the software, includes all the utilities to make the computations happening
Here is a list of all the functions of the software
- R: calc_VaRnorm()
- R: calc_VaRnp()
- R: calc_VaRt()
- R: calc_Volatility()
- R: exe_backtesting()
- R: EWMA_RiskMetrics()
##Utility