R: EWMA_RiskMetrics()

EWMA_RiskMetrics <- function(Serie,conf,usage,s_startdate,s_enddate,VaR)

---

##Description

EWMA_RiskMetrics main function: computes and tests all the processes of the EWMA Volatility and VaR estimations.

NOTE: The function return a matrix 'EWMA_result'. To obtain the p-value of the binomial test on the effectiviness of the computed Value at Risk use "as.numeric(EWMA_RiskMetrics(...)%p.value[1])"

---

##Functions required

• calc_Volatility() [calc_Volatility.R]
• calc_VaRnp() [calc_VaRnp.R ]
• calc_VaRnorm() [calc_VaRnorm.R ]
• calc_VaRt() [calc_VaRt.R ]
• exe_backtesting() [exe_backtesting.R]

##ARGUMENTS:

• Serie –> the time-serie object with financial data
• cons -> confidence level
• usage -> methods for the VaR calculation
• start_date -> start date for the statistical sample
• end_date -> end date for the statistical sample
• VaR -> TRUE/FALSE to compute VAR/ES