Estimation value at risk by using Exponentially Weighted Moving Averagege

Versione 1.1.0.0 (11,7 KB) da Ali Najjar
Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average
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Aggiornato 28 ago 2012

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This file contains three m-file which estimates the Value at Risk (VaR) of portfolio composed of two stocks prices by using Exponentially Weighted Moving Average.
the main function is 'ewmaestimatevar'. For estimating VaR you should use this function. This function also sketch related diagrams at give confidence levels (two confidence levels).

Cita come

Ali Najjar (2024). Estimation value at risk by using Exponentially Weighted Moving Averagege (https://www.mathworks.com/matlabcentral/fileexchange/32251-estimation-value-at-risk-by-using-exponentially-weighted-moving-averagege), MATLAB Central File Exchange. Recuperato .

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Creato con R2010b
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EWMA-Up20122808/

Versione Pubblicato Note della release
1.1.0.0

This update contains example of ewmaestimatevar()Arguments, P1, P2.
Just move P1 and P2 into Workspace and for example Run following command:
[VaR violation RP]=ewmaestimatevar(P1,P2,1000,.94,[.95;.99],.5)
1.0.0.0