Estimation value at risk by using Exponentially Weighted Moving Averagege

버전 1.1.0.0 (11.7 KB) 작성자: Ali Najjar
Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average
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업데이트 날짜: 2012/8/28

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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).

인용 양식

Ali Najjar (2025). Estimation value at risk by using Exponentially Weighted Moving Averagege (https://kr.mathworks.com/matlabcentral/fileexchange/32251-estimation-value-at-risk-by-using-exponentially-weighted-moving-averagege), MATLAB Central File Exchange. 검색 날짜: .

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EWMA-Up20122808/

버전 게시됨 릴리스 정보
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