RM2006 {RM2006}

RiskMetrics 2006 Methodology

Description

Estimation of the conditional covariance matrix using the RiskMetrics 2006 methodology of Zumbach (2007).

Usage

RM2006(data, tau0, tau1, kmax,rho)

Arguments

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

Details

More details can be found in Zumbach (2007) and in the MFE Toolbox of Kevin Sheppard (function riskmetrics2006).

Value

The funcion returns an array containing for each t (t = 1, ..., T+1) a KxK matrix with the conditional covariance matrix estimates.

Author(s)

Carlos Trucios

References

Zumbach, G. (2007) The Riskmetrics 2006 Methodology. Available at SSRN: https://ssrn.com/abstract=1420185 or http://dx.doi.org/10.2139/ssrn.1420185

Examples

Data=matrix(rnorm(1000),nrow = 100, ncol = 10)
RM2006(Data)