expweightcov {factorstochvol}

Computes the empirical exponentially weighted covariance matrix

Description

A common way to get estimates for time-varying covariance matrices is the compute the exponentially weighted empirical covariance matrix.

Usage

expweightcov(dat, alpha = 4/126, hist = 180)

Arguments

dat

Matrix containing the data, with n rows (points in time) and m columns (component series).

alpha

Speed of decay.

hist

How far to go back in time?

Value

A m times m covariance matrix estimate.