DoubleDecay {ffp} | R Documentation |
Double-Decay Covariance Matrix
Description
This function computes the covariance matrix using two different decay factors.
Usage
DoubleDecay(x, decay_low, decay_high)
Arguments
x |
A set of relevant risk drivers. |
decay_low |
A |
decay_high |
A |
Details
A common practice is to estimate the covariance of the risk drivers using a high decay (short half-life) for the volatilities and a low decay (long half-life) for the correlations.
Value
A list
with the posterior mean ans sigma.
[Package ffp version 0.2.2 Index]