This is the function in plain text because it looked messy before:
VaRfun <- function(x, lambda = 0.94) {
#create data.frame and order returns such that the lates return is the first
df <- data.frame(weight = c(1:length(x)), return = rev(x))
K <- nrow(df)
constant <- (1-lambda)/(1-lambda^(K
)), FUN = VaRfun),
On Sat, May 27, 2017 at 5:29 PM, Sepp via R-help wrote:
> Hello,
> I am fairly new to R and trying to calculate value at risk with exponentially
> decreasing weights.My function works for a single vector of returns but does
> not work with rollapply(), which is wh
Hello,
I am fairly new to R and trying to calculate value at risk with exponentially
decreasing weights.My function works for a single vector of returns but does
not work with rollapply(), which is what I want to use. The function I am
working on should assig exponentially decreasing weights to
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