Code covered by the BSD License

varargout=ewmaestimatevar(P1,... % This function estimates value risk of portfolio by exponentially weighted
y=ewmacovariance(R1,R2,n,s,la... % implemented by ewmaestimatevar function
y=ewmavariance(R,n,s,lambda) % implemented by ewmaestimatevar function
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Estimation value at risk by using Exponentially Weighted Moving Averagege

19 Jul 2011 (Updated 28 Aug 2012)

Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average

File Information
Description	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).
MATLAB release	MATLAB 7.11 (R2010b)

Tags for This File
Everyone's Tags	ewma(2), exponentially weighted moving average, finance, statistics, value at risk, var
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Comments and Ratings (1)
14 Mar 2012	Yang Zhao	you mentioned that "cl" is confidence level vector, could you explain what's that mean?

Updates
28 Aug 2012	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)