RiskMetrics applied to covariance
Posted: Mon Sep 06, 2010 2:38 pm
Hi all,
I'm rather new to Eviews and Im figuring out how to apply RiskMetrics/exponential smooting to past covariance between two assets. However, I dont seem to get what kind of covariance-data I should import in Eviews at which the ex.smoothing should be applied. Should this be covariance based on an expanding historical window?
LOTS of thanks in advance!
I'm rather new to Eviews and Im figuring out how to apply RiskMetrics/exponential smooting to past covariance between two assets. However, I dont seem to get what kind of covariance-data I should import in Eviews at which the ex.smoothing should be applied. Should this be covariance based on an expanding historical window?
LOTS of thanks in advance!