?? expvol.m
字號:
function h=ExpVol(asset,lambda)
% The RiskMetrics approach to volatility measurement using exponential
% forecast
% asset is array of asset prices (generally daily close)
% Calculate asset return
N=size(asset,1);
r=log(asset(2:N)./asset(1:N-1));
h(1)=(1-lambda)*r(1)^2;
for i=2:N-1
h(i) = lambda*h(i-1)+(1-lambda)*r(i)^2;
end
?? 快捷鍵說明
復(fù)制代碼
Ctrl + C
搜索代碼
Ctrl + F
全屏模式
F11
切換主題
Ctrl + Shift + D
顯示快捷鍵
?
增大字號
Ctrl + =
減小字號
Ctrl + -