Estimation value at risk by using Exponentially Weighted Moving Averagege

Version 1.1.0.0 (11.7 KB) by Ali Najjar
Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average
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Updated 28 Aug 2012

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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).

Cite As

Ali Najjar (2024). Estimation value at risk by using Exponentially Weighted Moving Averagege (https://www.mathworks.com/matlabcentral/fileexchange/32251-estimation-value-at-risk-by-using-exponentially-weighted-moving-averagege), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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EWMA-Up20122808/

Version Published Release Notes
1.1.0.0

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)
1.0.0.0