RiskMetrics (EWMA)

[David Harper CFA FRM]

Hi Sam,

I don't have experience in backtesting EWMA, sorry. Did you look at
http://www.riskmetrics.com/publications/working_papers/backtesting.html
(free with registration)

Re: tolerance, I just assumed is was ~ significance (e.g., only want to fall outside tolerance interval 1%) but maybe I shouldn't make that assumption about their specific use of tolerance...thanks, David

 

[[email protected]]

Hi Sam,

I'm doing a Master in Economics, and have a little paper to do about EWMA. Right now I'm "freezed" because, even after reading Chapter 5 of RiskMetrics to find de optimal lambda, I don't know how to compute it in Excel. I don't know if it is too much to ask if you can share your Excel file with us?
Thanks in advance.


Best Regards,
Nuno

 

[[email protected]]

Hi,

I think I already got to find the optimal lambda, but there is one question that remains. If I change the number of days from 734 to 1509, the optimal lambda changes from 82,47% to 99,86%. Am I doing something wrong??
I send my excel file with both situations.

Thanks,
Nuno