Re: [Gretl-users] Exponential Moving average function
On 29/06/12 08:57, Pankaj Jagota wrote:
Good Morning all!
I am trying to create a script for recursive EWMA (Exponential
Weighted Moving Average) volatilty estimation.
As I am not familiar with gretl syntax language I'm desparetly looking
for your help.
The problem is following:
1) First of all I need to identify the first observation of returns
series. I've tried to do this by appliying FirstObs function. But that
didn't work.
For example:
open data3-6.gdt
scalar fo = firstobs(Ct)
scalar lo = lastobs(Ct)
2) then I would like to replicate the ewma formula in order to get
the
variance of return series.
for that i've seen there is a MOVAVG function. I didn't find any
example of syntax in user's guide. How does this work?
This is explained in the Function Reference (Help/Function reference).
You may see it working in the Brown package
(File/Function files/on server...)
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ehu.es/ignacio.diaz-emparanza/
www.ea3.ehu.es
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