Quantnet :: Show

SFEVolaCov (R 2.13.1)

SFEVolaCov calculates the covariance matrix of first differences of the VDAX data.

Author:

Published in:

Submitted:

Mon, July 30 2012 by Dedy Dwi Prastyo

Usage:

-

Datafiles:

Sourcecode:

  rm(list=ls(all=TRUE))
  graphics.off()
x = read.table("implvola.dat")
x = x/100
n = nrow(x)
z = x[2:n,] - x[1:(n-1),]
s = cov(z)*100000
s