搜索资源列表
ga01
- 遺傳基因演算法二元編碼，可以產生出初始母體，使用於EWMA控制系統
B_ewma
- 单输入单输出，变增益的EWMA算法，MATLAB仿真代码-Single-input single-output, variable gain the EWMA algorithm, MATLAB simulation code
average
- Exponentially Weighted Moving Average (EWMA).
average
- Exponentially Weighted Moving Average (EWMA).
meisam
- create VaR and cupiec,chiristoffersen for VaR-GARCH ,VaR-Gjr ,VaR-moving average , VaR-EWMA
usefultool
- 计算协方差提供了便利，特别是考虑了半衰期；同时提供了一些其他常用的计算工具，例如decayma ewma等移动平滑计算；(It is convenient to calculate covariance, especially considering half-life. Some other common computing tools, such as decayma ewma and other mobile smoothing calculations, are also provide
VaR-EWMA& Historical simulation
- 用EWMA（garch（1，1））模型进行计算，rolling window的形式(use the method of rolling window size equals to 250, adopt EWMA model which also calls Garch(1,1) to calculate the Value at Risk)