New answers tagged performanceanalytics
You can pass in the parameters are you estimating with EWMA or GARCH using the mu (mean), sigma (co/variance) m3 (co/skewness) and m4(co/kurtosis) arguments. e.g. blahblah = EWMA(my_time_series) VaR(my_time_series,mu=blahblah)
I think the model you are presenting is trying to capture the pro-forma performance of a collection of stocks. However, it is not that 'flexible' and is accurate if: You are fully invested throughout the time window you are considering You do not place new trades during this time window A portfolio value is simply the sum of your assets, so at time $t$ ...
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