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Is there an R package which can estimate a covariance matrix using OHLC (Open/High/Low/Close) share prices for upwards of 40 shares using the Yang & Zhang method using daily data? I google searched and have yet to find anything to this extent.

I am aware that the package 'TTR' can estimate volatility using this method (and several others).

If there is not a package which can create a covariance matrix using OHLC prices, is it possible to create a covariance matrix from the volatility estimates using the TTR package?

Best,

Alex

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  • $\begingroup$ What sort of covariance matrix estimator do you wish to employ? $\endgroup$ – Kian Nov 1 '15 at 22:37
  • $\begingroup$ I thought Yang & Zhang was a volatility estimator for 1 security, not for covariance of 40 securities. Am I wrong? $\endgroup$ – Alex C Nov 2 '15 at 0:59

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