2
$\begingroup$

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

Improve this question
$\endgroup$
2
  • $\begingroup$ What sort of covariance matrix estimator do you wish to employ? $\endgroup$
    – Kian
    Nov 1, 2015 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, 2015 at 0:59

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.