HISTORICALRISK
Estimate expected risk, correlation matrix, or covariance matrix for assets using historical data.
Description
The following risk model estimates covariances based on equally-weighted historical observations.
Syntax
The following describes the function signature for use in Microsoft Excel's formula bar.
Input(s)
type
Required. Enumeration string to specify calculation type: "risk", "sigma", or "stdev" "correlation", "corr", or "rho", "covariance", "covar", or "cov"
assetReturns
Required. Time series or matrix of asset returns.
dataPeriodicity
Optional. Periodicity of the data, used for annualization. If you do not enter the argument, it defaults to 1. e.g. Daily = 255, Monthly = 12, Yearly = 1, Quarterly = 4.
Output(s)
Depending on the specified output type, the function will return the respective vector of risk estimates (annualized standard deviations), correlation matrix, or a covariance matrix.
Example
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