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  1. Functions
  2. Risk Models

HISTORICALRISK

Estimate expected risk, correlation matrix, or covariance matrix for assets using historical data.

PreviousEWMANextMLERISK

Last updated 3 years ago

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.

=HISTORICALRISK(type, assetReturns, dataPeriodicity)

Input(s)

Argument
Description

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

60KB
HISTORICALRISK.xlsx
Example Workbook: HISTORICALRISK