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)
| 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
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