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i got a few requests for riskmetrics
so instead of sending i file i give you the
link to where you can download them.
http://fin.bwl.uni-mainz.de/riskmetrics.htm
riskmetrics is an attempt JP's attempt
at normalizing risk measure which became
the dominating risk measure methodology
JP developed in the nineties and then spun
of the company that now handles the
software.
http://www.riskmetrics.com
JP made algorithm available
to anyone for free with hope of gathering
everybody under that same wing and it worked.
FED now supports this methodology.
this is not a risk "prediction" model like garch but a
risk measurement model.
it is based on the assumption that std EMA is better
measure of risk that arithmetic average :-) it is said
to be more adaptive to changing market conditions :-)
the real reason the methodology was developed is
to get everybody to use computationally simple
model and promote riskgrade normalized risk measure.
risk grade is simply annualized normalized measure of
risk from 0 to1000 with 100 being the default value
with which you can compare different instruments for
risk measure. you can also do porfolio risk measurement.
i concur and submit. it's a good simple thing.
enjoy.
bilo.
ps. for the TS users, i will try to post some simple code
in form of a toolbox to www.traders2traders.com
where you can play with that simple risk model.
but in a nutshell it's std around ema, that's about it :-)
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