Estimation value at risk by using exponentially weighted moving averagege in matlab

The following Matlab project contains the source code and Matlab examples used for estimation value at risk by using exponentially weighted moving averagege. This file contains three m-file which estimates the Value at Risk (VaR) of portfolio composed of two stocks prices by using Exponentially Weighted Moving Average.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
ewmacovariance.m 261
ewmaestimatevar.m 2882
ewmavariance.m 237
P1.mat 4244
P2.mat 4638
license.txt 1310