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Dynamic EWMA Covariance & Correlation

Multivariate exponentially weighted covariance engine with current covariance, correlation, volatility and a bounded covariance-path tail for dynamic risk monitoring.

Model keylq.risk.dynamic-ewma-covariance
Version1.0.0
Runtimepython-process
Run governed modelTry browser demo
Model contract

Inputs are explicit.

{
    "type": "object",
    "required": [
        "returns"
    ],
    "properties": {
        "returns": {
            "type": "array",
            "minItems": 20
        }
    }
}
Output contract

Outputs are explicit.

{
    "type": "object",
    "required": [
        "latest_covariance",
        "latest_correlation",
        "latest_volatility",
        "annualized_volatility",
        "assets"
    ]
}
Default parameters
{
    "decay": 0.939999999999999946709294817992486059665679931640625,
    "periods_per_year": 252,
    "demean": true,
    "path_tail": 20
}
Example input
{
    "returns": [
        [
            0.01000000000000000020816681711721685132943093776702880859375,
            0.005000000000000000104083408558608425664715468883514404296875
        ],
        [
            -0.008000000000000000166533453693773481063544750213623046875,
            -0.0040000000000000000832667268468867405317723751068115234375
        ],
        [
            0.0120000000000000002498001805406602215953171253204345703125,
            0.00600000000000000012490009027033011079765856266021728515625
        ],
        [
            -0.00600000000000000012490009027033011079765856266021728515625,
            -0.003000000000000000062450045135165055398829281330108642578125
        ],
        [
            0.00899999999999999931998839741709161899052560329437255859375,
            0.0040000000000000000832667268468867405317723751068115234375
        ],
        [
            0.01400000000000000029143354396410359186120331287384033203125,
            0.00899999999999999931998839741709161899052560329437255859375
        ],
        [
            -0.0109999999999999993616217608405349892564117908477783203125,
            -0.008000000000000000166533453693773481063544750213623046875
        ],
        [
            0.008000000000000000166533453693773481063544750213623046875,
            0.00600000000000000012490009027033011079765856266021728515625
        ],
        [
            -0.005000000000000000104083408558608425664715468883514404296875,
            -0.00200000000000000004163336342344337026588618755340576171875
        ],
        [
            0.01000000000000000020816681711721685132943093776702880859375,
            0.007000000000000000145716771982051795930601656436920166015625
        ],
        [
            0.00600000000000000012490009027033011079765856266021728515625,
            0.0040000000000000000832667268468867405317723751068115234375
        ],
        [
            -0.00899999999999999931998839741709161899052560329437255859375,
            -0.00600000000000000012490009027033011079765856266021728515625
        ],
        [
            0.01299999999999999940325512426397835952229797840118408203125,
            0.008000000000000000166533453693773481063544750213623046875
        ],
        [
            -0.007000000000000000145716771982051795930601656436920166015625,
            -0.0040000000000000000832667268468867405317723751068115234375
        ],
        [
            0.0109999999999999993616217608405349892564117908477783203125,
            0.00600000000000000012490009027033011079765856266021728515625
        ],
        [
            0.0040000000000000000832667268468867405317723751068115234375,
            0.003000000000000000062450045135165055398829281330108642578125
        ],
        [
            -0.00600000000000000012490009027033011079765856266021728515625,
            -0.005000000000000000104083408558608425664715468883514404296875
        ],
        [
            0.00899999999999999931998839741709161899052560329437255859375,
            0.005000000000000000104083408558608425664715468883514404296875
        ],
        [
            0.0120000000000000002498001805406602215953171253204345703125,
            0.008000000000000000166533453693773481063544750213623046875
        ],
        [
            -0.01000000000000000020816681711721685132943093776702880859375,
            -0.007000000000000000145716771982051795930601656436920166015625
        ],
        [
            0.007000000000000000145716771982051795930601656436920166015625,
            0.0040000000000000000832667268468867405317723751068115234375
        ],
        [
            0.005000000000000000104083408558608425664715468883514404296875,
            0.003000000000000000062450045135165055398829281330108642578125
        ],
        [
            -0.008000000000000000166533453693773481063544750213623046875,
            -0.005000000000000000104083408558608425664715468883514404296875
        ],
        [
            0.0109999999999999993616217608405349892564117908477783203125,
            0.007000000000000000145716771982051795930601656436920166015625
        ]
    ]
}
Capabilities
cpuriskcovariancecorrelationmultivariatetime-series
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