imom {ivol} | R Documentation |
Estimates ex-ante skewness and kurtosis from option implied volatilities over degrees of moneyness. Uses Gram-Chalier expansion.
imom(data, moneyness=NULL)
data |
Time series of implied volatilities with columns of different moneyness. |
moneyness |
Degrees of moneyness (in percent) of the data columns. If not specified, moneyness is tried to be imported from |
imom
Estimates implied base-volatility, skewness and kurtosis. Can be used as risk-neutral moments. Methods summary
, plot
and print
are defined for objects of class ivol
.
imom
returns a list
object of class
"c(imom, ivol)
". List elements are as follows:
coefficients |
A matrix of estimated implied volatility, skewness, kurtosis plus goodness of fit (r2). |
residuals |
The residuals, that is response minus fitted values. |
method |
Underlying estimation method. Currently only " |
call |
The matched call. |
fitted.values |
Regression's fitted values |
# estimate implied Moments: library(ivol) data(otm) x <- imom(otm) summary(x) plot(x) coef(x)