imom {ivol} | R Documentation |
Estimates ex-ante skewness and kurtosis from option implied volatilities over degrees of moneyness. Uses Gram-Chalier (19..) expansion.
imom(data, use_names = TRUE, moneyness)
data |
Time series of implied volatilities with columns of different moneyness. Either in matrix, |
use_names |
logical. FIXME |
moneyness |
Moneyness (in percent) of the data columns. |
imom
Estimates implied base-volatility, skewness and kurtosis. Can be used as risk-neutral moments.
Implied Volatility, Skewness and Kurtosis as time series of class ivol
## estimate implied Hurst exponent ## im <- ihurst(data = implied_volatilities, moneyness) ## summary(im)