imom {ivol}R Documentation

Implied Moments

Description

Estimates ex-ante skewness and kurtosis from option implied volatilities over degrees of moneyness. Uses Gram-Chalier (19..) expansion.

Usage

imom(data, use_names = TRUE, moneyness)

Arguments

data

Time series of implied volatilities with columns of different moneyness. Either in matrix, data.frame or xts format.

use_names

logical. FIXME

moneyness

Moneyness (in percent) of the data columns.

Details

imom Estimates implied base-volatility, skewness and kurtosis. Can be used as risk-neutral moments.

Value

Implied Volatility, Skewness and Kurtosis as time series of class ivol

See Also

ihurst

Examples

## estimate implied Hurst exponent
## im <- ihurst(data = implied_volatilities, moneyness)
## summary(im)

[Package ivol version 0.0-1 Index]