Riskmetrics volatility and correlation estimation

Murali Menon wrote:

Are there functions available to compute the

Riskmetrics (1996) 

volatilities and correlations for financial

time-series? 

 > I refer to the exponentially weighted moving

average vols

 > and exponentially smoothed correlations (with

lambda = 0.94).

 > I looked in the VarModelling part of fPortfolio,

but this

 > stuff doesn't seem to be there?

Not that I know of, but they shouldn't be too hard
to construct.

So, if you want help constructing them from this
group:

1> post the link to the RiskMetrics algorithms

2> do a little research on Google and the list
archives

There have been several examples posted of
exponentially weighted moving 
averages in R which should go a long way toward
solving the volatility 
question above, for example.

R contains many different smoothing algorithms, as
you can see with 
help.search("smooth") or help.search("smoothing")

3> suggest an approach, try an approach, post your
failures

and I'm sure someone here can probably help you out.

Another interesting (to me anyway) question is "Why
do you care?"  What 
in the literature leads you to want to try these
techniques?  Are you 
just trying to replicate a set of RiskMetrics
algorithms in R?  Have you 
looked at other research on smoothing and rolling
windows?  I ask this 
trailing set of questions because often when I go
looking in the 
literature, I find that there are several newer
techniques which have 
been shown to work better than the older methods. 
Sometimes these newer 
techniques are already implemented in R, other times
I have to do it 
(but at least I'm then implementing a more modern
approach).

Regards,

   - Brian