Volatility: Exponentially Weighted Moving Average (EWMA)

The EWMA approach to volatility is an improvement over simple volatility because it assigns greater weight to more recent observations (in fact, the weights are proportional).

This video explains the EWMA approach.

This video is developed by David from Bionic Turtle.

Previous Lesson

Volatility: Moving Average Approaches

Next Lesson

Using GARCH (1,1) Approach to Estimate Volatility

Data Science for Finance Bundle

$56.99$39

Learn the fundamentals of R and Python and their application in finance with this bundle of 9 books.

Get the Bundle

Volatility

8 lessons

How to Calculate Historical Volatility

Approaches to Estimating Volatility

Using Excel's Goal Seek Function to Estimate Implied Volatility

Volatility: Moving Average Approaches

Volatility: Exponentially Weighted Moving Average (EWMA)

Using GARCH (1,1) Approach to Estimate Volatility

How to Forecast Volatility Using GARCH (1,1)

Calculate Historical Volatility Using EWMA

Topics

Risk Management