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.
- 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