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Volatility: Moving Average Approaches

Within stochastic volatility, moving average is the simplest approach. It simply calculates volatility as the unweighted standard deviation of a window of X trading days. This video demonstrates three "flavors:" population variance (volatility = SQRT[variance]), sample, and simple.

This video is developed by David from Bionic Turtle.

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Using Excel's Goal Seek Function to Estimate Implied Volatility

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Volatility: Exponentially Weighted Moving Average (EWMA)

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Volatility

8 lessons

01
How to Calculate Historical Volatility
02
Approaches to Estimating Volatility
03
Using Excel's Goal Seek Function to Estimate Implied Volatility
04
Volatility: Moving Average Approaches
05
Volatility: Exponentially Weighted Moving Average (EWMA)
06
Using GARCH (1,1) Approach to Estimate Volatility
07
How to Forecast Volatility Using GARCH (1,1)
08
Calculate Historical Volatility Using EWMA

Topics

Risk Management