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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.

Previous Lesson

Using Excel's Goal Seek Function to Estimate Implied Volatility

Volatility: Exponentially Weighted Moving Average (EWMA)

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