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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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Course: Volatility
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

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