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Recent content by hsmirror

  1. H

    EWMA model

    Hi David, thanks for the reply. I think my confusion comes from the notation. I have watched your video for EWMA. Please correct me if my understanding is wrong. In the video, when talking about returns, the day is forward counting as Day i-1 is the day previous to Day i. When calculating EWMA...
  2. H

    EWMA model

    Hi, I have a question about the EWMA model equation. How comes we are using the previous day's return? I thought we are using today's return as \[ r_n=\ln(s_n/s_{n-1}) \].