What's new

exponentially-weighted-moving-average

  1. Nicole Seaman

    YouTube T2-22: Volatility: Exponentially weighted moving average, EWMA

    The exponentially weighted moving average (EWMA) cures the key weakness of the common historical standard deviation by assigning greater weight to more recent returns and lessor weights to more distant (in the past) returns. Its key parameter is lambda, λ, which specifies the ratio of...
Top