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    S S U S: "How To Calculate The Exponentially Weighted Moving Average (EWMA) "

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    Thiên Hàn
    The document describes how to calculate the exponentially weighted moving average (EWMA). It defines the EWMA formula which weights recent observations higher than older observations. It also provides the formulas for calculating population variance, sample variance, and equal weighted variance using daily stock price returns and adjusting the sample variance formula to replace m-1 with m.

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    S S U S: "How To Calculate The Exponentially Weighted Moving Average (EWMA) "

    Uploaded by

    Thiên Hàn
    44 views4 pages
    The document describes how to calculate the exponentially weighted moving average (EWMA). It defines the EWMA formula which weights recent observations higher than older observations. It also provides the formulas for calculating population variance, sample variance, and equal weighted variance using daily stock price returns and adjusting the sample variance formula to replace m-1 with m.

    Original Title

    volatility_equal_weights

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    The document describes how to calculate the exponentially weighted moving average (EWMA). It defines the EWMA formula which weights recent observations higher than older observations. It also provides the formulas for calculating population variance, sample variance, and equal weighted variance using daily stock price returns and adjusting the sample variance formula to replace m-1 with m.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    44 views4 pages

    S S U S: "How To Calculate The Exponentially Weighted Moving Average (EWMA) "

    Uploaded by

    Thiên Hàn
    The document describes how to calculate the exponentially weighted moving average (EWMA). It defines the EWMA formula which weights recent observations higher than older observations. It also provides the formulas for calculating population variance, sample variance, and equal weighted variance using daily stock price returns and adjusting the sample variance formula to replace m-1 with m.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    of 4

    "How to calculate the exponentially weighted moving average (EWMA)"

    Simple %
    S  Si 1 Continuously
     S 
    Return
    ui  i Compounded
    Return
    u i  ln  i 
    Si 1  Si 1 
    Population variance
    1 m  n2  varian ce rate p er d ay
     2
    n 
    m
     (u
    i 1
    n i  u) 2
    m
    u
     m ost recen t m observat ion s
     th e m ean / average of all d aily ret u rn s (u i )

    Sample variance
    Simple variance:
    1 m
    n 
    2
     (u n i  u )2 1 m
    m  1 i 1  2
    n
    m
    u i 1
    2
    n i

    1. Assume average daily return is 0


    2. Replace m-1 with m
    (EWMA)"

    ion s
    d aily retu rn s (u i )
    Google (GOOG) - Daily Stock Prices
    Adj. Period
    Price Return Return^2 Equal aReturn^2
    Date Close Weight

    25-Aug-06 $373.26 -0.126% 0.00016% 0.196% 0.000000%


    24-Aug-06 373.73 0.080% 0.00006% 0.196% 0.000000%
    23-Aug-06 373.43 -1.293% 0.01672% 0.196% 0.000033%
    22-Aug-06 378.29 0.262% 0.00069% 0.196% 0.000001%
    21-Aug-06 377.3 -1.593% 0.02539% 0.196% 0.000050%
    2 Years (500+ days) collapsed (Data>Group) below… 0.000000%
    20-Aug-04 108.31 7.643% 0.58420% 0.196% 0.001148%
    19-Aug-04 100.34 100%

     S  Variance 0.058%
    u i  ln  i 
     Si 1 

    or 0.058%
    m
    1
     2
    n 
    m
     n i
    u 2

    i 1

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