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EWMA St.Dev. 1.0

  Date Added: August 11, 2013  |  Visits: 194

EWMA St.Dev.

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This code calculates the Exponentially Weighted Moving Average Standard Deviation Exponentially weighted moving average (EWMA) standard deviation applies different weights to different returns. More recent returns have greater weight on the variance. The exponentially weighted moving average (EWMA) introduces lambda, called the smoothing parameter. Lambda must be less than one.

Requirements: No special requirements
Platforms: Matlab
Keyword: Exponentially Greater Introduces Lambda Parameter Recent Returns Smoothing Variance Weight
Users rating: 0/10

License: Shareware Size: 10 KB
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