EWMA St.Dev. 1.0

Date Added: August 11, 2013 | Visits: 315

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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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