Simple Moving Average Model (SMA)

Compute volatility forecasts for an asset using a simple moving average (SMA) model.

References

• Jacob Boudoukh, Matthew Richardson, Robert F. Whitelaw, Investigation of a Class of Volatility Estimators, The Journal of Derivatives, Spring 1997, 4 (3) 63 - 71
• Figlewski, Stephen, Forecasting Volatility Using Historical Data (May 1994). NYU Working Paper No. FIN-94-032