Exponentially Weighted Moving Average Model (EWMA)

Compute volatility forecasts for an asset using an exponentially weighted moving average (EWMA) 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
• RiskMetrics. Technical Document, J.P.Morgan/Reuters, New York, 1996. Fourth Edition