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EWMA Volatility
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EWMA Volatility

  #1 (permalink)
Zurich, Switzerland
Trading Experience: Intermediate
Platform: R, C#
Favorite Futures: Futures
Posts: 55 since Dec 2013
Thanks: 74 given, 75 received

EWMA Volatility

Hi, I'm looking for an Easylanguage function to calculate EWMA Volatility. Can anyone please help? Thanks

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  #2 (permalink)
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  #3 (permalink)
Zurich, Switzerland
Trading Experience: Intermediate
Platform: R, C#
Favorite Futures: Futures
Posts: 55 since Dec 2013
Thanks: 74 given, 75 received

Answering my question

Function: _VolaEWMA

inputs: Price(NumericSeries), Len(NumericSimple) ;
variables: squared_log_ret(0);                                                  
squared_log_ret = Square(Log(Price / Price[1])); 
_VolaEWMA = SquareRoot(252 * XAverage(squared_log_ret, Len));

Last edited by volemont; September 30th, 2019 at 12:41 PM. Reason: Typo
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  #4 (permalink)
hillsborough nj
Trading Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: emini
Posts: 26 since Sep 2018
Thanks: 9 given, 21 received

I've watched quite a few youtube videos and read articles on EWMA.

The final result is supposed to give a volatility prediction for the next day. However it is far from clear what that means or how it can be tested.

The GARCH process is quite similar but supposedly better -

What is the GARCH Process
"The generalized autoregressive conditional heteroskedasticity (GARCH) process is an econometric term developed in 1982 by Robert F. Engle, an economist and 2003 winner of the Nobel Memorial Prize for Economics, to describe an approach to estimate volatility in financial markets. There are several forms of GARCH modeling. The GARCH process is often preferred by financial modeling professionals because it provides a more real-world context than other forms when trying to predict the prices and rates of financial instruments."

There is probably some application in quantitative finance and portfolio management for this but EWMA and GARCH methodologies seem totally irrelevant for short term trading.

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