eb6 q2

Previous (n-1) volatility

2%

Previous (-1) return

3%

Lambda

90%

EWMA (variance)

0.045%

EWMA (volatility)

2.121%

Periodic

Weights

 

Period

Return

Return^2

EWMA

n

n-1

5.0%

0.250%

10.00%

n-2

4.0%

0.160%

9.00%

n-3

3.0%

0.090%

8.10%

n-4

2.0%

0.040%

7.29%

n-5

1.0%

0.010%

6.56%