WebCab Portfolio Web Services for .NET v5.0 Demo

Volatility.EwmaVolatilityEstimate Method 

This method returns the estimate of the volatility for the ith day made at the end of the previous (i-1)th day, using an estimate of the volatility on the (i-1)th day according to the EWMA model with respect to changes in the market variable.

public double EwmaVolatilityEstimate(
   double weightRatio,
   double i_1thDayEstimateOfVolatility,
   double endi_1thDay,
   double starti_1thDay
);

Parameters

weightRatio
This constant between one and zero, is the ratio between the ith weight and the (i-1)th weight. The smaller the value used the more sensitive the model is to resent changes in the volatility.
i_1thDayEstimateOfVolatility
This is the previous reading or estimate of the volatility on the (i-1)th day.
endi_1thDay
The market variable (for example, asset price) at the close of the (i-1)th day.
starti_1thDay
The market variable (for example, asset price) at the start of the (i-1)th day.

Remarks

The EWMA model is a special case of the ARCH model, where the weights assigned to the historical volatility measure decreases by a constant factor.

Remarks:

See Also

Volatility Class | Portfolio Namespace | EwmaVolatilityEstimateInduction