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EWMA model
Hi David, thanks for the reply. I think my confusion comes from the notation. I have watched your video for EWMA. Please correct me if my understanding is wrong. In the video, when talking about returns, the day is forward counting as Day i-1 is the day previous to Day i. When calculating EWMA...- hsmirror
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- Forum: P1.T4. Valuation & Risk Models (30%)
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EWMA model
Hi, I have a question about the EWMA model equation. How comes we are using the previous day's return? I thought we are using today's return as \[ r_n=\ln(s_n/s_{n-1}) \].- hsmirror
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- ewma
- Replies: 3
- Forum: P1.T4. Valuation & Risk Models (30%)