volitality
- Thread starter imran88
- Start date
Imran, I don't know to which slide you refer? cc: Suzanne Evans
If this refers to Hull's estimation of current volatility (aka, moving average) based on trailing (n) days, where the variance estimate is a simply average of squared daily returns, then it's because the period is so short we assume E(r) ~= 0 daily, but there even a proactive argument for its superiority, see http://forum.bionicturtle.com/threads/standard-deviation-without-mean-in-ewma-garch.6803/#post-23238
If this refers to Hull's estimation of current volatility (aka, moving average) based on trailing (n) days, where the variance estimate is a simply average of squared daily returns, then it's because the period is so short we assume E(r) ~= 0 daily, but there even a proactive argument for its superiority, see http://forum.bionicturtle.com/threads/standard-deviation-without-mean-in-ewma-garch.6803/#post-23238
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