Calculate time varying monthly variance of return on the S P 500 Index using the Exponentially Weighted Moving Average (EWMA) method with a decay factor (of 0 85 Historical data on the S P 500 Index can be found in the worksheet SP500 You can use data before 2016 for volatility estimation purpose ...

Calculate time-varying monthly variance of return on the S&P 500 Index using the Exponentially Weighted Moving...

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ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Posted Date: May 03, 2024 09:25 AM

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Calculate time-varying monthly variance of return on the S&P 500 Index using the Exponentially Weighted Moving...

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