EWMA St.Dev.

Version 1.0.0.0 (1.24 KB) by Lorenzo Brancali
This code calculates the Exponentially Weighted Moving Average Standard Deviation
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Updated 9 Mar 2012

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Exponentially weighted moving average (EWMA) standard deviation applies different weights to different returns. More recent returns have greater weight on the variance. The exponentially weighted moving average (EWMA) introduces lambda, called the smoothing parameter. Lambda must be less than one.

Cite As

Lorenzo Brancali (2024). EWMA St.Dev. (https://www.mathworks.com/matlabcentral/fileexchange/35539-ewma-st-dev), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0