historical-standard-deviation

The exponentially weighted moving average (EWMA) cures the key weakness of the common historical standard deviation by assigning greater weight to more recent returns and lessor weights to more distant (in the past) returns. Its key parameter is lambda, λ, which specifies the ratio of...

The simple, common approach to estimating volatility is historical standard deviation. Here is a thread about the decision to include/exclude the mean return: https://trtl.bz/2kLRK7z David's XLS is here: https://trtl.bz/2kOmHb6