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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
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 summary statistics of monthly returns on INSUR using historical data from January 2016 to December 2020.
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
