Class EwmaVolatility

java.lang.Object
com.quantfinlib.volatility.EwmaVolatility
public final class EwmaVolatility extends Object
Exponentially weighted moving average variance (RiskMetrics-style): h_t = λ h_{t-1} + (1-λ) r_{t-1}², seeded with the sample variance. Reacts to volatility regime changes far faster than a rolling window.

  • Constructor Summary

    Constructors
    Constructor
    Description
    EwmaVolatility(double lambda)
     

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    annualizedVol(double[] returns, int periodsPerYear)
     
    double
    latestVol(double[] returns)
    One-step-ahead volatility forecast (per period).
    static EwmaVolatility
    riskMetrics()
    The classic RiskMetrics daily decay (λ = 0.94).
    double[]
    variances(double[] returns)
    Conditional variance series aligned with returns: variances[i] is the estimate for period i, formed from information up to i-1.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • EwmaVolatility

      public EwmaVolatility(double lambda)

  • Method Details

    • riskMetrics

      public static EwmaVolatility riskMetrics()
      The classic RiskMetrics daily decay (λ = 0.94).

    • variances

      public double[] variances(double[] returns)
      Conditional variance series aligned with returns: variances[i] is the estimate for period i, formed from information up to i-1.

    • latestVol

      public double latestVol(double[] returns)
      One-step-ahead volatility forecast (per period).

    • annualizedVol

      public double annualizedVol(double[] returns, int periodsPerYear)