ewmsd

Exponential moving average standard devation

ewmsd(y, alpha)

Arguments

y	prices
alpha	smoothing factor

Value

ewm standard devation

Examples

data("spy")
daily_volatility(subset(spy, select = c("index", "close")))
#>                   Datetime        Value
#>     1: 2018-01-03 15:39:00 0.0009618423
#>     2: 2018-01-03 15:44:00 0.0010268916
#>     3: 2018-01-03 15:49:00 0.0011668355
#>     4: 2018-01-03 15:54:00 0.0012822868
#>     5: 2018-01-03 15:59:00 0.0013209074
#>    ---                                 
#> 57937: 2020-12-31 21:39:00 0.0026497390
#> 57938: 2020-12-31 21:44:00 0.0026380410
#> 57939: 2020-12-31 21:49:00 0.0026500808
#> 57940: 2020-12-31 21:54:00 0.0027022664
#> 57941: 2020-12-31 21:59:00 0.0027536503