oVol_EWMA( ) Function

Component

Resolution - Utility

Function Definition

oVol_EWMA(Prices, NTradePds, Decay, Output)

Returns a volatility estimate for a defined option life based on the standard EWMA model

Function Parameters

Parameters

Description

Parameter Type

Restrictions

.

Prices

Time series vector of asset prices

Curve

NTradePds

Number of trading days in a year

Double

Decay

The rate of decay (optional)

Double

Output

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

Enumerated Constant

0 - All values
1 - Estimated volatility for life of option
2 - Periodic volatility