دانلود رایگان پاورپوینت مدیریت ریسک (انگلیسی)

Time series-EWMA

The EWMA approach is designed to track changes in the volatility.
The value of ? governs how responsive the estimate of the daily volatility is to the most recent daily percentage change.
For example, the RiskMetrics database, which was invented and then published by JPMorgan in 1994, uses the EWMA model with ?=0.94 for updating daily volatility estimates.