gs_quant.timeseries.technicals.exponential_volatility

exponential_volatility(x, beta=0.75)

Exponentially weighted volatility

Parameters:

• x (Series) – time series of prices

• beta (float) – how much to weigh the previous price in the time series, thus controlling how much importance we place on the (more distant) past. Must be between 0 (inclusive) and 1 (exclusive)

Return type:

Series

Returns:

date-based time series of exponential volatility of the input series

Usage

Calculates the exponentially weighted standard deviation of the return of the input series, and annualizes the standard deviation

Examples

Generate price series and compute exponentially weighted standard deviation of returns

>>> prices = generate_series(100)
>>> exponential_volatility(prices, 0.9)

The above is equivalent to

>>> annualize(exponential_std(returns(prices), 0.9)) * 100

See also

volatility() exponential_std() exponential_spread_volatility()