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by NicolaiL
Sat Mar 23, 2013 5:24 pm
Forum: Volume IV
Topic: Exponentially Weighted Moving Average in Excel
Replies: 2
Views: 5733

Re: Exponentially Weighted Moving Average in Excel

Thank you for answering.

Yes, I severely misunderstood, sorry.

I will transform the EWMA estimates into ln returns again by applying the formula found in the sheet "RtnAGG" in case study IV.3.3.1 scale index before using the percentile function.

Have a good weekend.
by NicolaiL
Wed Mar 20, 2013 6:35 pm
Forum: Volume IV
Topic: Exponentially Weighted Moving Average in Excel
Replies: 2
Views: 5733

Exponentially Weighted Moving Average in Excel

Dear Carol, Thank you for a great site and a very helpful book! Still, I have encountered a problem I hope you can assist me with. I am comparing the performance of equally and exponentially weighted moving average models on the SP 500 index under both 95% and 99% confidence levels. The plan is to s...

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