Exponential smoothing for mean, variance, and covariance (Excel)

Рет қаралды 1,437

Күн бұрын

Sometimes when using a large sample of historical data, you might want to place more weight on more recent observations. Exponential smoothing is a go-to technique for such application. Today we are discussing the concepts and the logic behind the exponential smoothing procedure and its implementation in Excel.
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Пікірлер: 11

@NEDLeducation 2 жыл бұрын

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

@plazmafield 2 жыл бұрын

This is EWMA right? The decay factor of 0.975 looks very familiar as a commonly used decay factor. I believe its popularity came from one of the investment banks, JP Morgan if I recall correctly, when they published the decay factor the company used for EWMA volatility estimation.

@NEDLeducation 2 жыл бұрын

Hi Stephen, yes, this is exactly correct :) The 0.975 factor is inspired by BRW-VaR and has applications in many industry products.

@MrMahankumar 2 жыл бұрын

Hey man great!!!! This is a great video on smoothing-as a suggestion could you please cover X-12 smoothing in a future video?

@plazmafield 2 жыл бұрын

What is X-12 smoothing?

@lefanhalludba8432 2 жыл бұрын

Unrelated to this topic Sava I have doubts regarding rebalancing simulated portfolios yearly/based on absolute rebalancing bands using daily/monthly returns data. Could you make a video on this so I can figure out correct solution?