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

[@NEDLeducation]

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]

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]

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

[@lefanhalludba8432]

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?

[@lalithseelanatha3933]

couldn't find the excel sheet.

[@NEDLeducation]

Hi Lalith, and glad you liked the video! Please check the Google Drive link in the pinned comment, the files should be available now.

[@MrMahankumar]

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]

What is X-12 smoothing?

[@vivekmaheshwari7668]

In T1260, it should be (1-lambda), instead of 1.

[@revgro]

Just like the last video, the sound is too low. I can barely hear what your saying

[@NEDLeducation]

Hi, and thanks for the comment. Will tune the sound recording volume up for the next batch of videos!