LQM Registry / volatility
EWMA Volatility Model
Exponentially weighted volatility estimator with explicit decay, annualization and volatility-path diagnostics.
Model key
lq.volatility.ewmaVersion1.0.0
Runtimepython-process
Model contract
Inputs are explicit.
{
"type": "object",
"required": [
"returns"
],
"properties": {
"returns": {
"type": "array",
"items": {
"type": "number"
},
"minItems": 5
}
}
}Output contract
Outputs are explicit.
{
"type": "object",
"required": [
"lambda",
"latest_variance",
"latest_volatility",
"annualized_volatility",
"volatility_path"
]
}Default parameters
{
"lambda": 0.939999999999999946709294817992486059665679931640625,
"periods_per_year": 252,
"max_points": 120
}Example input
{
"returns": [
0.0040000000000000000832667268468867405317723751068115234375,
-0.00600000000000000012490009027033011079765856266021728515625,
0.003000000000000000062450045135165055398829281330108642578125,
0.0109999999999999993616217608405349892564117908477783203125,
-0.008000000000000000166533453693773481063544750213623046875,
0.00200000000000000004163336342344337026588618755340576171875,
-0.01400000000000000029143354396410359186120331287384033203125,
0.00899999999999999931998839741709161899052560329437255859375,
0.005000000000000000104083408558608425664715468883514404296875,
-0.0040000000000000000832667268468867405317723751068115234375,
0.007000000000000000145716771982051795930601656436920166015625,
-0.003000000000000000062450045135165055398829281330108642578125
]
}