EWMA Volatility

Last updated 9 November 2026

Function reference › Risk and Performance Measures › Volatility

1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].

GIA_RPM_VolatilityWithEWMA

Returns the EWMA historical volatility during a specified period, given historical prices.

GIA_RPM_VolatilityWithEWMA(HDates, HRates, TimeInterval, Overlap, DaysNumber, WeekLastDay, Lambda, PriceChangeCalc, ScalingFactor, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns: EWMA historical volatility during a specified period

Argument	Use	Description
`HDates`	Required	The array of dates of historical prices of the asset.
`HRates`	Required	The array of historical prices of the asset.
`TimeInterval`	Required	Time period of the price changes (Days, Week, Month, Quarter, Year)
`Overlap`	Required	Whether there is an overlap between dates (Yes, No)
`DaysNumber`	Required	Number of days if the parameter TimeInterval is Days
`WeekLastDay`	Required	The last day of the week if the parameter TimeInterval is Week (Sunday, Monday, Tuesday, Wednesday, Thursday, Friday)
`Lambda`	Required	The smooting factor in the EWMA volatility calculation (0.94 for example).
`PriceChangeCalc`	Required	Calculation type of the price change (Discrete, Continuous, Absolute). See the documentation for full description.
`ScalingFactor`	Required	The scaling factor in the square root of time rule. See the documentation for full description.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`ExcludeFromDate`	Required	The first date in the period excluded from the required period.
`ExcludeToDate`	Required	The last date in the period excluded from the required period.