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Easy · statistical_analysis · Quant Researcher interview question · volatility, ewma, time-series, risk, riskmetrics
The Exponentially Weighted Moving Average (EWMA) model provides a responsive estimate of asset volatility by assigning greater weight to more recent squared returns, a method popularized by J.P. Morgan's RiskMetrics. It serves as a crucial benchmark for risk management and systematic trading, avoiding the abrupt data cutoffs of simple moving averages. Task Implement the function solution(returns: list, lam: float) -> float to calculate the EWMA volatility. The calculation should follow the recu