EWMA Volatility
EWMA volatility (RiskMetrics): exponentially weighted variance of close-to-close returns, annualised in percent, reacting quickly to new shocks.
How to read it
- Higher values mean larger recent returns; lower values a calmer market.
- Recent returns weigh most, so spikes show up immediately and fade gradually.
- Useful for comparing current risk with recent history.
Key settings
- Lambda (decay) 0.94: higher = slower, smoother.
- Annualise on; off = per bar, in percent.
Good to know
- Drawn in its own pane below the chart.