Stock prices for developing and developed countries : exploring the decay factor for exponential weighted moving average volatility methodology
The data is used in exploring the decay factor of the exponentially weighted moving average model used to estimate volatility. The data consist of daily prices of 10 equities each from the US, UK, and RSA, representing two developed and one emerging market. The equities are selected from various industries to diversify the portfolio risk. The data are obtained from Yahoo Finance from January 1, 2012, to March 31, 2022.
Department/UnitDepartment of Mathematics and Applied Mathematics
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