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Estimate Volatility - Exponentially Weighted Moving Average (EWMA) - FRM

Volatility can be estimated using the Exponentially Weighted Moving Average model (EWMA). Estimated volatility ~recent estimated volatility + recent price changes. A weighting is applied to the recent estimated volatility and recent price changes that sum up to 1. One of the advantage of the EWMA model compared to calculating volatility in a simple way (sum of daily returns and taking the square root) - EWMA model gives higher weighting to recent observations and less weightings to observations that are not recent. The sum of all weightings add up to 1.