Closing Price Daily Squared

Day Price Relative Return Return Weights

𝒖_𝒊 λ_𝒊•𝒖_𝒊^𝟐
𝑺_𝒊⁄𝑺_( 𝒖_𝒊^𝟐 λ = 80%
𝒊−𝟏)

0 20.00
1 18.00 1.11111 10.54% 0.011101 20.0% 0.2220%
2 16.00 1.12500 11.78% 0.013873 16.0% 0.2220%
3 14.00 1.14286 13.35% 0.017831 12.8% 0.2282%
4 10.00 1.40000 33.65% 0.113214 10.2% 1.1593%
Sum 0.156018 59.0%
Avg 0.17329 3.90045% 1.83152%
Daily volatility 19.74955% 13.53337%

10.54%
 Previous Variance
λ_𝒊•𝒖_𝒊^𝟐

20.0% 0.2775%
16.0% 0.2853%
λ = 80% #REF! #REF!
𝝈_(𝒏− 15.50000% #REF!
𝟏) 2.14402% #REF!
14.64246% #REF!

𝝈_𝒏^𝟐= 〖𝝀𝝈〗 _(𝒏−𝟏)^𝟐 𝒖_𝒊=𝒍𝒏(𝑺_𝒊/𝑺_(𝒊−𝟏) ) ≅

(𝑺_𝒊−𝑺_(𝒊−𝟏))/𝑺_(𝒊−𝟏)
〖 +(𝟏−𝝀)𝒖 〗 _(𝒏−𝟏)^𝟐
𝝈_𝒏^𝟐=𝟏/(𝒎−𝟏)
𝝈_𝒏^𝟐= 〖𝝀𝝈〗 _(𝒏−𝟏)^𝟐 ∑1_(𝒊=𝟏)^𝒎▒ 〖〖 (𝒖 〗 _(𝒏−𝒊)−𝒖 ̅) 〗 ^𝟐
〖 +(𝟏−𝝀)𝒖 〗 _(𝒏−𝟏)^𝟐 𝝈_𝒏^𝟐=𝟏/𝒎
∑1_(𝒊=𝟏)^𝒎▒𝒖_(𝒏−𝒊)^𝟐 𝝈_𝟐=√(𝟏
∑1_(𝒊=𝟏)^𝒎▒𝒖_(𝒏−𝒊)^𝟐 )
 (𝒊−𝟏) ) ≅
/𝑺_(𝒊−𝟏)

−𝟏)
▒ 〖〖 (𝒖 〗 _(𝒏−𝒊)−𝒖 ̅) 〗 ^𝟐

▒𝒖_(𝒏−𝒊)^𝟐 𝝈_𝟐=√(𝟏/𝒎
▒𝒖_(𝒏−𝒊)^𝟐 )
 Closing Price Daily Squared
Day Price Relative Return Return Weights
𝒖_𝒊 λ_𝒊•𝒖_𝒊^𝟐
𝑺_𝒊⁄𝑺_( 𝒖_𝒊^𝟐 λ = 80%
𝒊−𝟏)

0 20.00
1 19.80 1.01010 1.01% 0.000101 #VALUE! #VALUE!
2 20.13 1.01646 1.63% 0.000267 16.0% 0.0043%
3 20.15 1.00119 0.12% 0.000001 12.8% 0.0000%
4 20.18 1.00149 0.15% 0.000002 10.2% 0.0000%
…
5 20.17 0.99961 -0.04% 0.000000 8.2% 0.0000%
6 20.19 1.00082 0.08% 0.000001 6.6% 0.0000%
7 20.21 1.00126 0.13% 0.000002 5.2% 0.0000%
8 20.18 0.99833 -0.17% 0.000003 4.2% 0.0000%
9 20.17 0.99940 -0.06% 0.000000 3.4% 0.0000%
10 20.22 1.00248 0.25% 0.000006 2.7% 0.0000%
11 20.17 0.99769 -0.23% 0.000005 2.1% 0.0000%
12 20.23 1.00297 0.30% 0.000009 1.7% 0.0000%
13 20.27 1.00167 0.17% 0.000003 1.4% 0.0000%
14 20.33 1.00337 0.34% 0.000011 1.1% 0.0000%
15 20.37 1.00176 0.18% 0.000003 0.9% 0.0000%
16 20.34 0.99879 -0.12% 0.000001 0.7% 0.0000%
17 20.37 1.00105 0.11% 0.000001 0.6% 0.0000%
18 20.34 0.99858 -0.14% 0.000002 0.5% 0.0000%
19 20.37 1.00138 0.14% 0.000002 0.4% 0.0000%
20 20.35 0.99901 -0.10% 0.000001 0.3% 0.0000%
21 20.34 0.99984 -0.02% 0.000000 0.2% 0.0000%
22 20.34 0.99977 -0.02% 0.000000 0.2% 0.0000%
23 20.29 0.99753 -0.25% 0.000006 0.1% 0.0000%
24 20.27 0.99921 -0.08% 0.000001 0.1% 0.0000%
25 20.26 0.99935 -0.07% 0.000000 0.1% 0.0000%
26 20.25 0.99941 -0.06% 0.000000 0.1% 0.0000%
27 20.27 1.00106 0.11% 0.000001 0.1% 0.0000%
28 20.27 0.99992 -0.01% 0.000000 0.0% 0.0000%
29 20.29 1.00106 0.11% 0.000001 0.0% 0.0000%
30 20.25 0.99810 -0.19% 0.000004 0.0% 0.0000%
31 20.30 1.00244 0.24% 0.000006 0.0% 0.0000%
32 20.28 0.99909 -0.09% 0.000001 0.0% 0.0000%
33 20.26 0.99913 -0.09% 0.000001 0.0% 0.0000%
34 20.26 0.99988 -0.01% 0.000000 0.0% 0.0000%
35 20.21 0.99738 -0.26% 0.000007 0.0% 0.0000%
36 20.23 1.00115 0.12% 0.000001 0.0% 0.0000%
37 20.21 0.99903 -0.10% 0.000001 0.0% 0.0000%
38 20.19 0.99908 -0.09% 0.000001 0.0% 0.0000%
39 20.17 0.99875 -0.13% 0.000002 0.0% 0.0000%
40 20.13 0.99838 -0.16% 0.000003 0.0% 0.0000%
41 20.14 1.00047 0.05% 0.000000 0.0% 0.0000%
42 20.19 1.00213 0.21% 0.000005 0.0% 0.0000%
43 20.20 1.00054 0.05% 0.000000 0.0% 0.0000%
44 20.17 0.99842 -0.16% 0.000003 0.0% 0.0000%
45 20.11 0.99748 -0.25% 0.000006 0.0% 0.0000%
46 20.10 0.99914 -0.09% 0.000001 0.0% 0.0000%
47 20.09 0.99960 -0.04% 0.000000 0.0% 0.0000%
48 20.09 0.99986 -0.01% 0.000000 0.0% 0.0000%
49 20.11 1.00127 0.13% 0.000002 0.0% 0.0000%
50 20.11 0.99977 -0.02% 0.000000 0.0% 0.0000%
51 20.08 0.99882 -0.12% 0.000001 0.0% 0.0000%
52 20.06 0.99869 -0.13% 0.000002 0.0% 0.0000%
53 20.00 0.99732 -0.27% 0.000007 0.0% 0.0000%
54 20.02 1.00090 0.09% 0.000001 0.0% 0.0000%
55 20.00 0.99915 -0.09% 0.000001 0.0% 0.0000%
56 20.00 0.99988 -0.01% 0.000000 0.0% 0.0000%
57 20.04 1.00181 0.18% 0.000003 0.0% 0.0000%
58 20.04 1.00002 0.00% 0.000000 0.0% 0.0000%
59 20.04 0.99983 -0.02% 0.000000 0.0% 0.0000%
60 19.98 0.99743 -0.26% 0.000007 0.0% 0.0000%
Sum 0.000495 #VALUE!
Avg 0.00032 0.00083% #VALUE!
Daily volatility 0.28730% #VALUE!
 Previous Variance
λ_𝒊•𝒖_𝒊^𝟐

#VALUE! #VALUE!
16.0% 0.0000%
12.8% 0.0000%

𝝈_𝒏^𝟐= 〖𝝀𝝈〗 _(𝒏−𝟏)^𝟐 10.2% 0.0000%

8.2% 0.0000%
〖 +(𝟏−𝝀)𝒖 〗 _(𝒏−𝟏)^𝟐 6.6% 0.0000%
5.2% 0.0000%
4.2% 0.0000%
3.4% 0.0000%
2.7% 0.0000%
2.1% 0.0000%
1.7% 0.0000%
1.4% 0.0000%
1.1% 0.0000%
0.9% 0.0000%
0.7% 0.0000%
0.6% 0.0000%
0.5% 0.0000%
0.4% 0.0000%
0.3% 0.0000%
0.2% 0.0000%
0.2% 0.0000%
0.1% 0.0000%
0.1% 0.0000%
0.1% 0.0000%
0.1% 0.0000%
0.1% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
 0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
0.0% 0.0000%
λ = 80% 0.0% 0.0000%
𝝈_(𝒏− #VALUE! #VALUE!
𝟏) #VALUE! #VALUE!
#VALUE! #VALUE!

𝒖_𝒊=𝒍𝒏(𝑺_𝒊/𝑺_(𝒊−𝟏) ) ≅
(𝑺_𝒊−𝑺_(𝒊−𝟏))/𝑺_(𝒊−𝟏)
𝝈_𝒏^𝟐=𝟏/(𝒎−𝟏)
∑1_(𝒊=𝟏)^𝒎▒ 〖〖 (𝒖 〗 _(𝒏−𝒊)−𝒖 ̅) 〗 ^

𝝈_𝒏^𝟐=𝟏/𝒎
∑1_(𝒊=𝟏)^𝒎▒𝒖_(𝒏−𝒊)^𝟐 𝝈_𝟐=√(𝟏
∑1_(𝒊=𝟏)^𝒎▒𝒖_(𝒏−𝒊)^𝟐 )
/𝑺_(𝒊−𝟏) ) ≅
𝟏))/𝑺_(𝒊−𝟏)
𝒎−𝟏)
𝒎▒ 〖〖 (𝒖 〗 _(𝒏−𝒊)−𝒖 ̅) 〗 ^𝟐

𝒎
𝒎▒𝒖_(𝒏−𝒊)^𝟐 𝝈_𝟐=√(𝟏/𝒎
𝒎▒𝒖_(𝒏−𝒊)^𝟐 )
Date Closing Price Price Relative Daily return daily return

9-Sep-22 17833
12-Sep-22 17936 1.0057758088936 0.575919% 0.024%
13-Sep-22 18070 1.0074710080285 0.744324% 0.024%
14-Sep-22 18004 0.9963475373547 -0.365915% 0.024%
15-Sep-22 17877 0.9929460119973 -0.707898% 0.024%
16-Sep-22 17531 0.9806455221793 -1.954423% 0.024%
19-Sep-22 17622 1.00519080486 0.517738% 0.024%
20-Sep-22 17816 1.0110089660651 1.094881% 0.024%
21-Sep-22 17718 0.9944993264481 -0.551586% 0.024%
22-Sep-22 17630 0.9950332994695 -0.497908% 0.024%
23-Sep-22 17327 0.9828133862734 -1.733602% 0.024%
26-Sep-22 17016 0.9820511340682 -1.811190% 0.025%
27-Sep-22 17007 0.9994710860367 -0.052905% 0.025%
28-Sep-22 16859 0.9912977009467 -0.874039% 0.025%
29-Sep-22 16818 0.9975680645353 -0.243490% 0.025%
30-Sep-22 17094 1.0164109882269 1.627778% 0.025%
3-Oct-22 16887 0.9878904878905 -1.218343% 0.025%
4-Oct-22 17274 1.0229170367738 2.265839% 0.025%
6-Oct-22 17332 1.0033576473312 0.335202% 0.024%
7-Oct-22 17315 0.9990191553196 -0.098133% 0.024%
Sum
Avg -0.001551
Daily volatility

Volatility
squared return weight
0.94

0.000000056251768252 6% 0.000000338%
0.000000055504797951 5.6% 0.000000313% 42 ###
0.000000055870774124 5.3% 0.000000296% 21
0.000000056585610530 5.0% 0.000000282% 1.05 4.88%
0.000000058606711597 4.7% 0.000000275%
0.000000058064430210 4.4% 0.000000256%
0.000000056934010286 4.1% 0.000000236%
0.000000057500740137 3.9% 0.000000224%
0.000000058017129460 3.7% 0.000000212%
0.000000059851291962 3.4% 0.000000206%
0.000000061829094257 3.2% 0.000000200%
0.000000061887832143 3.0% 0.000000188%
0.000000062866290555 2.9% 0.000000180%
0.000000063141596208 2.7% 0.000000169%
0.000000061323633454 2.5% 0.000000155%
0.000000062679345085 2.4% 0.000000149%
0.000000060181350073 2.2% 0.000000134%
0.000000059820299357 2.1% 0.000000125%
0.000000059925775877 2.0% 0.000000118%
0.000000000000000000 0.000000000%
0.000000000000000000 0.000000000%
0.000000000000000000 0.000000000%
 lambda
Closing Price Price Relative Daily Return Squared Return Weighting

0 17833 6.00%
1 17936 0.578% 0.00334% 5.64%
2 18070 0.747% 0.00558% 5.30%
3 18004 -0.365% 0.00133% 4.98%
4 17877 -0.705% 0.00498% 4.68%
5 17531 -1.935% 0.03746% 4.40%
6 17622 0.519% 0.00269% 4.14%
7 17816 1.101% 0.01212% 3.89%
8 17718 -0.550% 0.00303% 3.66%
9 17630 -0.497% 0.00247% 3.44%
10 17327 -1.719% 0.02954% 3.23%
11 17016 -1.795% 0.03222% 3.04%
12 17007 -0.053% 0.00003% 2.86%
13 16859 -0.870% 0.00757% 2.68%
14 16818 -0.243% 0.00059% 2.52%
15 17094 1.641% 0.02693% 2.37%
16 16887 -1.211% 0.01466% 2.23%
17 17274 2.292% 0.05252% 2.10%
18 17332 0.336% 0.00113% 1.97%
19 17315 -0.098% 0.00010% 1.85%
Volatility 1.140% 0.01300%
Lamda 0.94
 0.94
R2*W EWMA
89.32%

0.000188%
0.000296%
0.000066%
0.000233%
0.001650%
0.000112%
0.000472%
0.000111%
0.000085%
0.000955%
0.000979%
0.000001%
0.000203%
0.000015%
0.000639%
0.000327%
0.001101%
0.000022%
0.000002%

0.007454%
 Date Closing Price Daily return

0 9-Sep-22 17833 -0.576%

1 12-Sep-22 17936 0.744%
2 13-Sep-22 18070 -0.366%
3 14-Sep-22 18004 -0.708%
4 15-Sep-22 17877 -1.954%
5 16-Sep-22 17531 0.518%
6 19-Sep-22 17622 1.095%
7 20-Sep-22 17816 -0.552%
8 21-Sep-22 17718 -0.498%
9 22-Sep-22 17630 -1.734%
10 23-Sep-22 17327 -1.811%
11 26-Sep-22 17016 -0.053%
12 27-Sep-22 17007 -0.874%
13 28-Sep-22 16859 -0.243%
14 29-Sep-22 16818 1.628%
15 30-Sep-22 17094 -1.218%
16 3-Oct-22 16887 2.266%
17 4-Oct-22 17274 0.335%
18 6-Oct-22 17332 -0.098%
19 7-Oct-22 17315 Err:502

0.94
square return weighting

0.003316830239208530% 0.06
0.005540179600849450% 0.0564
0.001338937267356630% 0.053016
0.005011202859815360% 0.04983504
0.038197685050876500% 0.0468449376
0.002680525406347630% 0.0440342413
0.011987640780022000% 0.0413921869
0.003042468909254540% 0.0389086557
0.002479119363196750% 0.0365741363
0.030053751597274900% 0.0343796881
0.032804094445901900% 0.0323169068
0.000027989801604790% 0.0303778924
0.007639433303554230% 0.0285552189
0.000592872546032719% 0.0268419058
0.026496623023999700% 0.0252313914
0.014843595666773900% 0.0237175079
0.051340244289678100% 0.0222944575
0.001123605832372180% 0.02095679
0.000096300076396211% 0.0196993826
 Closing price Daily
S. No Date Price Relative Daily return (Daily Return)2 Weight
of Nifty50 Return

1 9-Sep-22 17833 6.00%

2 12-Sep-22 17936 1.01% 103 1.01% 0.000101 5.64%
3 13-Sep-22 18070 1.01% 134 1.01% 0.000101 5.30%
4 14-Sep-22 18004 1.00% -66 1.00% 0.000099 4.98%
5 15-Sep-22 17877 0.99% -127 0.99% 0.000099 4.68%
6 16-Sep-22 17531 0.98% -346 0.98% 0.000096 4.40%
7 19-Sep-22 17622 1.01% 91 1.01% 0.000101 4.14%
8 20-Sep-22 17816 1.01% 194 1.01% 0.000102 3.89%
9 21-Sep-22 17718 0.99% -98 0.99% 0.000099 3.66%
10 22-Sep-22 17630 1.00% -88 1.00% 0.000099 3.44%
11 23-Sep-22 17327 0.98% -303 0.98% 0.000097 3.23%
12 26-Sep-22 17016 0.98% -311 0.98% 0.000096 3.04%
13 27-Sep-22 17007 1.00% -9 1.00% 0.000100 2.86%
14 28-Sep-22 16859 0.99% -148 0.99% 0.000098 2.68%
15 29-Sep-22 16818 1.00% -41 1.00% 0.000100 2.52%
16 30-Sep-22 17094 1.02% 276 1.02% 0.000103 2.37%
17 3-Oct-22 16887 0.99% -207 0.99% 0.000098 2.23%
18 4-Oct-22 17274 1.02% 387 1.02% 0.000105 2.10%
19 6-Oct-22 17332 1.00% 58 1.00% 0.000101 1.97%
20 7-Oct-22 17315 1.00% -17 1.00% 0.000100 1.85%
lamda 0.94

Weight*(Daily
Variance Volatility
return)2

0.0000057053 0.01012% 1.006%

0.0000053811 0.01012% 1.006%
0.0000049472 0.01012% 1.006%
0.0000046186 0.01011% 1.005%
0.0000042346 0.01009% 1.005%
0.0000041823 0.01006% 1.003%
0.0000039770 0.01007% 1.003%
0.0000036173 0.01007% 1.004%
0.0000034039 0.01006% 1.003%
0.0000031216 0.01005% 1.003%
0.0000029297 0.01003% 1.002%
0.0000028525 0.01001% 1.000%
0.0000026377 0.01001% 1.000%
0.0000025109 0.01000% 1.000%
0.0000024502 0.00999% 1.000%
0.0000021758 0.01001% 1.001%
0.0000021928 0.01000% 1.000%
0.0000019832 0.01003% 1.001%
0.0000018481 0.01003% 1.001%

Variance 0.01005%
Volatility 1.00254%
σ2n = λσ2n-1 + (1 – λ) σ2n-1

0.01012% 1.01%
 lamda 0.94
Date Closing Price Return Return^2 Weight

7-Oct 17315 6.00%

6-Oct 17332 0.9990% 0.0099804% 5.64%
17274 1.0034% 0.0100673% 5.30%
16887 1.0229% 0.0104636% 4.98%
17094 0.9879% 0.0097593% 4.68%
16818 1.0164% 0.0103309% 4.40%
16859 0.9976% 0.0099514% 4.14%
17007 0.9913% 0.0098267% 3.89%
17016 0.9995% 0.0099894% 3.66%
17327 0.9821% 0.0096442% 3.44%
17630 0.9828% 0.0096592% 3.23%
17327 1.0175% 0.0103528% 3.04%
17630 0.9828% 0.0096592% 2.86%
17718 0.9950% 0.0099009% 2.68%
17816 0.9945% 0.0098903% 2.52%
17622 1.0110% 0.0102214% 2.37%
17531 1.0052% 0.0101041% 2.23%
17877 0.9806% 0.0096167% 2.10%
18004 0.9929% 0.0098594% 1.97%
18070 0.9963% 0.0099271% 1.85%
17936 1.0075% 0.0101500% 1.74%
17833 1.0058% 0.0101158% 1.64%

Variance
Volatility
Weight * return^2

0.00056289%
0.00053373%
0.00052145%
0.00045717%
0.00045491%
0.00041191%
0.00038234%
0.00036535%
0.00033157%
0.00031216%
0.00031450%
0.00027582%
0.00026576%
0.00024955%
0.00024243%
0.00022527%
0.00020153%
0.00019422%
0.00018382%
0.00017667%
0.00016552%

0.00682858%
0.826%