Standard deviation of time series

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kaveh.dianati
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Standard deviation of time series

Post by kaveh.dianati » Mon Oct 16, 2017 4:05 pm

Hi,

I have some time-series data for prices and I would like to obtain its standard deviation over time as a measure of market volatility. In the attached model, I first try to obtain the moving average of the data, which I then use to get the standard deviation.

However, the results that I get don't look right. Standard deviation keeps rising throughout the simulation, while what I would like to get is higher values during boom and bust and lower values during stable times.

Any thoughts on whether I am doing something wrong, or whether I should modify my conceptualisation somehow?

Many thanks in advance,
Kaveh.
Attachments
STDV model.mdl
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