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.
Standard deviation of time series
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Standard deviation of time series
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- STDV model.mdl
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