Good Morning all!

 

I am trying to create a script for recursive EWMA (Exponential Weighted Moving Average) volatilty estimation.

 

As I am not familiar with gretl syntax language I'm desparetly looking for your help.

The problem is following:

 

1) First of all I need to identify the first observation of returns series. I've tried to do this by appliying FirstObs function. But that didn't work.

 

2) then I would like to replicate the ewma formula in order to get the variance of return series.

for that i've seen there is a MOVAVG function. I didn't find any example of syntax in user's guide. How does this work?

 

I would highly appreciate your help.

 

Thanks a lot.

Cheers