A NEW MEASURE OF VOLATILITY USING INDUCED HEAVY MOVING AVERAGES-Reference-Cited by-同舟云学术

A NEW MEASURE OF VOLATILITY USING INDUCED HEAVY MOVING AVERAGES

Published:2019-05-23 Issue:4 Volume:25 Page:576-599
ISSN:2029-4913
Container-title:Technological and Economic Development of Economy
language:
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Author:

León-Castro Ernesto¹,Espinoza-Audelo Luis Fernando²,Aviles-Ochoa Ezequiel²,Merigó Jose M.³,Kacprzyk Janusz⁴

Affiliation:

1. Faculty of Economics and Business Administration, Universidad Católica de la Santísima Concepción, 4070129 Concepción, Chile

2. University of Occidente, Blvd. Lola Beltrán s/n esq. Circuito Vial, Culiacán 80200, México

3. School of Systems, Management and Leadership, Faculty of Engineering and Information Technology, University of Technology Sydney, Ultimo, 2007 NSW, Australia; Department of Management Control and Information Systems, School of Economics and Business, University of Chile, Av. Diagonal Paraguay 257, 8330015 Santiago, Chile

4. Systems Research Institute, Polish Academy of Sciences, Neweleska 6 street, 01-447, Warsaw, Poland

Abstract

The volatility is a dispersion technique widely used in statistics and economics. This paper presents a new way to calculate volatility by using different extensions of the ordered weighted average (OWA) operator. This approach is called the induced heavy ordered weighted moving average (IHOWMA) volatility. The main advantage of this operator is that the classical volatility formula only takes into account the standard deviation and the average, while with this formulation it is possible to aggregate information according to the decision maker knowledge, expectations and attitude about the future. Some particular cases are also presented when the aggregation information process is applied only on the standard deviation or on the average. An example in three different exchange rates for 2016 are presented, these are for: USD/MXN, EUR/MXN and EUR/USD

Publisher

Vilnius Gediminas Technical University

Subject

Finance

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