how do i extract volatility, standard deviation from a time series data set

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Henn 2017-8-3

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评论： John D'Errico 2017-8-3

Hey Ladies and Gents,

I have a time series data of daily wind speeds. How can I extract the volatility, standard deviation, and drift of this data-set. I want to be able to use these parameters to model the wind speed as Geometric Brownian Motion and create forecast models.

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John D'Errico 2017-8-3

You first need to define what you mean by volatility, as opposed to a noise standard deviation.

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