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

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Henn
Henn 2017년 8월 3일
댓글: John D'Errico 2017년 8월 3일
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
John D'Errico 2017년 8월 3일
You first need to define what you mean by volatility, as opposed to a noise standard deviation.

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