/doc/plots/stats/moments_ewmvol.py
Python | 23 lines | 16 code | 7 blank | 0 comment | 0 complexity | d6da626f95c399419626cfe5ad455377 MD5 | raw file
Possible License(s): BSD-3-Clause, Apache-2.0
- import matplotlib.pyplot as plt
- import pandas.util.testing as t
- import pandas.stats.moments as m
- t.N = 500
- ts = t.makeTimeSeries()
- ts[::100] = 20
- s = ts.cumsum()
- plt.figure(figsize=(10, 5))
- plt.plot(s.index, m.ewmvol(s, span=50, min_periods=1).values, color='b')
- plt.plot(s.index, m.rolling_std(s, 50, min_periods=1).values, color='r')
- plt.title('Exp-weighted std with shocks')
- plt.legend(('Exp-weighted', 'Equal-weighted'))
- f = plt.gcf()
- f.autofmt_xdate()
- plt.show()
- plt.close('all')