import pandas as pds import numpy as np # Sample data: 5 days of returns for 2 assets data = { 'Asset_A': [0.01, -0.02, 0.03, 0.01, -0.01], 'Asset_B': [0.02, -0.01, 0.02, 0.02, -0.02] } df = pds.DataFrame(data) # Calculate EWMA covariance using a decay factor (com = center of mass, or use alpha/halflife) # span = 2 corresponds to alpha = 2 / (span + 1) ewma_cov = df.ewm(span=2).cov() print(ewma_cov)