I am trying to apply a volatility strategy. I am reading a paper where the authors defined the volatility as: "Exponential Weighted Volatility of returns with a 1-year window and 3-month half-life"
I am having a hard time understanding the mathematical formula underlying it. The 1-year window part is easily understood as a summation of weighted square return deviation up to 12 months back. I think that the 3-month half-life is used for the weights but cannot figure out the exact mathematical representation. Any help on this is appreciated.