It refers to a period of time that "rolls" with whatever the current date is.
A three-month rolling average refers to the three month immediately prior. Not "the first quarter" (Jan, Feb, March) but whatever three months came before. It's almost June, so March, April, and May would be the three months referred to in June.
For a 30-day rolling average, it's the average of the past 30 days, whether it's the 1-30 or 15 March to 14 April.
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