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Volatility Forecasting
Euan Sinclair
DOI: 10.1002/9781118662724.ch4 (Economics, Econometrics and Finance)
License: not stated (all rights reserved)
Abstract: This chapter looks at ways to forecast the future realized volatility of the underlying. Simple moving windows, exponential smoothing, and the GARCH family are looked at. Volatility cones are introduced as a way to place forecasts into historical context.
Published on 25 Mar. 2013