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Volatility Forecasting
Euan Sinclair
DOI: 10.1002/9781118662724.ch4 (Economics, Econometrics and Finance)
Licence : non indiquée (tous droits réservés)
Résumé : 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.
Publié le 25 Mar. 2013