Volatility: GARCH 1,1 (FRM T2-23)

[my xls is here https://trtl.bz/2t794bU] The GARCH(1,1) volatility estimate shares a similarity to EWMA volatility: both assign greater (lesser) weight to recent (distant) returns. But the GARCH(1,1) has an additional feature: it models a long-run (aka, unconditional) variance toward which the volatility series is pulled. Discuss this video here in our forum: https://trtl.bz/2YMnNWZ

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Видео Volatility: GARCH 1,1 (FRM T2-23) канала Bionic Turtle