STAT244.Lecture.02 9

STAT244.Lecture.02 9 - Modeling Volatility Estimates 1 r 1...

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Modeling Volatility I Estimates: 1. ˆ σ 2 t = 1 K - 1 K i =1 ( r t - i - ¯ r K ) 2 , ¯ r K = K i =1 r t - i / K K - horizon for investment 2. EWA: ˆ σ 2 t = λ ˆ σ 2 t - 1 + (1 - λ ) u 2 t - 1 , u t - 1 = r t - 1 - ¯ r t I Models:
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