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: I Garch:
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.