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Volatility Forecasting

Outline. Picture of changing volatilityMoving averages and rolling VaR'sRiskmetrics and weighted variancesGARCH modeling of volatilityImplied volatility and VIXRange based volatilityLong horizon forecasts. Software. dowvolplt.mrmdowvar.mhrmdowvar.mivolvix.mivolcomp.m. Picture of Changing V

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Volatility Forecasting

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    1. Volatility Forecasting FIN285a: Lecture 4.3 Fall 2010 Jorion, chapter 14.3

    2. Outline Picture of changing volatility Moving averages and rolling VaR’s Riskmetrics and weighted variances GARCH modeling of volatility Implied volatility and VIX Range based volatility Long horizon forecasts

    3. Software dowvolplt.m rmdowvar.m hrmdowvar.m ivolvix.m ivolcomp.m

    4. Picture of Changing Volatility dowvolplt.m

    5. Outline Picture of changing volatility Moving averages and rolling VaR’s Riskmetrics and weighted variances GARCH modeling of volatility Implied volatility and VIX Range based volatility Long horizon forecasts

    6. Moving Average of Volatility Rolling moving average of returns squared madowvar.m

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