Main Profile

At A Glance

GARCH(1,1) to estimate volatility

GARCH(1,1) estimates volatility in a similar way to EWMA (i.e., by conditioning on new information) EXCEPT it adds a term for mean reversion: it says the series is "sticky" or somewhat persistent to a long-run average
Length: 07:51


Questions about GARCH(1,1) to estimate volatility

Want more info about GARCH(1,1) to estimate volatility? Get free advice from education experts and Noodle community members.

  • Answer

Ask a New Question