Volatility Forecast with GARCH

This week, the “Tips & Tricks” newsletter tackles the issue of the volatility forecast using GARCH Modeling techniques. Starting with S&P 500 ETF monthly prices, the paper illustrates the few steps it takes to process the raw data; specify a model; fit or to calibrate the model coefficients values; validate the assumptions of the underlying model; and, finally, to construct a 12-month volatility forecast. We did all of the steps using NumXL, right in Excel.

For details or to download the document and/or the spreadsheet for this tutorial, go-to tips NumXL Cookbook: Volatility Forecast with GARCH on our website.

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