## Volatility 201 – ARCH Modeling

This week, we’ll take the prior discussion further and develop an understanding of autoregressive conditional heteroskedasticity (ARCH) volatility modeling. Why do we care? Volatility cannot be directly observed, and volatility modeling is more complicated than those of a conditional mean. The concepts…

## Volatility 102

This week, we continue our on-going series on volatility modeling and forecast. In this issue, we start by defining the various terms in an asset’s return time (e.g., holding period) and explain the multi-period forecast of returns and volatility. Finally,…