Volatility

Read through the articles related to the volatility dynamics of financial time series data.

NumXL 1.67 MARTHA public availability

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

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NumXL 1.67 MARTHA public availability

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

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NumXL 1.67 MARTHA public availability

Volatility 101

We start a new on-going series on volatility modeling and forecast. In this issue, we start with the definition and general dynamics of volatility in

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NumXL 1.67 MARTHA public availability

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

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