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Clickerz86 (November 30, 1999 at 12:00 am)
Great video extremely helpful. Can I ask you a question if you don't mind? If one were trying simply to get the conditional variance of a set of data (monthly stock index returns in my case), to test whether certain months are positively correlated with said conditional variance, what is the best way to calculate this conditional variance? Thanks in advance.
roshjesh (November 30, 1999 at 12:00 am)
this was really helpful ....i was wandering if i could get some details to add your name in my reference section.
roshjesh (November 30, 1999 at 12:00 am)
this was really helpful ....i was wandering if i could get some details to add your name in my reference section..
mammutpenthouse (November 30, 1999 at 12:00 am)
@Alveuz Yes, they are both measures of market volatility, but remember to treat VIX carefully as it sometimes fails to do its cause, i.e. it doesn't always look forward as it implies.
JSA19882007 (November 30, 1999 at 12:00 am)
why do we add weights?
JSA19882007 (November 30, 1999 at 12:00 am)
hey, could you please send me the excel worksheet for using the garch (1,1) model please? the excel worksheet that i got is abit complicated, yours is simple.
conflozed (November 30, 1999 at 12:00 am)
hi!- nice video! can i ask a little question?
How do you claculate variance n-1 (cell F13) is calculated as the variance(F14:F15) ?
Thanks
Flo
Alveuz (November 30, 1999 at 12:00 am)
Does VIX from CBOE can be compared with Garch(1,1)?
If so, which has a better performance in calculate market volatility?
Thanks in advance
Alveuz (November 30, 1999 at 12:00 am)
Does VIX from CBOE can be compared with Garch(1,1)?
If so, which has a better performance in calculate market volatility?
Thanks in advance |
