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YouTube T2-23: Volatility: GARCH 1,1

Nicole Seaman

Chief Admin Officer
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The GARCH(1,1) volatility estimate shares a similarity to EWMA volatility: both assign greater (lesser) weight to recent (distant) returns. But the GARCH(1,1) has an additional feature: it models a long-run (aka, unconditional) variance toward which the volatility series is pulled.

David's XLS is here: https://trtl.bz/2t794bU