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YouTube T2-24: Forecast volatility with GARCH(1,1)

Nicole Seaman

Chief Admin Officer
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The GARCH(1,1) volatility forecast is largely a function of the first term omega, ω = γ*V(L), which itself is the product of a rate of reversion, γ, and a reversion level, V(L); aka, long-run or unconditional variance

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