Lessons
- How to Calculate Historical Volatility
- Approaches to Estimating Volatility
- Using Excel's Goal Seek Function to Estimate Implied Volatility
- Volatility: Moving Average Approaches
- Volatility: Exponentially Weighted Moving Average (EWMA)
- Using GARCH (1,1) Approach to Estimate Volatility
- How to Forecast Volatility Using GARCH (1,1)
- Calculate Historical Volatility Using EWMA
Using GARCH (1,1) Approach to Estimate Volatility
This video provides an introduction to the GARCH approach to estimating volatility, i.e., Generalized AutoRegressive Conditional Heteroskedasticity.
GARCH is a preferred method for finance professionals as it provides a more real-life estimate while predicting parameters such as volatility, prices and returns.
GARCH(1,1) estimates volatility in a similar way to EWMA (i.e., by conditioning on new information) except that it adds a term for mean reversion. It says the series is "sticky" or somewhat persistent to a long-run average.
This video is developed by David from Bionic Turtle.
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