Volatility: GARCH 1,1 (FRM T2-23)

[@hai.1820]

After seeing the second video on this topic, I started to get a light grasp! THank you so much for clearly explaining this!

[@finansalmodeller3468]

Super clear! Thanks a lot admin

[@bionicturtle]

Thank you for watching!

[@bartas8891]

Thanks David ! good explanation as always.

[@bluehorseshoe444]

Why are the formulas in the 'D' column inconsistent? In the 'D9' cell, you divide current day by the previous day, but in all subsequent cells, you divide previous by current

[@fffabiofigueiredo]

Its possible to share this spreadsheet? I dont understand what isthe 0.880348% means... its the cel S73 and isnt possible to see... Thank you!

[@bionicturtle]

A link to the spreadsheet is found in the description, at the beginning; ie, the XLS is at trtl.bz/2JQufJy . I calculated 0.880348% by applying the "tedious" GARCH(1,1) on the previous day, σ^2(n-1). Thanks!

[@LinhNguyen-ih1zl]

Can I use GARCH (1,1) for portfolio returns, or GARCH (1,1) just applicable for a single security returns?

[@samrathore9396]

Superb, as usual

[@abenaokromea]

Awesome video. Thank you!

[@AkshatPande92]

Please throw more light on the Long Run Variance. Will it be given directly to us on the FRM exam?

[@haminajafi224]

That's my question too.

[@m.r.5855]

Thx for the great explanation. There seems to be a typo in the xls. It seems only the first relative (cell D9) is correct - the others are calculated as S(i-i)/Si.

[@bionicturtle]

Yes, you are totally correct ... such that the prior returns are negatives of those shown (e.g., -1.63% rather than 1.63%). Although because the first is correct, and the squared-returns are identical, it turns out to have no impact on the rest of the results! But you are still totally correct, great observation ...

[@clarence5965]

Question might be kind of dumb, how did you obtain the volatility for the day prior at 12:35

[@clarence5965]

nvm i watched the the how to calculate historical vol video.

[@felipegirardi4379]

I have the same question

[@noname_whatsoever]

Amazing again. Thanks!

[@joaquimazevedo3679]

How can I calculate the long run variance?

[@akibnizamify]

Please someone answer

[@jrfabian]

@@akibnizamify Using eviews i think

[@SphereofTime]

6:34

[@devonk298]

great!

[@bionicturtle]

Thank you for watching!

[@BettyDavenport-k3w]

O'Keefe Squares

[@NobukoPasquarelli-q9q]

Gusikowski Lock