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rxtube221 (December 31, 1969 at 6:59 pm)
dude, this was great!i'm writing currently a paper over surfaces in germany and this was a great inspiration for explaining vola to my audience!
bionicturtledotcom (December 31, 1969 at 6:59 pm)
great point. For moving average (unweighted - left side above), order of historical returns does *not* matter. But that is it's problem: price trend up or down can give the same volatility. For the other approaches (ARCH(m)), order matters because more recent returns are given more weight....I can't tell be looking at graph, maybe some could..
lilacfun (December 31, 1969 at 6:59 pm)
quick questions on volatility calculation: does the calucalted value of the volatility depends on the order of the input variable?is volatility always used +ve? can one tell the volatility value just from looking at a graph?does the input have to be +ve? |
