Can I read GARCH vs. EWMA: Variance Weighting on EtoBox?
GARCH vs. EWMA: Variance Weighting by andriantovoherizo58 is a document available to read on EtoBox.
What is GARCH vs. EWMA: Variance Weighting about?
The document discusses measuring and monitoring volatility, focusing on its relationship with value at risk (VaR) and various approaches to estimate it. Key concepts include the deviation of asset return distributions from normality, the implications of fat tails, and the use of models like GARCH(1,1) for estimating volatility. Additionally, it covers the importance of correlation in portfolio VaR calculations and the limitations of assuming independence in return distributions.
- Author
- andriantovoherizo58
- Language
- EN