Browsing FGV EPGE - Seminários de Pesquisa Econômica by Title "Reality check for volatility models"

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    • Reality check for volatility models 

      Suganuma, Ricardo
      2001-09-27
      Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type ...