Lab · Volatility forecast
Volatility forecast
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Prices as of . Model: , fitted to one year of daily portfolio returns, with volatilities annualised by √252.
GARCH(1,1): σ²t = ω + α·r²t−1 + β·σ²t−1, with ω = , α = , β = . Persistence α + β = ; closer to 1 means shocks fade more slowly.
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