Being itself unobservable, it cleaves to a subjective model (window and frequency choices). GARCH generalizes EWMA with mean reverting term; both effectively shorten the window via declining weights.
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Volatility is a model
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Being itself unobservable, it cleaves to a subjective model (window and frequency choices). GARCH generalizes EWMA with mean reverting term; both effectively shorten the window via declining weights.