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GARCH Volatility (RV(t+1) - IV) Revisited

Reimplemented GARCH Volatility RV(t+1) - IV from Ernie Chan

Beta & drawdown still too high.

3 responses

Looks good until the end of 2014. Then it flatlines.

Yeah, I wonder why that is...

I would assume because the market went mostly flat then and beta is > 1?