HyperVolatility Links

2 Responses to HyperVolatility Links

  1. Hello Vito,

    Thanks for your site. I am new to volatility forecasting and have recently begun learning about GARCH processes. For your weekly volatility forecasts, I notice you mention TGARCH. I have a few questions:

    What do you use to make your forecasts, ie MATLAB or Excel/VBA? Also, how do I interpret your chart of the volatility?


    • Well the TGARCH plot shows the daily volatility but I tend to convert it in annualised terms because it is easier for everybody. I sometimes use Excel and some others an econometric software such as Matlab. The interpretation is pretty simple: high volatility produces more fluctuations of the price.
      Usually, volatility increases during market drops but this is not always the case, hence, the data needs to be filtered.

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