New answers tagged estimation
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Which realized volatility are you attempting to measure is highly important in order to determine which prices and return series to utilize to compute realized volatility.
Here couple ideas:
What do you attempt to measure: Bid/Offer spread volatility, traded price variations,...Even if you attempt to measure asset price variations it can make a ...
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Keyword SPAN and the summarized answer is that it sets margin requirements as a function of risk/volatility. CME and other exchanges also function as clearers and thus they have an interest that market participants who clear with CME remain solvent. The exchange runs stress tests and determines a reasonable amount of performance bond that has to be deposited ...
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