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As you can tell, there are many ways to estimate volatility (standard deviation, range, etc.). What is better or worse depends on the use-case. What all volatility estimators have in common are that they try to measure variability. If this is for trading strategy development, you'll probably want to backtest a variety of methods to see what works best. Some ...


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Normally distributed and that's why the two first moments are sufficient to infer their statistical significance. Proof are rather technical (and sometimes are not specific to time-series models) and mainly depends of: The estimation method employed ( QMLE, Least Squares, Moment, Whittle...) The parameter space Moment restrictions ... These proofs ...



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