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1 answer
71 views

When / how do I vol-scale portfolio weights when optimizing the portfolio?

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1 answer
744 views

How to obtain one-step ahead forecast in Python based on GARCH?

2 votes
0 answers
135 views
+150

If $\Delta \log(V_{t})$ behaves like the increments of fractional Brownian motion, why do we model the rough volatility as follows

1 vote
2 answers
103 views

Pricing FX options on pegged currencies

0 votes
1 answer
228 views

Interpretation conditional volatility plot

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1 answer
77 views

Why can't the curve find the least squares parameters when I used it in SABR model? (SABR Calibration)

5 votes
0 answers
154 views

Dupire's tradable realized volatility estimators

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1 answer
142 views

Annualization of discrete returns

4 votes
2 answers
471 views

Introductory material for getting started with local and stochastic volatility modelling

3 votes
1 answer
670 views

Realized Variance (realized volatility)

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0 answers
42 views

The use of the trading time variance/volatility curve

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1 answer
95 views

Can one estimate rather than forecast volatility using the GARCH model?

4 votes
1 answer
702 views

Estimating daily volatility of unevenly/irregularly spaced time series data

11 votes
2 answers
2k views

How do you estimate the volatility of a sample when points are irregularly spaced?

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