Timeline for Expected daily range (SPX) and daily realized range
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 26 at 8:48 | comment | added | c.m. | simple arithmetic avg or geometric? so i get the gkyz hv for each day, i calculate the avg hv of the last 7 days + i check the IV of the atm strike at the brokerage, and take the avg of the iv and 7 days avg hv? (annualized of course, divided by sqrt(252) ) or weight the differently by OLS? | |
| May 26 at 8:43 | comment | added | nbbo2 | If you have two independent estimates, and you regard both as equally useful, you just average them. Otherwise, to give each estimate the proper weight, you can use OLS regression. | |
| May 26 at 8:03 | comment | added | c.m. | hi, thank you. how to combine? thats something i don' get. can oyu give me example? | |
| S May 26 at 5:59 | review | First answers | |||
| May 27 at 5:54 | |||||
| S May 26 at 5:59 | history | answered | BigMistake | CC BY-SA 4.0 |