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I'm at a new job and there's the option to use R (you don't have to, but I'd like to). I used R years ago, so I while I'm somewhat familiar with it, I have forgotten most of it. For me, the best approach to get back into this and keep me motivated is to be guided step by step through a practical example. Get it to work and then I work backwards from there to really understand what I was doing. Later I would probably modify it.

At my work, R is mainly used for portfolio optimization, but volatility forecasting especially with GARCH models is also a big topic. So I'm interested in any book (or any other source) that walks me through how to do this. If it explains the theory too, it's great, but I can read up on this somewhere else.

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Have you seen Financial Risk Modelling and Portfolio Optimization with R by Bernhard Pfaff?

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Jim Gatheral's The Volatility Surface, A Practitioner's Guide is a good resource for volatility.

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