New answers tagged garch
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The best solution is to compute the implied volatility for a call that matures in two years then the implied volatility for one year call one year from now will be equal to:
$$\sqrt{2*vol^2_{2y}-vol^2_{1y}}$$
You can find this formula in the wikipedia article about forward volatility:
Forward volatility
Now in order to generate many volatilities, the ...
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Found the answer.
The rescale=True is used when the model fails to converge to a result. So rescale could be a solution for the problem. If the model doesn't need rescale, even if the parameter is True, it will not do anything.
Point of Attempion: If the rescale=True and, in fact, rescaled the series. It's necessary to adjust the outputs. In my question I ...
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