They are right - it is bull season

19 באוג׳ 2020

For the next few weeks, it seems we are unlikely to see much volatility. Should a second wave come, be wary of the volatility which might change things as we saw in March. In this case, a GARCH(1,1) is used to forecast variance 10 steps ahead (indeed, GARCH(1,1) while being a lazy assumption, has been shown in literature to be outperformed only marginally by more complicated GARCH models in practice).