Volatility forecast evaluation in R

September 24, 2012

(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers)

In portfolio management, risk management and derivative pricing, volatility plays an important role. So important in fact that you can find more volatility models than you can handle (Wikipedia link). What follows is to check how well each model performs, … Continue reading

To leave a comment for the author, please follow the link and comment on his blog: Eran Raviv » R.

R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.