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The Skinny on Quantitative Finance

GARCH Models

The Skinny on Quantitative Finance

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Volatility is autocorrelated, meaning that future values of volatility are correlated with past values.

Autocorrelation tends to lead to fatter tails and more tail risk than what is estimated by a normal distribution, and volatility models that do not take this into account cannot accurately forecast volatility-related risk factors.

Join Tom, Tony and Julia as they discuss GARCH models and how they can be used to account for autocorrelation in equity returns.

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