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The Skinny on Quantitative Finance

Testing 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.

In the last Skinny, we introduced GARCH models, which can be used to model the time-varying volatility and volatility clustering commonly found in financial signals.

Today we are going to test one application of GARCH models: implied volatility forecasting.

Join Tom, Tony and Julia as they discuss whether trading more selectively according to GARCH volatility forecasts can increase the average P/L per trade when trading SPY strangles.

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