This is a summary of links featured on Quantocracy on Sunday, 04/05/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
GARCHery [OSM]In our last post, we discussed using the historical average return as one method for setting capital market expectations prior to constructing a satisfactory portfolio. We glossed over setting expectations for future volatility, mainly because it is such a thorny issue. However, we read an excellent tutorial on GARCH models that inspired us at least to take a stab at it. The tutorial hails from