This is a summary of links featured on Quantocracy on Friday, 10/20/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Volatility Forecasting: Simple and Exponentially Weighted Moving Average Models [Portfolio Optimizer]One of the simplest and most pragmatic approach to volatility forecasting is to model the volatility of an asset as a weighted moving average of its past squared returns1. Two weighting schemes widely used by practitioners23 are the constant weighting scheme and the exponentially decreasing weighting scheme, leading respectively to the the simple moving average volatility forecasting model and to