Volatility Forecasting
Advanced volatility forecasting using GARCH, EGARCH, EWMA models with regime detection
Analysis Parameters
Configure your volatility analysis
Run a forecast to see results
About Volatility Forecasting
Models
- GARCH(1,1): Generalized Autoregressive Conditional Heteroskedasticity - captures volatility clustering
- EGARCH: Exponential GARCH - captures asymmetric volatility (leverage effect)
- EWMA: Exponentially Weighted Moving Average - RiskMetrics approach
- Historical: Simple historical volatility calculation
Use Cases
- Risk management and position sizing
- Option pricing and implied volatility analysis
- Portfolio optimization and rebalancing
- Market regime identification