FinAcademy › Risk Track I › Volatility

Module R6 · QTA 12, VRM 3

Returns, volatility, dependence

Simple and log returns, realised volatility, EWMA and GARCH(1,1), forecasting variance, then the non-normality tests and rank correlations.

3 lessons · 10 interactive figures · 21 exercises

1. 1Returns and realised volatility
   Log returns add across time, simple returns add across assets. Volatility is the standard deviation of the one you chose.7 exercises
2. 2EWMA and GARCH(1,1)
   Yesterday's shock matters more than last month's. EWMA says how much more; GARCH adds a long-run level to pull back to.7 exercises
3. 3Fat tails, Jarque-Bera and rank correlation
   Pearson correlation is a statement about linear co-movement under normality. Spearman and Kendall survive when the tails do not cooperate.7 exercises