thanks for bumping this, i made a post in the education section b/c i wanted to learn how to forecast vol
Rob Engle's site at NYU Stern publishes daily index vol forecasts. They're pretty good, considering. Straight GARCH for one-month ahead vol. E- or T-GARCH for instantaneous (one-day ahead) vol, and zero-slope Spline GARCH for best fraction same sign close-to-close VXX moves. http://vlab.stern.nyu.edu//users/login username: demo@example.com password: pass
Thanks for very interesting stuff: http://vlab.stern.nyu.edu/ "Rob Engle's Volatility Laboratory The Volatility Laboratory provides real time measurement, modeling and forecasting of financial volatility and correlations for a wide spectrum of assets. Vlab blends together both classic models as well as some of the latest advances proposed in the financial econometrics literature. The aim of the project is to provide real time evidence on market dynamics for both researchers and practitioners. The Vlab is currently running 303 analyses on 85 datasets producing a total of 967 series each day! An Introduction to Financial Volatility: Prof. Rob Engle's video lectures on the Financial Times "
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