AI for Trading Series №5: Volatility

Learn about stock volatility, ARCH and GARCH model and how GARCH model analyzes volatility.

Purva Singh
Dec 10, 2020 · 4 min read
Photo by Jayden Staines on Unsplash

Volatility

Historical Volatility

Historical Volatility. (Source: AI for Trading nano degree course on Udacity)

Annualized Volatility

Annualized Volatility. (Source: AI for Trading nano degree course on Udacity)

Conversion between monthly/daily log returns to annual log returns

Conversion Formula. (Source: AI for Trading nano degree course on Udacity)

Rolling Window

Rolling Window Approach. (Source: AI for Trading nano degree course on Udacity)

Exponentially Weighted Moving Average

Exponentially Weighted Moving Average. (Source: AI for Trading nano degree course on Udacity)
Representation of Exponentially Weighted Moving Average. (Source: AI for Trading nano degree course on Udacity)

ARCH and GARCH Models

The ARCH Model

Representation of the ARCH Model. (Source: AI for Trading nano degree course on Udacity)

The GARCH Model

Representation of the GARCH Model. (Source: AI for Trading nano degree course on Udacity)

References

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Purva Singh

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Hi! I am a tech enthusiast currently working on leveraging language technologies to solve financial use-cases! View my work here: https://purvasingh96.github.io

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