Volatility Forecast with GARCH
February 9, 2012: This week, the "Tips & Tricks" newsletter tackles the issue of the volatility forecast using GARCHi Modeling techniques. Starting with S&P 500 ETFi monthly prices, the paper illustrates the few steps it takes to process the raw data; specify a model; fit or to calibrate the the model coefficients values; validate the assumptions of underlying model; and, finally, to construct a 12-month volatility forecast. We did all of the steps using NumXL, right in Excel.
For details or to download the document and/or the spreadsheet for this tutorial, go to tips NumXL Cookbook: Volatility Forecast with GARCH on our website.