Search results

would you mind sharing the tos code?

But can't realized vol depend on the model and time frame you use? Ie. Crude could have a low close to close vol because it always closed close to the open but had a wild trading day. Therefor hedging intraday would have made better returns than hedging EOD using close to close. Also in the...

From experience which is the most efficient. I always find the GARCH family models over estimate realized vol. Heres a great website to use for vol models. Also when delta hedging, when we use the close to close model we delta hedge EOD, or EOW whatever your time period is. When we use the...