If I interpret correctly, autoregressive means past has impact to today, which is the opposite of mean reversing. In the example of one lag volatility, means todays volatility has yesterday's volatility and other components. In a simple term, it can be said that if today's volatility is high (low), tomorrow's volatility is more likely to be high too (low).
Forecasting Volatility for Option trading
- Thread starter Riesgo2002
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If I interpret correctly, autoregressive means past has impact to today, which is the opposite of mean reversing. In the example of one lag volatility, means todays volatility has yesterday's volatility and other components. In a simple term, it can be said that if today's volatility is high (low), tomorrow's volatility is more likely to be high too (low).
(I'm reactivating this old thread about volatility forecasting)
Forecasting the volatility of the underlying, and also the price direction of the underlying, are two of the most important criteria when entering a trade.
Which forecast methods are mostly in use nowadays?
To which degree is volatility forecastable? How is the usual success rate?
Which one is harder: volatililty forecast or weather forecast?
What experiences have you made with volatility forecast?
Which experiences have you made with directional forecasts, ie. price direction of the underlying?
Forecasting the volatility of the underlying, and also the price direction of the underlying, are two of the most important criteria when entering a trade.
Which forecast methods are mostly in use nowadays?
To which degree is volatility forecastable? How is the usual success rate?
Which one is harder: volatililty forecast or weather forecast?
What experiences have you made with volatility forecast?
Which experiences have you made with directional forecasts, ie. price direction of the underlying?
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