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EN

  1. VOL-CLUSTER-SP500-DLYRET.png

    S&P 500 daily log returns showing periods of volatility clusters

  2. RMSE-PLOT.png

    plot of the RMSE values vs. window size of the moving standard deviation, S&P 500 daily returns

  3. MASD-VOL-OPT-PLOT-SP500DLY.png

    S&P 500 daily volatility estimate using moving window (12-day) standard deviation method

  4. optimizing-MASD.png

    A plot of RMSE vs. different lambda values to estimate S&P 500 daily volatility using the EWMA method

  5. EWMA-VOL-OPT-PLOT-SP500DLY.png

    Daily volatility for S&P500 using EWMA method with an optimal lambda of 0.90

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