Computing Current Volatility


How do I compute the current volatility?


There are a number of ways to calculate an estimate of the current volatility:

  1. Using parametric and non-parametric models
  2. Intraday tick data
  3. Implied volatility in option markets, etc.

Using a GARCH model, the user computes the model-fitted volatility and treats the last value as an estimate for current volatility.


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