ForecastVol_wGARCH
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Notice that in order to forecast, we need neither
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lagged return nor lagged variance. We only
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need current variance + the other GARCH params
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Long-run variance
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0.00004422
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input
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Current variance
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0.00006000
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GARCH(1,1) Parameters
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alpha
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0.000200
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input
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beta
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0.960000
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input
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gamma
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0.039800
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solved
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omega
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0.000002
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solved
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L.R. variance (solved)
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0.0044%
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Period
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Variance
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Volatility
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n+1
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0.0059%
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0.7705%
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n+2
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0.0059%
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0.7666%
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n+3
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0.0058%
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0.7628%
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n+4
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0.0058%
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0.7592%
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n+5
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0.0057%
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0.7556%
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n+6
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0.0057%
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0.7522%
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n+7
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0.0056%
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0.7490%
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n+8
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0.0056%
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0.7458%
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n+9
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0.0055%
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0.7428%
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n+10
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0.0055%
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0.7398%
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n+11
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0.0054%
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0.7370%
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n+12
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0.0054%
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0.7343%
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Sheet3
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