Sheet1
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Yesterday's Factors
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Variance
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0.050%
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input
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Squared Return
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0.020%
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solved
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Long-run variance
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0.030%
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GARCH(1,1) Parameters
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gamma
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0.100
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weight (long run variance)
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beta
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0.800
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weight (previous variance)
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alpha
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0.100
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weight (previous squared return), gamma+beta+alpha = 1
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omega
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0.000030
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omega = gamma x LR variance
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L.R. variance (solved)
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0.030%
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If you can understand this formula, congratulations, you are a GARCH master!
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GARCH(1,1)
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0.045%
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Sheet2
Sheet3
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