Combined Standard Deviation in 2-State Volatility Model
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Document ID: 1998-286 (previously 1998/010)
Published on: 1st December 1998
Author: Phil Mowbray
The weighted average age or ‘half-life’ of data used to forecast the conditional volatility of an asset return is well understood in relation to exponential smoothing models. The note presents an equivalent measure of ‘half-life’ when dealing with GARCH models.
