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kshemyakin
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Posts: 11
Joined: October 21st, 2013, 4:45 am

Implied Volatility Surface for Filtered Historical Simulation

May 15th, 2020, 7:29 pm

Hi!

What is the best way to model implied volatility surface in filtered historical simulation (other than keeping it constant)? Is it appropriate to apply GARCH models on IV surface key points? Any suggestions will be appreciated.
Thanks.
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