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by rickyvic2
January 31st, 2019, 1:56 pm
Forum: Trading Forum
Topic: What causes the spread between WTI and Bent
Replies: 3
Views: 7608

Re: What causes the spread between WTI and Bent

@ppauper where one can find data on transportation cost or related shipping info? 
by rickyvic2
January 31st, 2019, 12:10 pm
Forum: Trading Forum
Topic: PCA model for volatility regime shift
Replies: 1
Views: 7197

Re: PCA model for volatility regime shift

There are plenty of models to forecast volatility from an econometric point of view, look at the garch literature for univariate and multivariate. They work fairly well for daily data, half life is a parameter to be fitted obviously, if picked there needs to be some reasoning. A pca is not really a ...