<t>You see.... this is precisely the reason that hedge funds in general have a bad reputation with the average investor. Who would blame them. They seem to fail again and again because some nitwit with no understanding of the market, with a few DE classes in his engineering degree thinks he can make...

<t>The VIX index is supposedly the fair level of volatility which is calculated by using replication. Essentialy, given enough options, wide enough continuum of strikes, some continuity restrictions (simply a liquid option with a very well behaved underlying), you can theoreticaly replicate a static...

<t>I dont want to pretend that i am an expert on GARCH but mean zero will make sence if that is what was used in the estimation (you have a choice of sorts to use a mean or to asume it zero). If you want to make it simple, than i suppose thats the way to go about it. You could aslo use some standard...

I also suggest this as a great source for a reading list:Suresh M. Sundaresan 2000, "Continuous-Time Methods in Finance: A Review and an Assessment", The Journal of Finance, Vol. 55, No. 4

<t>In his seminal paper Fama suggests that market is efficient if all information is fully reflected into prices. The way i understand this is that all invetors react to this information timeously and form the correct expectations based on this information (on average). This however leads to the pro...

<t>hello all, (i posted this in the general forum but noone seems to have any ideas.... sorry if you reading this twice)Could somebody suggest a good source for (preferably free) bond data? I need the issue dates, the maturities, coupon and amount of debt issued for the S&P100 companies, at leas...

<r>i didnt have the look at the file, but as far as i can tell, if you want to forecast volatility from GARCH(1,1) coefficients you do need to project returns. If you are more adventurous, you can use the equivalency between the GARCH(1,1) and a mean reverting stochastic process for volatility. Unde...

<t>hello all,Could somebody suggest a good source for (preferably free) bond data? I need the issue dates, the maturities, coupon and amount of debt issued for the S&P100 companies, at least... the more the better, from 1980 to 2004. I tried Bloomberg, but the generated RPTs are not directly exp...