Oct 09 2020 21 mins 8
Volatility is autocorrelated, meaning that future values of volatility are correlated with past values. Autocorrelation tends to lead to fatter tails and more tail risk than what is estimated by a normal distribution, and volatility models that do not take this into account cannot accurately forecast volatility-related risk factors. Join Tom, Tony and Julia as they discuss GARCH models and how they can be used to account for autocorrelation in equity returns.
