Multiperiod volatility Financial risk forecasting errata

Multiperiod volatility

October 22, 2011

My FM320 student Dominic Clark pointed out that I could have been more clear on page 39 in the last text paragraph. Its not wrong, but a better way is:

where \( E_t(Y^2_{t+1})\) indicates volatility...

Table 1.5
Equation on top of page 37

Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
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