garch_volatility
Fit a GARCH(1,1) model to daily returns and forecast volatility days ahead, with mean reversion to long-run volatility.
Instructions
Fit GARCH(1,1) by maximum likelihood to a daily return series (>= 250
obs) and forecast volatility forecast_horizon days ahead (mean-reverting
to long-run vol). Omit returns to use the demo portfolio.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | No | ||
| forecast_horizon | No |