Local Volatility forecast for S&P 500
A plot of RMSE vs. different lambda values to estimate S&P 500 daily volatility using the EWMA method
plot of the RMSE values vs. window size of the moving standard deviation, S&P 500 daily returns
Daily volatility for S&P500 using EWMA method with an optimal lambda of 0.90
S&P 500 daily volatility estimate using moving window (12-day) standard deviation method
S&P 500 daily log returns showing periods of volatility clusters
Airline Model Output Table with Residual Diagnosis Test
Empirical Distribution Function (EDF vs. normal) Graph
Shapiro-Wilk Normality Test Table
Jarque-Bera Normality Test Table